NCC | Risk parameters change on Securities market

News

22 June 2020 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
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
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%