02.06.2022 15:12
Risk parameters on Securities market
CCP NCC changes the following risk parameters on Securities market starting from June, 06-th 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 | XS2082937967 | RusHydro Capital Markets 6.8 | 100% | 100% | 100% | 16% | 19% | 22% |
| № | Ticker | Description | Current concentration limits, number of securities | New concentration limits, number of securities | ||
|---|---|---|---|---|---|---|
| LK_1 | LK_2 | LK_1 | LK_2 | |||
| 1 | XS2082937967 | RusHydro Capital Markets 6.8 | 2 000 | 2 001 | 3 000 | 15 000 |
| № | Ticker | Description | Current collateral | New collateral | ||
|---|---|---|---|---|---|---|
| 1 | XS2082937967 | RusHydro Capital Markets 6.8 | No | Yes |
| № | Ticker | Description | Current stress scenario UP | Current stress scenario DOWN | New stress scenario UP | New stress scenario DOWN | ||
|---|---|---|---|---|---|---|---|---|
| 1 | XS2082937967 | RusHydro Capital Markets 6.8 | 0 | 0 | 3.75 | 3.75 |