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% |
