20.09.2023 13:19

О введении новых значений риск-параметров

Уважаемые Участники клиринга!

Сообщаем вам, что в соответствии с Методикой установления и изменения риск-параметров Небанковской кредитной организации - центрального контрагента «СПБ Клиринг» (акционерное общество) с 21 сентября 2023 года устанавливаются следующие значения риск-параметров для рынка СПБ:

Код ценной бумаги

Наименование

ISIN

Минимальное базовое ГО, %

MR_stress, %

ch_fine_short, %

ch_fine_long, %

fine_short, %

fine_long, %

ch_fine_borrow money, %

ch_fine_borrow security, %

Group_name

ICLN

iShares Global Clean Energy ETF

US4642882249

13.00

13.00

5

3

11

6.5

3.25

3.25

6

TECL

Direxion Daily Technology Bull 3X Shares

US25459W1027

31.00

31.00

5

3

11

6.5

3.25

3.25

6

QLD

ProShares Ultra QQQ

US74347R2067

19.00

19.00

5

3

11

6.5

3.25

3.25

6

SPXU

ProShares UltraPro Short S&P500

US74347B1109

23.00

23.00

5

3

11

6.5

3.25

3.25

6

UDOW

ProShares UltraPro Dow30

US74347X8231

21.00

21.00

5

3

11

6.5

3.25

3.25

6

SOXS

Direxion Daily Semiconductor Bear 3X Shares

US25460G3368

43.00

43.00

5

3

11

6.5

3.25

3.25

6

TMF

Direxion Daily 20+ Year Treasury Bull 3X Shares

US25459W5408

22.00

22.00

5

3

11

6.5

3.25

3.25

6

BIL

SPDR Bloomberg 1-3 Month T-Bill ETF

US78468R6633

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VCSH

Vanguard Short-Term Corporate Bond ETF

US92206C4096

10.00

10.00

5

3

11

6.5

3.25

3.25

6

DRIV

Global X Autonomous & Electric Vehicles ETF

US37954Y6243

12.00

12.00

5

3

11

6.5

3.25

3.25

6

SCHD

Schwab U.S. Dividend Equity ETF

US8085247976

10.00

10.00

5

3

11

6.5

3.25

3.25

6

AAXJ

iShares MSCI All Country Asia ex Japan ETF

US4642881829

10.00

10.00

5

3

11

6.5

3.25

3.25

6

ACWI

iShares MSCI ACWI ETF

US4642882579

10.00

10.00

5

3

11

6.5

3.25

3.25

6

MTUM

iShares MSCI USA Momentum Factor ETF

US46432F3964

10.00

10.00

5

3

11

6.5

3.25

3.25

6

SPYD

SPDR Portfolio S&P 500 High Dividend ETF

US78468R7888

11.00

11.00

5

3

11

6.5

3.25

3.25

6

VYMI

Vanguard International High Dividend Yield ETF

US9219467944

10.00

10.00

5

3

11

6.5

3.25

3.25

6

WCLD

WisdomTree Cloud Computing Fund

US97717Y6914

17.00

17.00

5

3

11

6.5

3.25

3.25

6

IEFA

iShares Core MSCI EAFE ETF

US46432F8427

10.00

10.00

5

3

11

6.5

3.25

3.25

6

PICK

iShares MSCI Global Metals & Mining Producers ETF

US46434G8481

16.00

16.00

5

3

11

6.5

3.25

3.25

6

KBWB

Invesco KBW Bank ETF

US46138E6288

16.00

16.00

5

3

11

6.5

3.25

3.25

6

ESGE

iShares ESG Aware MSCI EM ETF

US46434G8630

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VLUE

iShares MSCI USA Value Factor ETF

US46432F3881

10.00

10.00

5

3

11

