14.02.2022 17:58
Risk parameters change on Securities market
CCP NCC will set the following risk parameters on Securities market starting from February 15th. From this date on, risk parameters will be applied according to the table below.
- Market risk rates:
| Ticker | Current market risk rates, % | New market risk rates, % | ||||
|---|---|---|---|---|---|---|
| Level 1, S_1_min | Level 2, S2_min | Level 3, S3_min | Level 1, S_1_min | Level 2, S2_min | Level 3, S3_min | |
| SPBE | 100% | 100% | 100% | 70% | 80% | 95% |
- Concentration limits:
| Ticker | Current concentration limits, units | New concentration limits, units | ||
|---|---|---|---|---|
| 1 level | 2 level | 1 level | 2 level | |
| SPBE | 2000 | 2001 | 31 331 | 156 652 |
- Stress collateral scenarios:
| Ticker | Current scenarios | New scenarios | ||
|---|---|---|---|---|
| Scen_UP | Scen_DOWN | Scen_UP | Scen_DOWN | |
| SPBE | 0% | 0% | 15% | 15% |