16.05.2022 16:46
Risk parameters change on Securities market
CCP NCC sets the following risk parameters on Securities market starting from May, 23 2022:
| № | Ticker | Description | Current market risk rates, % | New market risk rates, % | ||||
|---|---|---|---|---|---|---|---|---|
| Level 1, S1_min | Level 2, S2_min | Level 3, S3_min | Level 1, S1_min | Level 2, S2_min | Level 3, S3_min | |||
| 1 | XS1759801720 | CBOM-23 | 11% | 14% | 17% | 100% | 100% | 100% |
| 2 | XS1951067039 | CBOM-24 EU | 15% | 18% | 21% | 100% | 100% | 100% |
| 3 | XS1964558339 | CBOM-24 | 15% | 18% | 21% | 100% | 100% | 100% |
| 4 | XS2099763075 | CBOM-25 | 16% | 19% | 22% | 100% | 100% | 100% |
| 5 | XS2281299763 | CBOM-26 EU | 17% | 20% | 23% | 100% | 100% | 100% |
| 6 | XS2384475930 | CBOM-26 | 18% | 21% | 24% | 100% | 100% | 100% |
| № | Ticker | Description | Current stress scenario UP | Current stress scenario DOWN | New stress scenario UP | New stress scenario DOWN | |
|---|---|---|---|---|---|---|---|
| 1 | XS1759801720 | CBOM-23 | 7.0% | 5.0% | 0.0% | 0.0% | |
| 2 | XS1951067039 | CBOM-24 EU | 5.0% | 3.0% | 0.0% | 0.0% | |
| 3 | XS1964558339 | CBOM-24 | 2.0% | 2.0% | 0.0% | 0.0% | |
| 4 | XS2099763075 | CBOM-25 | 2.0% | 2.0% | 0.0% | 0.0% | |
| 5 | XS2281299763 | CBOM-26 EU | 2.0% | 2.0% | 0.0% | 0.0% | |
| 6 | XS2384475930 | CBOM-26 | 2.0% | 2.0% | 0.0% | 0.0% |