05.02.2024 16:50
Risk parameters change on the Securities market
CCP NCC changes the following risk parameters on Securities market starting from February 6-th 2024:
- Market risk rates and concentration limits:
| № | Ticker | Market risk rates from 06.02.2024 | Concentration limits from 06.02.2024 | |||
| S1_min | S2_min | S3_min | LK1 | LK2 | ||
| 1 | RU000A104YT6 | 9% | 12% | 15% | 300,000 | 1,500,000 |
| 2 | RU000A104JQ3 | 8% | 11% | 14% | 400,000 | 2,000,000 |
| 3 | RU000A103L03 | 8% | 11% | 14% | 300,000 | 1,500,000 |
- Collateral for stress:
| № | Актив | Collateral for stress from 06.02.2024 г. | |
| UP scenario | Down scenario | ||
| 1 | RU000A104YT6 | 2.0% | 2.0% |
| 2 | RU000A104JQ3 | 1.0% | 1.0% |
| 3 | RU000A103L03 | 1.0% | 1.0% |
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