CCP NCC sets the following risk parameters on Securities market starting from June 18, 2020:
- Market risk rates and concentration limits
Ticker |
Description |
Current market risk rates |
New market risk rates |
New concentration limits |
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
1st level |
2nd level |
RU000A100DQ4 |
DOM.RF Mortgage agent 09-002P |
100% |
100% |
100% |
19% |
22% |
25% |
1 460 000 |
7 300 000 |
- Ban attribute on short selling will be changed:
Ticker |
Description |
Current attribute |
New attribute |
RU000A100DQ4 |
DOM.RF Mortgage agent 09-002P |
Yes |
No |
- Scenarios for stress collateral calculation
Ticker |
Description |
Scen_UP |
Scen_DOWN |
RU000A100DQ4 |
DOM.RF Mortgage agent 09-002P |
5% |
5% |