NCC | Risk parameters change on Securities market

News

24 December 2021 Risk parameters change on Securities market

CCP NCC is changing risk parameters on Securities market starting from December 28-th, 2021:

№	Ticker	Description	Current market risk rates			New market risk rates
№	Ticker	Description	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min
1	RU000A0ZYJT2	DOM.RF	35%	38%	100%	32%	35%	100%
2	RU000A0ZZNW5	DOM.RF	23%	26%	100%	25%	28%	100%
3	RU000A0ZZV86	DOM.RF	30%	33%	100%	32%	35%	100%
4	RU000A100YY4	DOM.RF	25%	28%	100%	29%	32%	100%
5	RU000A101JD7	DOM.RF	23%	26%	100%	27%	30%	100%
6	RU000A101TD6	DOM.RF	25%	28%	100%	30%	33%	100%
7	RU000A102D46	DOM.RF	28%	31%	100%	33%	36%	100%
8	RU000A102GD1	DOM.RF	27%	30%	100%	32%	35%	100%
9	RU000A102GV3	DOM.RF	27%	30%	100%	30%	33%	100%
10	RU000A102JB9	DOM.RF	29%	32%	100%	33%	36%	100%
11	RU000A103125	DOM.RF	28%	31%	100%	30%	33%	100%

№	Ticker	Description	Current stress collateral scenario		New stress collateral scenario
№	Ticker	Description	Scen_UP	Scen_DOWN	Scen_UP	Scen_DOWN
1	RU000A0ZYJT2	DOM.RF	8%	8%	7%	7%
2	RU000A0ZZNW5	DOM.RF	8%	8%	10%	10%
3	RU000A0ZZV86	DOM.RF	8%	8%	9%	9%
4	RU000A101TD6	DOM.RF	3%	3%	4%	4%
5	RU000A102GD1	DOM.RF	3%	3%	4%	4%
6	RU000A102GV3	DOM.RF	3%	3%	4%	4%
7	RU000A102JB9	DOM.RF	4%	4%	5%	5%