CCP NCC sets the following risk parameters on Securities market starting from August 30, 2021:
1. Market risk rates and concentration limits
Ticker
Current market risk rates
New market risk rates
New concentration limits
S_1_min
S_2_min
S_3_min
1st level
2nd level
TRUR
100%
21%
31%
1 623 772
8 118 860
TUSD
24%
34%
1 221 680
6 108 399
TEUR
35%
1 077 409
5 387 045
TGLD
27%
39%
1 839 979
9 199 895
TSPX
28%
40%
1 179 187
5 895 933
TECH
29%
1 171 040
5 855 201
TBIO
43%
1 218 387
6 091 934
2. Scenarios for stress collateral calculation
Scen_UP
Scen_DOWN
10%
