CCP NCC will set the following risk parameters on Securities market starting from February 15th. From this date on, risk parameters will be applied according to the table below.
- Market risk rates:
| Ticker |
Current market risk rates, % |
New market risk rates, % |
| Level 1, S_1_min |
Level 2, S2_min |
Level 3, S3_min |
Level 1, S_1_min |
Level 2, S2_min |
Level 3, S3_min |
| SPBE |
100% |
100% |
100% |
70% |
80% |
95% |
- Concentration limits:
| Ticker |
Current concentration limits, units |
New concentration limits, units |
| 1 level |
2 level |
1 level |
2 level |
| SPBE |
2000 |
2001 |
31 331 |
156 652 |
- Stress collateral scenarios:
| Ticker |
Current scenarios |
New scenarios |
| Scen_UP |
Scen_DOWN |
Scen_UP |
Scen_DOWN |
| SPBE |
0% |
0% |
15% |
15% |
