04.12.2024 10:08
Risk parameters change on the Securities market and on the Derivatives market
CCP NCC changes risk params on the Securities market and on the Derivatives market:
- On the Securities market:
| Ticker | Current market risk rates, % | Market risk rates from 05.12.2024 | Market risk rates from 09.12.2024 | ||||||
|---|---|---|---|---|---|---|---|---|---|
| S1_min | S2_min | S3_min | S1_min | S2_min | S3_min | S1_min | S2_min | S3_min | |
| SMLT | 33% | 39% | 46% | 40% | 50% | 70% | 50% | 75% | 95% |
| Ticker | Current market risk rates, % | Current Limit of concentration | Market risk rates, % from 05.12.24 | Limit of concentration from 05.12.24 | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | 1 level | 2 level | S_1_min | S_2_min | S_3_min | 1 level | 2 level | |
| RU000A104JQ3 | 8% | 11% | 14% | 400 000 | 2 000 000 | 70% | 85% | 100% | 60 000 | 300 000 |
| RU000A104YT6 | 9% | 12% | 15% | 300 000 | 1 500 000 | 70% | 85% | 100% | 60 000 | 300 000 |
| RU000A109874 | 10% | 13% | 16% | 100 000 | 500 000 | 70% | 85% | 100% | 60 000 | 300 000 |
| RU000A107RZ0 | 11% | 14% | 17% | 490 000 | 2 450 000 | 70% | 85% | 100% | 60 000 | 300 000 |
| RU000A1095L7 | 12% | 15% | 18% | 400 000 | 2 000 000 | 70% | 85% | 100% | 60 000 | 300 000 |
- On the Derivatives market:
| Underlying | Current market risk rates % | market risk rates from 19:00 04.12.2024 г. | market risk rates from 19:00 06.12.2024 г. | ||||||
|---|---|---|---|---|---|---|---|---|---|
| MR_1 | MR_2 | MR_3 | MR_1 | MR_2 | MR_3 | MR_1 | MR_2 | MR_3 | |
| SMLT | 33% | 39% | 46% | 40% | 50% | 70% | 50% | 75% | 95% |