03.08.2023 16:47
Risk parameters on Securities market and Derivatives market
CCP NCC changes the following risk parameters on Mobile TeleSystems ordinary shares:
- Market risk rates:
- on Securities market starting from August 07-th 2023 and
- on Derivatives market starting from 19:00 August 04-th 2023
| 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 | ||
| MTSS | Mobile Telesystems os | 20% | 26% | 33% | 20% | 26% | 39% |
| MTSI | Futures on Mobile Telesystems os | 20% | 26% | 33% | 20% | 26% | 39% |
- Interest risk rates from August 07-th 2023 on Securities market:
| Ticker | Description | Term | Current interest risk rate | New interest risk rate | ||
| Up MMΔ, % p.a | Down SECΔ, % p.a | Up MMΔ, % p.a | Down SECΔ, % p.a | |||
| MTSS | Mobile Telesystems os | Y0/Y1M | 15% | 15% | 12% | 12% |
| Y0/Y3M | 15% | 15% | 6% | 6% | ||
| Y0/Y6M | - | - | 4.5% | 4.5% | ||
| Y0/Y9M | - | - | 4.5% | 4.5% | ||
| Y0/Y1Y | - | - | 4.5% | 4.5% | ||
CCP NCC also changes Stress collateral scenarios for ordinary shares of Mobile TeleSystems. Please see the current values on NCC website.