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Moscow Exchange Group: Risk Parameters Change On Securities Market

Date 12/07/2019

CCP NCC sets the following risk parameters on Securities market starting from July 15, 2019:

1. Market risk rates

Asset Current market risk rates New market risk rates
1st level,
S_1_min
2nd level,
S_2_min
3rd level,
S_3_min
1st level,
S_1_min
2nd level,
S_2_min
3rd level,
S_3_min
SU46023RMFS6 40% 41% 42% 100% 100% 100%

 

2. Scenarios for stress collateral calculation

Asset Scen_UP Scen_DOWN
SU46023RMFS6 0% 0%

 

3. CCP NCC will ban the short sells for SU46023RMFS6 starting from July 15, 2019.