26.08.2021 19:00
Risk parameters change on Securities market
CCP NCC sets the following risk parameters on Securities market starting from August 30, 2021:
- Market risk rates and concentration limits
| Ticker | 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 | |
| TRUR | 100% | 100% | 100% | 21% | 31% | 100% | 1 623 772 | 8 118 860 |
| TUSD | 100% | 100% | 100% | 24% | 34% | 100% | 1 221 680 | 6 108 399 |
| TEUR | 100% | 100% | 100% | 24% | 35% | 100% | 1 077 409 | 5 387 045 |
| TGLD | 100% | 100% | 100% | 27% | 39% | 100% | 1 839 979 | 9 199 895 |
| TSPX | 100% | 100% | 100% | 28% | 40% | 100% | 1 179 187 | 5 895 933 |
| TECH | 100% | 100% | 100% | 29% | 35% | 100% | 1 171 040 | 5 855 201 |
| TBIO | 100% | 100% | 100% | 29% | 43% | 100% | 1 218 387 | 6 091 934 |
- Scenarios for stress collateral calculation
| Ticker | Scen_UP | Scen_DOWN |
|---|---|---|
| TRUR | 10% | 10% |
| TUSD | 10% | 10% |
| TEUR | 10% | 10% |
| TGLD | 10% | 10% |
| TSPX | 10% | 10% |
| TECH | 10% | 10% |
| TBIO | 10% | 10% |