Русский RU
13.10.2021 18:16

Risk parameters change on Securities market

CCP NCC sets the following risk parameters on Securities market starting from October 15, 2021:

  1. Market risk rates and concentration limits
Ticker Current market risk rates New market risk rates New concentration limits
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min 1st level 2nd level
OPNW 100% 100% 100% 26% 37% 100% 118 990 594 950
OPNS 100% 100% 100% 28% 41% 100% 126 390 631 950
RCMB 100% 100% 100% 34% 44% 100% 10 670 53 350

 

Ticker Current market risk rates New market risk rates
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
SBGB 16% 22% 100% 26% 38% 100%
SBMX 22% 34% 100% 26% 40% 100%
SBRB 28% 38% 100% 31% 43% 100%
SUGB 15% 21% 100% 22% 31% 100%
VTBB 30% 40% 100% 32% 43% 100%
VTBE 28% 40% 100% 30% 44% 100%
VTBH 26% 36% 100% 28% 40% 100%
VTBA 29% 40% 100% 31% 44% 100%
  1. Scenarios for stress collateral calculation
Ticker Scen_UP Scen_DOWN
OPNW 10% 10%
OPNS 10% 10%
RCMB 10% 10%
Contacts for media
+7 (495) 363-3232
Public Relations Department
Contacts for clients
+7 (495) 232-3363
Feedback form
Main news