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.