23.12.2021 19:16
Risk parameters change on Securities market
CCP NCC is changing risk parameters on Securities market starting from December 28-th, 2021:
| № | Ticker | Description | 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 | |||
| 1 | RU000A0ZYJT2 | DOM.RF | 35% | 38% | 100% | 32% | 35% | 100% |
| 2 | RU000A0ZZNW5 | DOM.RF | 23% | 26% | 100% | 25% | 28% | 100% |
| 3 | RU000A0ZZV86 | DOM.RF | 30% | 33% | 100% | 32% | 35% | 100% |
| 4 | RU000A100YY4 | DOM.RF | 25% | 28% | 100% | 29% | 32% | 100% |
| 5 | RU000A101JD7 | DOM.RF | 23% | 26% | 100% | 27% | 30% | 100% |
| 6 | RU000A101TD6 | DOM.RF | 25% | 28% | 100% | 30% | 33% | 100% |
| 7 | RU000A102D46 | DOM.RF | 28% | 31% | 100% | 33% | 36% | 100% |
| 8 | RU000A102GD1 | DOM.RF | 27% | 30% | 100% | 32% | 35% | 100% |
| 9 | RU000A102GV3 | DOM.RF | 27% | 30% | 100% | 30% | 33% | 100% |
| 10 | RU000A102JB9 | DOM.RF | 29% | 32% | 100% | 33% | 36% | 100% |
| 11 | RU000A103125 | DOM.RF | 28% | 31% | 100% | 30% | 33% | 100% |
| № | Ticker | Description | Current stress collateral scenario | New stress collateral scenario | ||
|---|---|---|---|---|---|---|
| Scen_UP | Scen_DOWN | Scen_UP | Scen_DOWN | |||
| 1 | RU000A0ZYJT2 | DOM.RF | 8% | 8% | 7% | 7% |
| 2 | RU000A0ZZNW5 | DOM.RF | 8% | 8% | 10% | 10% |
| 3 | RU000A0ZZV86 | DOM.RF | 8% | 8% | 9% | 9% |
| 4 | RU000A101TD6 | DOM.RF | 3% | 3% | 4% | 4% |
| 5 | RU000A102GD1 | DOM.RF | 3% | 3% | 4% | 4% |
| 6 | RU000A102GV3 | DOM.RF | 3% | 3% | 4% | 4% |
| 7 | RU000A102JB9 | DOM.RF | 4% | 4% | 5% | 5% |
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