08.07.2024 19:09
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 15.07.2024 г., % |
||||
|---|---|---|---|---|---|---|
| S1_min | S2_min | S3_min | S1_min | S2_min | S3_min | |
| VTBR | 100% | 100% | 100% | 17% | 23% | 30% |
- Concentration Limit on the Securities market:
| Ticker | Concentration Limit from 15.07.2024 | |
|---|---|---|
| Level 1 | Level 2 | |
| VTBR | 3 531 730 | 17 658 650 |
- Ban on short selling an eligible collateral on the Securities market:
| Ticker | Current Ban on short selling | Ban on short selling from 15.07.2024 | Current eligible collateral | Eligible collateral from 15.07.2024 |
|---|---|---|---|---|
| VTBR | Yes | No | No | Yes |
- On the Derivatives market:
| Underlying | Current market risk rates | Market risk rates from 19:00 15.07.2024 |
||||
|---|---|---|---|---|---|---|
| MR_1 | MR_2 | MR_3 | MR_1 | MR_2 | MR_3 | |
| VTBR | 100% | 100% | 100% | 17% | 23% | 30% |
| Underlying | Concentration Limit from 19:00 15.07.2024 | |
|---|---|---|
| Level 1 | Level 2 | |
| VTBR | 3 531 730 | 17 658 650 |
Other risk parameters will be available on the NCC website from July, 16th 2024.- https://www.nationalclearingcentre.com/catalog/530902
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