NCC | Risk parameters change on Securities market

News

25 August 2020 Risk parameters change on Securities market

CCP NCC sets the following risk parameters on Securities market starting from August 25, 2020:

Market risk rates and concentration limits

Ticker	Current market risk rates			New market risk rates
Ticker	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min
AKSP	29%	41%	100%	27%	39%	100%
SBCB	32%	37%	100%	32%	37%	100%
SBGB	31%	42%	100%	16%	22%	100%
SBMX	17%	27%	100%	24%	39%	100%
SBRB	20%	24%	100%	50%	57%	100%
SBSP	100%	100%	100%	21%	29%	100%
VTBB	25%	50%	100%	30%	40%	100%
VTBE	100%	100%	100%	28%	40%	100%
VTBG	100%	100%	100%	27%	38%	100%
VTBH	100%	100%	100%	26%	36%	100%
VTBU	39%	49%	100%	36%	46%	100%
VTBX	100%	100%	100%	22%	34%	100%

Ban attribute on short selling will be changed:

Ticker	Current attribute	New attribute
AKMB	Да	Нет
SBRB	Да	Нет
VTBE	Да	Нет
VTBH	Да	Нет
VTBX	Да	Нет

Scenarios for stress collateral calculation

Ticker	Scen_UP	Scen_DOWN
AKEU	13%	11%
AKNX	13%	11%
AKSP	13%	11%
SBCB	13%	11%
SBGB	10%	10%
SBMX	10%	10%
SBRB	10%	10%
SBSP	13%	11%
VTBA	13%	11%
VTBB	10%	10%
VTBE	13%	11%
VTBG	13%	11%
VTBH	13%	11%
VTBM	2%	2%
AKEU	13%	11%
AKNX	13%	11%