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27 June 2023

CCP NCC sets the following risk parameters on Securities market starting from June 29, 2023 and on Derivatives market starting from 7 p.m. Moscow time on June 28, 2023.

For Securities market:

№ Asset Current market risk rates Market risk rates
from 29.06.2023
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 BELU 50% 56% 63% 36% 42% 49%
2 SGZH 25% 31% 38% 50% 56% 63%
3 WUSH 100% 100% 100% 70% 80% 95%

 

№ Asset Current concentration limit, of securities Concentration limit, of securities from 29.06.2023 Current ban on short selling New ban on short selling from 29.06.2023
LK_1 LK_2 LK_1 LK_2
1 WUSH 2 000 2 001 70 148 350 740 Yes No

 

№ Asset Scen_UP Scen_DOWN
1 WUSH 26% 26%


For Derivatives market:

  Underlying Market risk rates from 7 p.m. 28.06.2023 Concentration limits from 7 p.m. 28.06.2023
№ MR1 MR2 MR3 LK1 LK2
1 BELU 36% 42% 49% 3 574 17 870
2 SGZH 50% 56% 63% 2 324 525 11 622 625
3 WUSH 70% 80% 95% 70 148 350 740
4 FLOT 33% 39% 46% 192 060 960 300

 

№ Underlying Scen_UP Scen_DOWN
1 BELU 15% 15%
2 SGZH 15% 15%
3 WUSH 26% 26%
4 FLOT 7% 7%