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16.05.2022 16:46

Risk parameters change on Securities market

CCP NCC sets the following risk parameters on Securities market starting from May, 23 2022:

Ticker Description Current market risk rates, % New market risk rates, %
Level 1, S1_min Level 2, S2_min Level 3, S3_min Level 1, S1_min Level 2, S2_min Level 3, S3_min
1 XS1759801720 CBOM-23 11% 14% 17% 100% 100% 100%
2 XS1951067039 CBOM-24 EU 15% 18% 21% 100% 100% 100%
3 XS1964558339 CBOM-24 15% 18% 21% 100% 100% 100%
4 XS2099763075 CBOM-25 16% 19% 22% 100% 100% 100%
5 XS2281299763 CBOM-26 EU 17% 20% 23% 100% 100% 100%
6 XS2384475930 CBOM-26 18% 21% 24% 100% 100% 100%

 

Ticker Description Current stress scenario UP Current stress scenario DOWN New stress scenario UP New stress scenario DOWN  
 
1 XS1759801720 CBOM-23 7.0% 5.0% 0.0% 0.0%  
2 XS1951067039 CBOM-24 EU 5.0% 3.0% 0.0% 0.0%  
3 XS1964558339 CBOM-24 2.0% 2.0% 0.0% 0.0%  
4 XS2099763075 CBOM-25 2.0% 2.0% 0.0% 0.0%  
5 XS2281299763 CBOM-26 EU 2.0% 2.0% 0.0% 0.0%  
6 XS2384475930 CBOM-26 2.0% 2.0% 0.0% 0.0%  
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Risk parameters