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12 August 2024

CCP NCC changes risk params:
 

1. Market risk rates, excess risk scenarios:

Underlying Current market risk rates, % Current Excess Risk Scenarios UP/DOWN, % Market risk rates from 19:00 13.08.2024, % Excess Risk Scenarios UP/DOWN from 14.08.2024, %
MR_1 MR_2 MR_3 MR_1 MR_2 MR_3
MIX 15 21 28 6/6 10 16 22 11/11
MXI 15 21 28 6/6 10 16 22 11/11
IMOEX 15 21 28 6/6 10 16 22 11/11
IMX 15 21 28 6/6 10 16 22 11/11
RTS 15 21 28 6/6 13 20 27 8/8
RTSM 15 21 28 6/6 13 20 27 8/8
BR 18 23 31 5/5 12 18 26 16/16
PLD 17 22 30 5/5 14 21 28 8/8


2. Concentration limits:

Underlying Current Concentration Limit, # of securities Concentration Limit, # of securities from 19:00 13.08.2024
LK1 LK2 LK1 LK2
MIX 4 300 21 500 6 369 31 844
PLD 850 4 250 965 4 822
NASD 418 440 2 092 200 591 465 2 957 322



Other risk parameters will be available on the NCC website from August, 14th 2024.- https://www.nationalclearingcentre.com/catalog/530902