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%

 

 

 

 

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Risk parameters