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 |