6.5

3.25

3.25

6

SPLG

SPDR Portfolio S&P 500 ETF

US78464A8541

10.00

10.00

5

3

11

6.5

3.25

3.25

6

ESGU

iShares ESG Aware MSCI USA ETF

US46435G4257

10.00

10.00

5

3

11

6.5

3.25

3.25

6

IXUS

iShares Core MSCI Total International Stock ETF

US46432F8344

10.00

10.00

5

3

11

6.5

3.25

3.25

6

EZU

iShares MSCI Eurozone ETF

US4642866085

12.00

12.00

5

3

11

6.5

3.25

3.25

6

IQLT

iShares MSCI Intl Quality Factor ETF

US46434V4564

10.00

10.00

5

3

11

6.5

3.25

3.25

6

GSLC

Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF

US3814305039

10.00

10.00

5

3

11

6.5

3.25

3.25

6

ACWX

iShares MSCI ACWI ex U.S. ETF

US4642882405

10.00

10.00

5

3

11

6.5

3.25

3.25

6

ESGV

Vanguard ESG U.S. Stock ETF

US9219107334

10.00

10.00

5

3

11

6.5

3.25

3.25

6

MCHI

iShares MSCI China ETF

US46429B6719

16.00

16.00

5

3

11

6.5

3.25

3.25

6

IXC

iShares Global Energy ETF

US4642873412

13.00

13.00

5

3

11

6.5

3.25

3.25

6

SOXX

iShares Semiconductor ETF

US4642875235

16.00

16.00

5

3

11

6.5

3.25

3.25

6

ILF

iShares Latin America 40 ETF

US4642873909

16.00

16.00

5

3

11

6.5

3.25

3.25

6

LIT

Global X Lithium & Battery Tech ETF

US37954Y8553

13.00

13.00

5

3

11

6.5

3.25

3.25

6

COPX

Global X Copper Miners ETF

US37954Y8306

16.00

16.00

5

3

11

6.5

3.25

3.25

6

VWO

Vanguard FTSE Emerging Markets ETF

US9220428588

10.00

10.00

5

3

11

6.5

3.25

3.25

6

IWP

iShares Russell Mid-Cap Growth ETF

US4642874816

10.00

10.00

5

3

11

6.5

3.25

3.25

6

IJH

iShares Core S&P Mid-Cap ETF

US4642875078

11.00

11.00

5

3

11

6.5

3.25

3.25

6

VTI

Vanguard Total Stock Market ETF

US9229087690

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VPL

Vanguard FTSE Pacific ETF

US9220428661

10.00

10.00

5

3

11

6.5

3.25

3.25

6

IWN

iShares Russell 2000 Value ETF

US4642876308

11.00

11.00

5

3

11

6.5

3.25

3.25

6

IWF

iShares Russell 1000 Growth ETF

US4642876142

10.00

10.00

5

3

11

6.5

3.25

3.25

6

IWB

iShares Russell 1000 ETF

US4642876225

10.00

10.00

5

3

11

6.5

3.25

3.25

6

EWU

iShares MSCI United Kingdom ETF

US46435G3341

11.00

11.00

5

3

11

6.5

3.25

3.25

6

VOT

Vanguard Mid-Cap Growth ETF

US9229085389

11.00

11.00

5

3

11

6.5

3.25

3.25

6

IYW

iShares U.S. Technology ETF

US4642877215

12.00

12.00

5

3

11

6.5

3.25

3.25

6

FEZ

SPDR EURO STOXX 50 ETF

US78463X2027

12.00

12.00

5

3

11

6.5

3.25

3.25

6

VEA

Vanguard FTSE Developed Markets ETF

US9219438580

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VTV

Vanguard Value ETF

US9229087443

10.00

10.00

5

3

11

6.5

3.25

3.25

6

REMX

VanEck Rare Earth/Strategic Metals ETF

US92189H8051

16.00

16.00

5

3

11

