06.06.2022 16:40
Risk parameters on Securities market
CCP NCC changes the following risk parameters on Securities market starting from June, 14 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 | XS2010026560 | PIK-26 | 18% | 21% | 24% | 100% | 100% | 100% |
| 2 | RU000A1034K8 | RUS-36 EUR | 9% | 10% | 11% | 15% | 16% | 17% |
| 3 | XS0800817073 | VEB-22 | 12% | 15% | 18% | 15% | 18% | 22% |
| 4 | XS0848530977 | SB-22_2 | 8% | 11% | 14% | 15% | 18% | 22% |
| 5 | XS0893212398 | VEB-23 EUR | 12% | 15% | 18% | 15% | 18% | 22% |
| 6 | XS0919504562 | LUK-23 | 14% | 17% | 20% | 15% | 18% | 22% |
| 7 | XS0935311240 | SB-23 | 12% | 15% | 18% | 15% | 18% | 22% |
| 8 | XS1589324075 | GMKN-23 | 12% | 15% | 18% | 15% | 18% | 22% |
| № | Ticker | Description | Current stress scenario UP | Current stress scenario DOWN | New stress scenario UP | New stress scenario DOWN | |
|---|---|---|---|---|---|---|---|
| 1 | XS2010026560 | PIK-26 | 2% | 2% | 0% | 0% |