01.07.2019 13:43

Risk parameters change on Securities market

CCP NCC sets the following risk parameters on Securities market starting from July 2, 2019:

1. Market risk rates and concentration limits

Asset Description Current market risk rates New market risk rates New concentration limits
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
1st level 2nd level
VTBB VTBB ETF Corp Bonds Smart beta 100% 100% 100% 25% 50% 100% 9 550 47 750

2. Scenarios for stress collateral calculation

Asset Description Scen_UP Scen_DOWN
VTBB VTBB ETF Corp Bonds Smart beta 10% 10%

3. Ban on short selling will be cancelled for VTBB ETF Corp Bonds Smart beta.

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