6.5

3.25

3.25

6

VGK

Vanguard FTSE Europe ETF

US9220428745

11.00

11.00

5

3

11

6.5

3.25

3.25

6

IJR

iShares Core S&P Small-Cap ETF

US4642878049

11.00

11.00

5

3

11

6.5

3.25

3.25

6

IEV

iShares Europe ETF

US4642878619

11.00

11.00

5

3

11

6.5

3.25

3.25

6

EWC

iShares MSCI Canada ETF

US4642865095

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VXUS

Vanguard Total International Stock ETF

US9219097683

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VIG

Vanguard Dividend Appreciation ETF

US9219088443

10.00

10.00

5

3

11

6.5

3.25

3.25

6

SCZ

iShares MSCI EAFE Small-Cap ETF

US4642882736

11.00

11.00

5

3

11

6.5

3.25

3.25

6

IEMG

iShares Core MSCI Emerging Markets ETF

US46434G1031

10.00

10.00

5

3

11

6.5

3.25

3.25

6

TUR

iShares MSCI Turkey ETF

US4642867158

18.00

18.00

5

3

11

6.5

3.25

3.25

6

VDE

Vanguard Energy ETF

US92204A3068

14.00

14.00

5

3

11

6.5

3.25

3.25

6

KBE

SPDR S&P Bank ETF

US78464A7972

15.00

15.00

5

3

11

6.5

3.25

3.25

6

TIP

iShares TIPS Bond ETF

US4642871762

10.00

10.00

5

3

11

6.5

3.25

3.25

6

IGSB

iShares 1-5 Year Investment Grade Corporate Bond ETF

US4642886463

10.00

10.00

5

3

11

6.5

3.25

3.25

6

OIH

VanEck Oil Services ETF

US92189H6071

19.00

19.00

5

3

11

6.5

3.25

3.25

6

EFV

iShares MSCI EAFE Value ETF

US4642888774

11.00

11.00

5

3

11

6.5

3.25

3.25

6

XSD

SPDR S&P Semiconductor ETF

US78464A8624

15.00

15.00

5

3

11

6.5

3.25

3.25

6

VEU

Vanguard FTSE All-World ex-US ETF

US9220427754

10.00

10.00

5

3

11

6.5

3.25

3.25

6

SDY

SPDR S&P Dividend ETF

US78464A7634

10.00

10.00

5

3

11

6.5

3.25

3.25

6

DVY

iShares Select Dividend ETF

US4642871689

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VV

Vanguard Large-Cap ETF

US9229086379

10.00

10.00

5

3

11

6.5

3.25

3.25

6

MGK

Vanguard Mega Cap Growth ETF

US9219108167

11.00

11.00

5

3

11

6.5

3.25

3.25

6

GXC

SPDR S&P China ETF

US78463X4007

15.00

15.00

5

3

11

6.5

3.25

3.25

6

RSP

Invesco S&P 500 Equal Weight ETF

US46137V3574

10.00

10.00

5

3

11

6.5

3.25

3.25

6

HDV

iShares Core High Dividend ETF

US46429B6636

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VSS

Vanguard FTSE All-World ex-US Small-Cap ETF

US9220427184

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VIS

Vanguard Industrials ETF

US92204A6038

10.00

10.00

5

3

11

6.5

3.25

3.25

6

EIDO

iShares MSCI Indonesia ETF

US46429B3096

10.00

10.00

5

3

11

6.5

3.25

3.25

6

EWS

iShares MSCI Singapore ETF

US46434G7806

10.00

10.00

5

3

11

6.5

3.25

3.25

6

IWD

iShares Russell 1000 Value ETF

US4642875987

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VO

Vanguard Mid-Cap ETF

