NCC | Risk parameters change on the Securities market

News

23 November 2023 Risk parameters change on the Securities market

CCP NCC changes the following risk parameters on Securities market starting from November 24-th 2023:

1. Market risk rates and concentration limits:

№	Ticker	Market risk rates from 24.11.2023			Concentration limits from 24.11.2023		Ban on short selling from 24.11.2023
№	Ticker	S1_min	S2_min	S3_min	LK1	LK2	Ban on short selling from 24.11.2023
1	RU000A1065R7	19%	22%	33%	330,313	1,651,565	No
2	RU000A106HE8	19%	22%	33%	3,948,553	19,742,765	No

2. Collateral for stress:

№	Актив	Collateral for stress from 24.11.2023 г.
№	Актив	UP scenario	Down scenario
1	RU000A1065R7	4.0%	4.0%
2	RU000A106HE8	3.0%	3.0%