27.01.2022 18:47
Risk parameters on Securities market
CCP NCC will set the following risk parameters on Securities market:
- Market risk rates and concentration limits, attributes for ban on short selling and eligible as collateral:
| Effective date | Ticker | Name | Ban on short selling | Eligible as collateral | Market risk rates | Concentration limits | |||
|---|---|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | Level 1 | Level 2 | |||||
| 28.01.2022 | BOTZ-RM | Global X Robotics & Artificial Intelligence ETF | No | No | 14% | 22% | 31% | 22 030 | 110 150 |
| LIT-RM | Global X Lithium & Battery Tech ETF | No | No | 15% | 24% | 34% | 8 150 | 40 750 | |
| IGF-RM | iShares Global Infrastructure ETF | No | No | 13% | 21% | 29% | 13 660 | 68 300 | |
| MCHI-RM | ISHARES MSCI CHINA ETF | No | No | 13% | 21% | 29% | 10 360 | 51 800 | |
| 31.01.2022 | SPY-RM | SPDR S&P 500 ETF TRUST | No | No | 13% | 21% | 29% | 1 470 | 7 350 |
| XLE-RM | ENERGY SELECT SECTOR SPDR | No | No | 16% | 25% | 36% | 9 720 | 48 600 | |
| XLF-RM | FINANCIAL SELECT SECTOR SPDR | No | No | 15% | 24% | 34% | 16 550 | 82 750 | |
- Stress collateral scenarios:
| Effective date | Ticker | Name | Scen_UP | Scen_DOWN |
|---|---|---|---|---|
| 28.01.2022 | BOTZ-RM | Global X Robotics & Artificial Intelligence ETF | 10% | 10% |
| LIT-RM | Global X Lithium & Battery Tech ETF | 10% | 10% | |
| IGF-RM | iShares Global Infrastructure ETF | 10% | 10% | |
| MCHI-RM | ISHARES MSCI CHINA ETF | 10% | 10% | |
| 31.01.2022 | SPY-RM | SPDR S&P 500 ETF TRUST | 10% | 10% |
| XLE-RM | ENERGY SELECT SECTOR SPDR | 10% | 10% | |
| XLF-RM | FINANCIAL SELECT SECTOR SPDR | 10% | 10% |