US9229086296

10.00

10.00

5

3

11

6.5

3.25

3.25

6

ANGL

VanEck Fallen Angel High Yield Bond ETF

US92189F4375

10.00

10.00

5

3

11

6.5

3.25

3.25

6

JNK

SPDR Bloomberg High Yield Bond ETF

US78468R6229

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VBR

Vanguard Small-Cap Value ETF

US9229086114

11.00

11.00

5

3

11

6.5

3.25

3.25

6

ITOT

iShares Core S&P Total U.S. Stock Market ETF

US4642871507

10.00

10.00

5

3

11

6.5

3.25

3.25

6

EWM

iShares MSCI Malaysia ETF

US46434G8143

10.00

10.00

5

3

11

6.5

3.25

3.25

6

EZA

iShares MSCI South Africa ETF

US4642867802

15.00

15.00

5

3

11

6.5

3.25

3.25

6

EPI

WisdomTree India Earnings Fund

US97717W4226

10.00

10.00

5

3

11

6.5

3.25

3.25

6

EWA

iShares MSCI Australia ETF

US4642861037

11.00

11.00

5

3

11

6.5

3.25

3.25

6

EWI

iShares MSCI Italy ETF

US46434G8309

13.00

13.00

5

3

11

6.5

3.25

3.25

6

THD

iShares MSCI Thailand ETF

US4642866242

10.00

10.00

5

3

11

6.5

3.25

3.25

6

SCHE

Schwab Emerging Markets Equity ETF

US8085247067

10.00

10.00

5

3

11

6.5

3.25

3.25

6

SCHA

Schwab U.S. Small-Cap ETF

US8085246077

11.00

11.00

5

3

11

6.5

3.25

3.25

6

XHB

SPDR S&P Homebuilders ETF

US78464A8889

15.00

15.00

5

3

11

6.5

3.25

3.25

6

EWW

iShares MSCI Mexico ETF

US4642868222

11.00

11.00

5

3

11

6.5

3.25

3.25

6

IUSV

iShares Core S&P U.S. Value ETF

US4642876639

10.00

10.00

5

3

11

6.5

3.25

3.25

6

SPDW

SPDR Portfolio Developed World ex-US ETF

US78463X8891

10.00

10.00

5

3

11

6.5

3.25

3.25

6

RPV

Invesco S&P 500 Pure Value ETF

US46137V2584

11.00

11.00

5

3

11

6.5

3.25

3.25

6

EWP

iShares MSCI Spain ETF

US4642867646

11.00

11.00

5

3

11

6.5

3.25

3.25

6

IWO

iShares Russell 2000 Growth ETF

US4642876480

11.00

11.00

5

3

11

6.5

3.25

3.25

6

SPSB

SPDR Portfolio Short Term Corporate Bond ETF

US78464A4748

10.00

10.00

5

3

11

6.5

3.25

3.25

6

SPLV

Invesco S&P 500 Low Volatility ETF

US46138E3541

10.00

10.00

5

3

11

6.5

3.25

3.25

6

IXG

iShares Global Financials ETF

US4642873339

11.00

11.00

5

3

11

6.5

3.25

3.25

6

EWQ

iShares MSCI France ETF

US4642867075

12.00

12.00

5

3

11

6.5

3.25

3.25

6

IWR

iShares Russell Mid-Cap ETF

US4642874998

10.00

10.00

5

3

11

6.5

3.25

3.25

6

IYE

iShares U.S. Energy ETF

US4642877967

14.00

14.00

5

3

11

6.5

3.25

3.25

6

IYF

iShares U.S. Financials ETF

US4642877884

12.00

12.00

5

3

11

6.5

3.25

3.25

6

VXF

Vanguard Extended Market ETF

US9229086528

11.00

11.00

5

3

11

6.5

3.25

3.25

6

DXJ

WisdomTree Japan Hedged Equity Fund

US97717W8516

10.00

10.00

5

3

11

6.5

3.25

3.25

6

MDY

SPDR S&P Midcap 400 ETF Trust

