05.10.2022 14:34
Risk parameters on Securities market
CCP NCC changes the following risk parameters on Securities market starting from October, 06-th 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 | XS1843443273 | Evraz plc 5.25 02/04/24 | 15% | 18% | 21% | 100% | 100% | 100% |
| 2 | XS1533915721 | Evraz plc 5.375 20/03/23 | 15% | 18% | 21% | 100% | 100% | 100% |
| № | Ticker | Description | Current stress scenario UP, % | Current stress scenario DOWN, % | New stress scenario UP, % | New stress scenario DOWN, % | ||
|---|---|---|---|---|---|---|---|---|
| 1 | XS1843443273 | Evraz plc 5.25 02/04/24 | 5 | 3 | 0 | 0 | ||
| 2 | XS1533915721 | Evraz plc 5.375 20/03/23 | 5 | 3 | 0 | 0 |