Mondo Visione Worldwide Financial Markets Intelligence

FTSE Mondo Visione Exchanges Index:

Moscow Exchange: Risk Parameters Change On Securities Market

Date 26/08/2021

CCP NCC sets the following risk parameters on Securities market starting from August 30, 2021:

  1. Market risk rates and concentration limits
TickerCurrent market risk ratesNew market risk ratesNew concentration limits
S_1_minS_2_minS_3_minS_1_minS_2_minS_3_min1st level2nd level
TRUR 100% 100% 100% 21% 31% 100% 1 623 772 8 118 860
TUSD 100% 100% 100% 24% 34% 100% 1 221 680 6 108 399
TEUR 100% 100% 100% 24% 35% 100% 1 077 409 5 387 045
TGLD 100% 100% 100% 27% 39% 100% 1 839 979 9 199 895
TSPX 100% 100% 100% 28% 40% 100% 1 179 187 5 895 933
TECH 100% 100% 100% 29% 35% 100% 1 171 040 5 855 201
TBIO 100% 100% 100% 29% 43% 100% 1 218 387

6 091 934

 

  1. Scenarios for stress collateral calculation
TickerScen_UPScen_DOWN
TRUR 10% 10%
TUSD 10% 10%
TEUR 10% 10%
TGLD 10% 10%
TSPX 10% 10%
TECH 10% 10%
TBIO 10% 10%