US78467Y1073

11.00

11.00

5

3

11

6.5

3.25

3.25

6

SCHG

Schwab U.S. Large-Cap Growth ETF

US8085243009

11.00

11.00

5

3

11

6.5

3.25

3.25

6

EPP

iShares MSCI Pacific ex Japan ETF

US4642866655

10.00

10.00

5

3

11

6.5

3.25

3.25

6

OEF

iShares S&P 100 ETF

US4642871010

10.00

10.00

5

3

11

6.5

3.25

3.25

6

SCHB

Schwab U.S. Broad Market ETF

US8085241029

10.00

10.00

5

3

11

6.5

3.25

3.25

6

AGG

iShares Core U.S. Aggregate Bond ETF

US4642872265

10.00

10.00

5

3

11

6.5

3.25

3.25

6

XLC

The Communication Services Select Sector SPDR Fund

US81369Y8527

13.00

13.00

5

3

11

6.5

3.25

3.25

6

SMH

VanEck Semiconductor ETF

US92189F6768

15.00

15.00

5

3

11

6.5

3.25

3.25

6

INDA

iShares MSCI India ETF

US46429B5984

10.00

10.00

5

3

11

6.5

3.25

3.25

6

EMB

iShares J.P. Morgan USD Emerging Markets Bond ETF

US4642882819

10.00

10.00

5

3

11

6.5

3.25

3.25

6

TNA

Direxion Daily Small Cap Bull 3X Shares

US25459W8477

28.00

28.00

5

3

11

6.5

3.25

3.25

6

FAS

Direxion Daily Financial Bull 3X Shares

US25459Y6941

30.00

30.00

5

3

11

6.5

3.25

3.25

6

SOXL

Direxion Daily Semiconductor Bull 3X Shares

US25459W4583

41.00

41.00

5

3

11

6.5

3.25

3.25

6

ESGD

iShares ESG Aware MSCI EAFE ETF

US46435G5163

10.00

10.00

5

3

11

6.5

3.25

3.25

6

BOTZ

Global X Robotics & Artificial Intelligence ETF

US37954Y7159

11.00

11.00

5

3

11

6.5

3.25

3.25

6

IYT

iShares U.S. Transportation ETF

US4642871929

12.00

12.00

5

3

11

6.5

3.25

3.25

6

VCIT

Vanguard Intermediate-Term Corporate Bond ETF

US92206C8709

10.00

10.00

5

3

11

6.5

3.25

3.25

6

USMV

iShares MSCI USA Min Vol Factor ETF

US46429B6974

10.00

10.00

5

3

11

6.5

3.25

3.25

6

SH

ProShares Short S&P500

US74347B4251

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VCLT

Vanguard Long-Term Corporate Bond ETF

US92206C8139

10.00

10.00

5

3

11

6.5

3.25

3.25

6

DIA

SPDR Dow Jones Industrial Average ETF Trust

US78467X1090

10.00

10.00

5

3

11

6.5

3.25

3.25

6

SDS

ProShares UltraShort S&P500

US74347G4165

16.00

16.00

5

3

11

6.5

3.25

3.25

6

XLY

The Consumer Discretionary Select Sector SPDR Fund

US81369Y4070

11.00

11.00

5

3

11

6.5

3.25

3.25

6

QUAL

iShares MSCI USA Quality Factor ETF

US46432F3394

10.00

10.00

5

3

11

6.5

3.25

3.25

6

IWM

iShares Russell 2000 ETF

US4642876555

11.00

11.00

5

3

11

6.5

3.25

3.25

6

EEM

iShares MSCI Emerging Index Fund

US4642872349

10.00

10.00

5

3

11

6.5

3.25

3.25

6

XLF

Financial Select Sector SPDR Fund

US81369Y6059

12.00

12.00

5

3

11

6.5

3.25

3.25

6

IVV

iShares Core S&P 500 ETF

US4642872000

10.00

10.00

5

3

11

6.5

3.25

3.25

6

TLT

iShares 20+ Year Treasury Bond ETF

