11.06.2024 20:12
Risk parameters change on the Securities market and on the Derivatives market
CCP NCC changes risk params on the Securities market and on the Derivatives market:
- On the Securities market:
| Ticker | Current market risk rates, % | Market risk rates from 01.07.2024 г., % |
Market risk rates from 03.07.2024 г., % |
Market risk rates from 05.07.2024, % | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| S1_min | S2_min | S3_min | S1_min | S2_min | S3_min | S1_min | S2_min | S3_min | S1_min | S2_min | S3_min | |
| VTBR | 17% | 23% | 30% | 50% | 75% | 95% | 70% | 80% | 95% | 100% | 100% | 100% |
- Ban on short selling an eligible collateral on the Securities market:
| Ticker | Current Ban on short selling | Ban on short selling from 02.07.2024 | Current eligible collateral | Eligible collateral from 05.07.2024 |
|---|---|---|---|---|
| VTBR | No | Yes | Yes | No |
- On the Derivatives market:
| Underlying | Current market risk rates | Market risk rates from 19:00 28.06.2024 |
Market risk rates from 19:00 02.07.2024 |
Market risk rates from 19:00 04.07.2024 |
||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| MR_1 | MR_2 | MR_3 | MR_1 | MR_2 | MR_3 | MR_1 | MR_2 | MR_3 | MR_1 | MR_2 | MR_3 | |
| VTBR | 17% | 23% | 30% | 50% | 75% | 95% | 70% | 80% | 95% | 100% | 100% | 100% |