23.11.2023 11:44
Risk parameters change on the Securities market
CCP NCC changes the following risk parameters on Securities market starting from November 24-th 2023:
- Market risk rates and concentration limits:
| № | Ticker | Market risk rates from 24.11.2023 | Concentration limits from 24.11.2023 | Ban on short selling from 24.11.2023 |
|||
| S1_min | S2_min | S3_min | LK1 | LK2 | |||
| 1 | RU000A1065R7 | 19% | 22% | 33% | 330,313 | 1,651,565 | No |
| 2 | RU000A106HE8 | 19% | 22% | 33% | 3,948,553 | 19,742,765 | No |
- Collateral for stress:
| № | Актив | Collateral for stress from 24.11.2023 г. | |
| UP scenario | Down scenario | ||
| 1 | RU000A1065R7 | 4.0% | 4.0% |
| 2 | RU000A106HE8 | 3.0% | 3.0% |