27.06.2023 15:28
Risk Parameters on Securities and Derivatives markets
CCP NCC sets the following risk parameters on Securities market starting from June 29, 2023 and on Derivatives market starting from 7 p.m. Moscow time on June 28, 2023.
For Securities market:
| № | Asset | Current market risk rates | Market risk rates | ||||
| from 29.06.2023 | |||||||
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | ||
| 1 | BELU | 50% | 56% | 63% | 36% | 42% | 49% |
| 2 | SGZH | 25% | 31% | 38% | 50% | 56% | 63% |
| 3 | WUSH | 100% | 100% | 100% | 70% | 80% | 95% |
| № | Asset | Current concentration limit, of securities | Concentration limit, of securities from 29.06.2023 | Current ban on short selling | New ban on short selling from 29.06.2023 | ||
| LK_1 | LK_2 | LK_1 | LK_2 | ||||
| 1 | WUSH | 2 000 | 2 001 | 70 148 | 350 740 | Yes | No |
| № | Asset | Scen_UP | Scen_DOWN |
| 1 | WUSH | 26% | 26% |
For Derivatives market:
| Underlying | Market risk rates from 7 p.m. 28.06.2023 | Concentration limits from 7 p.m. 28.06.2023 | ||||
| № | MR1 | MR2 | MR3 | LK1 | LK2 | |
| 1 | BELU | 36% | 42% | 49% | 3 574 | 17 870 |
| 2 | SGZH | 50% | 56% | 63% | 2 324 525 | 11 622 625 |
| 3 | WUSH | 70% | 80% | 95% | 70 148 | 350 740 |
| 4 | FLOT | 33% | 39% | 46% | 192 060 | 960 300 |
| № | Underlying | Scen_UP | Scen_DOWN |
| 1 | BELU | 15% | 15% |
| 2 | SGZH | 15% | 15% |
| 3 | WUSH | 26% | 26% |
| 4 | FLOT | 7% | 7% |