CCP NCC sets the following risk parameters on Securities market starting from September 17, 2019:
- Market risk rates and concentration limits
| Asset | Description | Current market risk rates | New market risk rates | New concentration limits | |||||
|---|---|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | 1st level | 2nd level | ||
| SBSP | SBSP ETF S&P 500 | 100% | 100% | 100% | 22% | 31% | 100% | 10 000 | 50 000 |
| SBGB | SBGB ETF MOEX OFZ | 100% | 100% | 100% | 17% | 27% | 100% | 10 000 | 50 000 |
| SBCB | SBCB ETF USD Corporate Bonds | 100% | 100% | 100% | 15% | 26% | 100% | 10 000 | 50 000 |
| AKSP | AKSP ETF S&P 500 | 100% | 100% | 100% | 29% | 41% | 100% | 20 000 | 100 000 |
| FXTB | FinEx USD CASH EQUIVALENTS ETF | 100% | 100% | 100% | 10% | 15% | 100% | 2 000 | 10 000 |
- Scenarios for stress collateral calculation
| Asset | Description | Scen_UP | Scen_DOWN |
|---|---|---|---|
| SBSP | SBSP ETF S&P 500 | 10% | 10% |
| SBGB | SBGB ETF MOEX OFZ | 10% | 10% |
| SBCB | SBCB ETF USD Corporate Bonds | 7% | 5% |
| AKSP | AKSP ETF S&P 500 | 10% | 10% |
| FXTB | FinEx USD CASH EQUIVALENTS ETF | 7% | 5% |
- Ban attribute on short selling will be changed:
| Asset | Description | Current attribute | New attribute |
|---|---|---|---|
| SBSP | SBSP ETF S&P 500 | Yes | No |
| SBGB | SBGB ETF MOEX OFZ | Yes | No |
| SBCB | SBCB ETF USD Corporate Bonds | Yes | No |
| AKSP | AKSP ETF S&P 500 | Yes | No |
| FXTB | FinEx USD CASH EQUIVALENTS ETF | Yes | No |
