08.07.2024 16:49
Risk parameters change on the Securities and the Derivatives market
CCP NCC changes the following risk parameters on the Securities market and on the Derivatives market:
- Market risk rates on the Securities market:
Ticker | Current market risk rates | Market risk rates from 10.07.2024 | ||||
---|---|---|---|---|---|---|
S1_min | S2_min | S3_min | S1_min | S2_min | S3_min | |
DIAS | 70% | 80% | 95% | 25% | 35% | 50% |
MSNG | 50% | 75% | 95% | 25% | 50% | 70% |
- Ban on short selling an eligible collateral on the Securities market:
Ticker | Current eligible collateral | Eligible collateral from 10.07.2024 | Current concentration limit per issuer | Сoncentration limit per issuer from 10.07.2024 |
---|---|---|---|---|
MSNG | No | Yes | - | 79 000 000 |
- On the Derivatives market:
Underlying | Market risk rates from 19:00 09.07.2024 |
||
---|---|---|---|
MR_1 | MR_2 | MR_3 | |
DIAS | 25% | 35% | 50% |
MSNG | 25% | 50% | 70% |
Other risk parameters will be available on the NCC website from July, 10th 2024.- https://www.nationalclearingcentre.com/catalog/530902
Risk parameters |