01.03.2024 15:35
Risk parameters change on the Securities market
CCP NCC changes the following risk parameters on Securities market starting from March 5-th 2024:
- Market risk rates:
| № | Ticker | Current market risk rates | Market risk rates from 05.03.2024 | ||||
| S1_min | S2_min | S3_min | S1_min | S2_min | S3_min | ||
| 1 | RU000A101GR3 | 6.0% | 9.0% | 12.0% | 40.0% | 43.0% | 46.0% |
| 2 | RU000A106M41 | 19.0% | 22.0% | 25.0% | 100.0% | 100.0% | 100.0% |
| 3 | RU000A0ZYVU5 | 8.0% | 11.0% | 14.0% | 16.0% | 19.0% | 22.0% |
| 4 | RU000A0JVNB2 | 10.0% | 13.0% | 16.0% | 40.0% | 43.0% | 46.0% |
- Collateral for stress:
| № | Ticker | Current collateral for stress | Collateral for stress from 05.03.2024 г. | ||
| UP scenario | Down scenario | UP scenario | Down scenario | ||
| 1 | RU000A101GR3 | 1.0% | 1.0% | 0.0% | 0.0% |
| 2 | RU000A106M41 | 4.5% | 4.5% | 0.0% | 0.0% |
| 3 | RU000A0ZYVU5 | 2.0% | 2.0% | 7.5% | 7.5% |
| 4 | RU000A0JVNB2 | 2.0% | 2.0% | 0.0% | 0.0% |