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Risk parameters change on the Securities market and on the Derivatives market


CCP NCC changes risk params on the Securities market and on the Derivatives market:

1. On the Securities market:

Ticker Current market risk rates, % Market risk rates from
01.07.2024 г., %
Market risk rates from
03.07.2024 г., %
Market risk rates from 05.07.2024, %
S1_min S2_min S3_min S1_min S2_min S3_min S1_min S2_min S3_min S1_min S2_min S3_min
VTBR 17% 23% 30% 50% 75% 95% 70% 80% 95% 100% 100% 100%

2. Ban on short selling an eligible collateral on the Securities market:

Ticker Current Ban on short selling Ban on short selling from 02.07.2024 Current eligible collateral Eligible collateral from 05.07.2024
VTBR No Yes Yes No

3. On the Derivatives market:

Underlying Current market risk rates Market risk rates from
19:00 28.06.2024
Market risk rates from
19:00 02.07.2024
Market risk rates from
19:00 04.07.2024
MR_1 MR_2 MR_3 MR_1 MR_2 MR_3 MR_1 MR_2 MR_3 MR_1 MR_2 MR_3
VTBR 17% 23% 30% 50% 75% 95% 70% 80% 95% 100% 100% 100%