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28 October 2024

CCP NCC changes the following risk parameters on Securities market and On the Derivatives market:
 

  1. Market risk rates and concentration limits:
Ticker Current market risk rates Market risk rates from 06.11.2024 Current concentration limits Concentration limits from 06.11.2024
S1_min S2_min S3_min S1_min S2_min S3_min LK1 LK2 LK1 LK2
FLOT 33% 39% 46% 17% 23% 30% 1 492 849 7 464 245 1 098 701 5 493 506
FEES 25% 31% 38% 20% 26% 33% 481 695 000 2 408 475 000 493 760 952 2 468 804 759
UPRO 33% 39% 46% 20% 26% 33% 31 146 437 155 732 185 21 091 274 105 456 368
CBOM 40% 57% 82% 33% 50% 75% 4 751 328 23 756 640 1 575 841 7 879 203
LEAS 33% 68% 88% 20% 55% 75% 47 867 239 335 42 896 214 479
POSI 50% 75% 95% 50% 75% 95% 39 400 197 000 46 729 233 646
BSPB 40% 57% 82% 33% 50% 75% 466 045 2 330 225 368 505 1 842 527
ENPG 50% 75% 95% 50% 75% 95% 48 871 244 355 53 187 265 934
SMLT 33% 39% 46% 33% 39% 46% 26 525 132 625 47 111 235 556
SELG 70% 80% 95% 50% 80% 95% 604 929 3 024 645 689 328 3 446 639

 

  1. Collateral:
Ticker Current Collateral Collateral from 06.11.2024
FLOT No Yes
FEES No Yes
UPRO No Yes
BSPB No Yes


 

  1. On the Derivatives market:
Тикер Market risk rates Market risk rates from 19:00 05.11.2024 Concentration Limit Concentration Limit from 19:00 05.11.2024
MR_1 MR_2 MR_3 MR_1 MR_2 MR_3 Level 1 Level 2 Level 1 Level 2
FLOT 33% 39% 46% 17% 23% 30% 1 492 849 7 464 245 1 098 701 5 493 506
FEES 25% 31% 38% 20% 26% 33% 481 695 000 2 408 475 000 493 760 952 2 468 804 759
CBOM 40% 57% 82% 33% 50% 75% 4 751 328 23 756 640 1 575 841 7 879 203
LEAS 33% 68% 88% 20% 55% 75% 47 867 239 335 42 896 214 479
POSI 50% 75% 95% 50% 75% 95% 39 400 197 000 46 729 233 646
BSPB 40% 57% 82% 33% 50% 75% 466 045 2 330 225 368 505 1 842 527
SMLT 33% 39% 46% 33% 39% 46% 26 525 132 625 47 111 235 556