23.06.2021 13:37
Risk parameters on Securities market
CCP NCC is changing the following risk parameters on Securities market starting from June 24, 2021.
Market risk rates
| № | Ticker | Current Market risk rates, % | Market risk rates starting from June 24, 2021, % | ||||
|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | ||
| 1 | APTK | 70% | 80% | 95% | 50% | 75% | 95% |
| 2 | BELU | 100% | 100% | 100% | 70% | 80% | 95% |
| 3 | ENRU | 25% | 31% | 38% | 33% | 50% | 75% |
| 4 | ETLN | 70% | 80% | 95% | 50% | 75% | 95% |
| 5 | HHRU | 70% | 80% | 95% | 50% | 75% | 95% |
| 6 | MDMG | 100% | 100% | 100% | 70% | 80% | 95% |
| 7 | OKEY | 100% | 100% | 100% | 70% | 80% | 95% |
| 8 | QIWI | 50% | 75% | 95% | 33% | 50% | 75% |
| 9 | RSTI | 17% | 23% | 30% | 20% | 26% | 33% |
| 10 | RUAL | 50% | 75% | 95% | 33% | 50% | 75% |
| 11 | SELG | 33% | 50% | 75% | 50% | 75% | 95% |
| 12 | SGZH | 100% | 100% | 100% | 70% | 80% | 95% |
| 13 | SMLT | 100% | 100% | 100% | 70% | 80% | 95% |
| 14 | TRMK | 70% | 80% | 95% | 50% | 75% | 95% |
Concentration limits
| № | Ticker | Current concentration limits, units | Current concentration limits starting from June 24, 2021, units | ||
|---|---|---|---|---|---|
| LK_1 | LK_2 | LK_1 | LK_2 | ||
| 1 | BELU | 2 000 | 2 001 | 3 574 | 17 870 |
| 2 | MDMG | 2 000 | 2 001 | 13 855 | 69 275 |
| 3 | OKEY | 2 000 | 2 001 | 184 863 | 924 315 |
| 4 | SGZH | 2 000 | 2 001 | 6 883 344 | 34 416 720 |
| 5 | SMLT | 2 000 | 2 001 | 5 996 | 29 980 |
Stress collateral scenario
| № | Ticker | Scen_UP | Scen_DOWN |
|---|---|---|---|
| 1 | BELU | 15% | 15% |
| 2 | MDMG | 15% | 15% |
| 3 | OKEY | 15% | 15% |
| 4 | SGZH | 15% | 15% |
| 5 | SMLT | 15% | 15% |
| 6 | FIXP | 12% | 12% |