22.06.2020 14:47
Risk parameters change on Securities market
CCP NCC sets the following risk parameters on Securities market starting from June 23, 2020:
1. 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 | ||
| AKNX | AKNX ETF TECHNOLOGIES 100 | 100% | 100% | 100% | 28% | 40% | 100% | 20 000 | 100 000 |
| AKEU | AKEU ETF EUROPE 600 | 100% | 100% | 100% | 27% | 40% | 100% | 20 000 | 100 000 |
2. Ban attribute on short selling will be changed:
| Ticker | Description | Current attribute | New attribute |
|---|---|---|---|
| AKNX | AKNX ETF TECHNOLOGIES 100 | Yes | No |
| AKEU | AKEU ETF EUROPE 600 | Yes | No |
3. Scenarios for stress collateral calculation
| Ticker | Description | Scen_UP | Scen_DOWN |
|---|---|---|---|
| AKNX | AKNX ETF TECHNOLOGIES 100 | 13% | 11% |
| AKEU | AKEU ETF EUROPE 600 | 13% | 11% |