CCP NCC is changing risk parameters on Securities market starting from September 30, 2020.
№
Ticker
New market risk rates
New concentration limits, number of securities
Current market risk rates
New Ban on short selling
New
Eligible collateral
S1_min
S2_min
S3_min
LK1
LK2
1
RU000A101RV2
22%
25%
28%
200 000
1 000 000
100%
No
2
RU000A101RZ3
27%
30%
33%
3
RU000A101RP4
14%
17%
20%
400 000
2 000 000
Stress collateral scenarios:
Scen_UP
Scen_DOWN
RU000A101QM3
10%
RU000A101QN1
RU000A101L54
5%
