14.03.2022 12:06
Risk parameters change on Securities market
CCP NCC is changing risk parameters on Securities market starting from March 15, 2022:
| № | Ticker | Current market risk rates, % | New market risk rates, % | ||||
|---|---|---|---|---|---|---|---|
| S1_min | S2_min | S3_min | S1_min | S2_min | S3_min | ||
| 1 | XS1760786340 | 32% | 35% | 38% | 100% | 100% | 100% |
| 2 | XS2063279959 | 23% | 26% | 29% | 100% | 100% | 100% |
| 3 | RU000A1014J2 | 28% | 31% | 34% | 100% | 100% | 100% |
| 4 | RU000A102879 | 28% | 31% | 34% | 100% | 100% | 100% |
| 5 | RU000A102887 | 24% | 27% | 30% | 100% | 100% | 100% |
| 6 | RU000A102QJ7 | 27% | 30% | 33% | 100% | 100% | 100% |
| 7 | RU000A1034P7 | 28% | 31% | 34% | 100% | 100% | 100% |
| 8 | XS0810596832 | 32% | 35% | 38% | 100% | 100% | 100% |
| 9 | XS0842078536 | 8% | 11% | 14% | 100% | 100% | 100% |
| 10 | XS2243631095 | 32% | 35% | 38% | 100% | 100% | 100% |
| 11 | XS2243636219 | 32% | 35% | 38% | 100% | 100% | 100% |
| 12 | RU000A1039A8 | 28% | 31% | 34% | 100% | 100% | 100% |
| 13 | RU000A103QN7 | 28% | 31% | 34% | 100% | 100% | 100% |
| 14 | RU000A0ZZFZ4 | 33% | 36% | 39% | 100% | 100% | 100% |
| 15 | CH1100259816 | 32% | 35% | 38% | 100% | 100% | 100% |
| 16 | RU000A101TT2 | 31% | 34% | 37% | 100% | 100% | 100% |
| 17 | RU000A101Y18 | 27% | 30% | 33% | 100% | 100% | 100% |
| 18 | RU000A102564 | 36% | 39% | 42% | 100% | 100% | 100% |
| 19 | RU000A1028U9 | 36% | 39% | 42% | 100% | 100% | 100% |
| 20 | RU000A102E37 | 36% | 39% | 100% | 100% | 100% | 100% |
| 21 | RU000A102FE1 | 36% | 39% | 100% | 100% | 100% | 100% |
| 22 | RU000A102S72 | 36% | 39% | 42% | 100% | 100% | 100% |
| 23 | XS0979891925 | 14% | 17% | 20% | 100% | 100% | 100% |
| 24 | RU000A102HC1 | 28% | 31% | 34% | 100% | 100% | 100% |
| 25 | XS0848530977 | 8% | 11% | 14% | 100% | 100% | 100% |
| 26 | XS0935311240 | 12% | 15% | 18% | 100% | 100% | 100% |
| № | Ticker | Current stress scenario UP | Current stress scenario DOWN | New stress scenario UP | New stress scenario DOWN |
|---|---|---|---|---|---|
| 1 | XS1760786340 | 5.5% | 5.5% | 0% | 0% |
| 2 | XS2063279959 | 2.0% | 2.0% | 0% | 0% |
| 3 | RU000A1014J2 | 5.5% | 5.5% | 0% | 0% |
| 4 | RU000A102879 | 5.5% | 5.5% | 0% | 0% |
| 5 | RU000A102887 | 5.5% | 5.5% | 0% | 0% |
| 6 | RU000A102QJ7 | 5.5% | 5.5% | 0% | 0% |
| 7 | RU000A1034P7 | 5.5% | 5.5% | 0% | 0% |
| 8 | XS0810596832 | 5.5% | 5.5% | 0% | 0% |
| 9 | XS0842078536 | 7.0% | 5.0% | 0% | 0% |
| 10 | XS2243631095 | 5.5% | 5.5% | 0% | 0% |
| 11 | XS2243636219 | 5.5% | 5.5% | 0% | 0% |
| 12 | RU000A1039A8 | 5.5% | 5.5% | 0% | 0% |
| 13 | RU000A103QN7 | 5.5% | 5.5% | 0% | 0% |
| 14 | RU000A0ZZFZ4 | 5.5% | 5.5% | 0% | 0% |
| 15 | CH1100259816 | 2.0% | 2.0% | 0% | 0% |
| 16 | RU000A101TT2 | 5.5% | 5.5% | 0% | 0% |
| 17 | RU000A101Y18 | 5.5% | 5.5% | 0% | 0% |
| 18 | RU000A102564 | 5.5% | 5.5% | 0% | 0% |
| 19 | RU000A1028U9 | 5.5% | 5.5% | 0% | 0% |
| 20 | RU000A102E37 | 5.5% | 5.5% | 0% | 0% |
| 21 | RU000A102FE1 | 5.5% | 5.5% | 0% | 0% |
| 22 | RU000A102S72 | 5.5% | 5.5% | 0% | 0% |
| 23 | XS0979891925 | 5.0% | 3.0% | 0% | 0% |
| 24 | RU000A102HC1 | 5.5% | 5.5% | 0% | 0% |
| 25 | XS0848530977 | 7.0% | 5.0% | 0% | 0% |
| 26 | XS0935311240 | 5.0% | 3.0% | 0% | 0% |