27.10.2021 15:17
Risk parameters change on Securities market
CCP NCC is changing the following risk parameters on Securities market starting from October 28, 2021.
| № | Ticker | Current market risk rates | New market risk rates | New concentration limits, number of securities | New Ban on short selling |
New Collateral Flag | |||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | LK1 | LK2 | ||||
| 1 | US912828N308 | 100% | 100% | 100% | 12% | 15% | 18% | 140 376 | 701 880 | No | No |
| 2 | US912828YE44 | 100% | 100% | 100% | 12% | 15% | 18% | 140 376 | 701 880 | No | No |
| 3 | XS2384719402 | 100% | 100% | 100% | 44% | 47% | 50% | 10 000 | 50 000 | No | Yes |
| 4 | XS2384174228 | 100% | 100% | 100% | 19% | 22% | 25% | 10 000 | 50 000 | No | No |
| 5 | XS2343532508 | 100% | 100% | 100% | 17% | 20% | 23% | 4 000 | 20 000 | No | No |
| 6 | RU000A103QK3 | 100% | 100% | 100% | 17% | 20% | 23% | 300 000 | 1 500 000 | No | No |
| № | Ticker | Current stress scenario UP | Current stress scenario DOWN | New stress scenario UP | New stress scenario DOWN |
|---|---|---|---|---|---|
| 1 | US912828N308 | 0.00% | 0.00% | 7.00% | 5.00% |
| 2 | US912828YE44 | 0.00% | 0.00% | 7.00% | 5.00% |
| 3 | XS2384174228 | 0.00% | 0.00% | 2.00% | 2.00% |
| 4 | XS2343532508 | 0.00% | 0.00% | 2.00% | 2.00% |
| 5 | RU000A103QK3 | 0.00% | 0.00% | 5.50% | 5.50% |