30.10.2023 10:36
Risk parameters change on the Securities market
CCP NCC changes the following risk parameters on Securities market starting from October 31-st 2023:
- Market risk rates and concentration limits:
| № | Ticker | Market risk rates from 31.10.2023 | Concentration limits from 31.10.2023 | |||
| S1_min | S2_min | S3_min | LK1 | LK2 | ||
| 1 | RU000A100VX2 | 12% | 26% | 40% | 140,000 | 700,000 |
| 2 | RU000A101RJ7 | 8% | 11% | 14% | 100,000 | 500,000 |
- Collateral for stress:
| № | Актив | Collateral for stress from 31.10.2023 г. | |
| UP scenario | Down scenario | ||
| 1 | RU000A100VX2 | 2.0% | 2.0% |
| 2 | RU000A101RJ7 | 1.0% | 1.0% |