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28.10.2024 15:10

Risk parameters change on the Securities market

CCP NCC changes the following risk parameters on Securities market and On the Derivatives market:

Market risk rates and concentration limits:

Ticker	Current market risk rates			Market risk rates from 06.11.2024			Current concentration limits		Concentration limits from 06.11.2024
Ticker	S1_min	S2_min	S3_min	S1_min	S2_min	S3_min	LK1	LK2	LK1	LK2
FLOT	33%	39%	46%	17%	23%	30%	1 492 849	7 464 245	1 098 701	5 493 506
FEES	25%	31%	38%	20%	26%	33%	481 695 000	2 408 475 000	493 760 952	2 468 804 759
UPRO	33%	39%	46%	20%	26%	33%	31 146 437	155 732 185	21 091 274	105 456 368
CBOM	40%	57%	82%	33%	50%	75%	4 751 328	23 756 640	1 575 841	7 879 203
LEAS	33%	68%	88%	20%	55%	75%	47 867	239 335	42 896	214 479
POSI	50%	75%	95%	50%	75%	95%	39 400	197 000	46 729	233 646
BSPB	40%	57%	82%	33%	50%	75%	466 045	2 330 225	368 505	1 842 527
ENPG	50%	75%	95%	50%	75%	95%	48 871	244 355	53 187	265 934
SMLT	33%	39%	46%	33%	39%	46%	26 525	132 625	47 111	235 556
SELG	70%	80%	95%	50%	80%	95%	604 929	3 024 645	689 328	3 446 639

Collateral:

Ticker	Current Collateral	Collateral from 06.11.2024
FLOT	No	Yes
FEES	No	Yes
UPRO	No	Yes
BSPB	No	Yes

On the Derivatives market:

Ticker	Market risk rates			Market risk rates from 19:00 05.11.2024			Concentration Limit		Concentration Limit from 19:00 05.11.2024
Ticker	MR_1	MR_2	MR_3	MR_1	MR_2	MR_3	Level 1	Level 2	Level 1	Level 2
FLOT	33%	39%	46%	17%	23%	30%	1 492 849	7 464 245	1 098 701	5 493 506
FEES	25%	31%	38%	20%	26%	33%	481 695 000	2 408 475 000	493 760 952	2 468 804 759
CBOM	40%	57%	82%	33%	50%	75%	4 751 328	23 756 640	1 575 841	7 879 203
LEAS	33%	68%	88%	20%	55%	75%	47 867	239 335	42 896	214 479
POSI	50%	75%	95%	50%	75%	95%	39 400	197 000	46 729	233 646
BSPB	40%	57%	82%	33%	50%	75%	466 045	2 330 225	368 505	1 842 527
SMLT	33%	39%	46%	33%	39%	46%	26 525	132 625	47 111	235 556

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