NCC | Risk parameters change on Securities market

News

08 May 2020 Risk parameters change on Securities market

CCP NCC sets the following risk parameters on Securities market starting from May 12, 2020:

Market risk rates and concentration limits

Ticker	Description	Current market risk rates			New market risk rates			New concentration limits
Ticker	Description	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min	1^st level	2^nd level
VTBU	VTBU ETF Russian Eurobonds	100%	100%	100%	39%	49%	100%	2 600	13 000

Ban attribute on short selling will be changed:

Ticker	Description	Current attribute	New attribute
VTBU	VTBU ETF Russian Eurobonds	Yes	No

Scenarios for stress collateral calculation

Ticker	Description	Scen_UP	Scen_DOWN
VTBU	VTBU ETF Russian Eurobonds	2%	2%