CCP NCC will set the following risk parameters on Securities market starting from February 15th. From this date on, risk parameters will be applied according to the table below.
- Market risk rates:
Ticker | Current market risk rates, % | New market risk rates, % | ||||
---|---|---|---|---|---|---|
Level 1, S_1_min | Level 2, S2_min | Level 3, S3_min | Level 1, S_1_min | Level 2, S2_min | Level 3, S3_min | |
SPBE | 100% | 100% | 100% | 70% | 80% | 95% |
- Concentration limits:
Ticker | Current concentration limits, units | New concentration limits, units | ||
---|---|---|---|---|
1 level | 2 level | 1 level | 2 level | |
SPBE | 2000 | 2001 | 31 331 | 156 652 |
- Stress collateral scenarios:
Ticker | Current scenarios | New scenarios | ||
---|---|---|---|---|
Scen_UP | Scen_DOWN | Scen_UP | Scen_DOWN | |
SPBE | 0% | 0% | 15% | 15% |