18.05.2020 10:46
Risk parameters change on Securities market
CCP NCC sets the following risk parameters on Securities market starting from May 19, 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 | ||
| FXWO | FinEx USD GLOBAL EQUITY UC ETF | 100% | 100% | 100% | 18% | 26% | 100% | 400 000 | 2 000 000 |
| FXRW | FinEx RUB GLOBAL EQUITY UC ETF | 100% | 100% | 100% | 19% | 28% | 100% | 400 000 | 2 000 000 |
- Ban attribute on short selling will be changed:
| Ticker | Description | Current attribute | New attribute |
|---|---|---|---|
| FXWO | FinEx USD GLOBAL EQUITY UC ETF | Yes | No |
| FXRW | FinEx RUB GLOBAL EQUITY UC ETF | Yes | No |
- Scenarios for stress collateral calculation
| Ticker | Description | Scen_UP | Scen_DOWN |
|---|---|---|---|
| FXWO | FinEx USD GLOBAL EQUITY UC ETF | 10% | 10% |
| FXRW | FinEx RUB GLOBAL EQUITY UC ETF | 10% | 10% |