08.05.2020 19:27
Risk parameters change on Securities market
CCP NCC sets the following risk parameters on Securities market starting from May 12, 2020:
- Market risk rates and concentration limits
| Ticker | 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 | ||
| VTBU | VTBU ETF Russian Eurobonds | 100% | 100% | 100% | 39% | 49% | 100% | 2 600 | 13 000 |
- Ban attribute on short selling will be changed:
| Ticker | Description | Current attribute | New attribute |
|---|---|---|---|
| VTBU | VTBU ETF Russian Eurobonds | Yes | No |
- Scenarios for stress collateral calculation
| Ticker | Description | Scen_UP | Scen_DOWN |
|---|---|---|---|
| VTBU | VTBU ETF Russian Eurobonds | 2% | 2% |