US4642874329

10.00

10.00

5

3

11

6.5

3.25

3.25

6

HYG

iShares iBoxx USD High Yield Corporate Bond ETF

US4642885135

10.00

10.00

5

3

11

6.5

3.25

3.25

6

GLD

SPDR Gold Trust

US78463V1070

10.00

10.00

5

3

11

6.5

3.25

3.25

6

XLU

Utilities Select Sector SPDR Fund

US81369Y8865

11.00

11.00

5

3

11

6.5

3.25

3.25

6

GDX

VanEck Gold Miners ETF

US92189F1066

16.00

16.00

5

3

11

6.5

3.25

3.25

6

LQD

iShares iBoxx $ Investment Grade Corporate Bond ETF

US4642872422

10.00

10.00

5

3

11

6.5

3.25

3.25

6

XLI

Industrial Select Sector SPDR Fund

US81369Y7040

10.00

10.00

5

3

11

6.5

3.25

3.25

6

EWZ

iShares MSCI Brazil ETF

US4642864007

18.00

18.00

5

3

11

6.5

3.25

3.25

6

XLP

Consumer Staples Select Sector SPDR Fund

US81369Y3080

10.00

10.00

5

3

11

6.5

3.25

3.25

6

FXI

iShares China Large-Cap ETF

US4642871846

17.00

17.00

5

3

11

6.5

3.25

3.25

6

XLV

The Health Care Select Sector SPDR Fund

US81369Y2090

10.00

10.00

5

3

11

6.5

3.25

3.25

6

VOO

Vanguard S&P 500 ETF

US9229083632

10.00

10.00

5

3

11

6.5

3.25

3.25

6

XLRE

The Real Estate Select Sector SPDR Fund

US81369Y8600

12.00

12.00

5

3

11

6.5

3.25

3.25

6

XLB

Materials Select Sector SPDR

US81369Y1001

10.00

10.00

5

3

11

6.5

3.25

3.25

6

SPXL

Direxion Daily S&P 500 Bull 3X Shares

US25459W8626

22.00

22.00

5

3

11

6.5

3.25

3.25

6

SPXS

Direxion Daily S&P 500 Bear 3X

US25460E2651

22.00

22.00

5

3

11

6.5

3.25

3.25

6

TBF

ProShares Short 20+ Year Treasury

US74347X8496

10.00

10.00

5

3

11

6.5

3.25

3.25

6

UBT

ProShares Ultra 20+ Year Treasury

US74347R1721

15.00

15.00

5

3

11

6.5

3.25

3.25

6

EUFN

iShares MSCI Europe Financials ETF

US4642891802

13.00

13.00

5

3

11

6.5

3.25

3.25

6

ITB

iShares U.S. Home Construction ETF

US4642887529

15.00

15.00

5

3

11

6.5

3.25

3.25

6

CQQQ

Invesco China Technology ETF

US46138E8003

17.00

17.00

5

3

11

6.5

3.25

3.25

6

QQQ

Invesco QQQ TrustSM, Series 1

US46090E1038

11.00

11.00

5

3

11

6.5

3.25

3.25

6

SLV

iShares Silver Trust

US46428Q1094

15.00

15.00

5

3

11

6.5

3.25

3.25

6

SPY

SPDR S&P 500 ETF Trust

US78462F1030

10.00

10.00

5

3

11

6.5

3.25

3.25

6

TQQQ

ProShares UltraPro QQQ

US74347X8314

28.00

28.00

5

3

11

6.5

3.25

3.25

6

IGV

iShares Expanded Tech-Software Sector ETF

US4642875151

13.00

13.00

5

3

11

6.5

3.25

3.25

6

CWB

SPDR Bloomberg Convertible Securities ETF

US78464A3591

10.00

10.00

5

3

11

6.5

3.25

3.25

6

FAZ

Direxion Daily Financial Bear 3X Shares

US25460E2404

31.00

31.00

5

3

11

6.5

3.25

3.25

6

IBB

iShares Biotechnology ETF

US4642875565

10.00

10.00

5

3

11

6.5

3.25

3.25

6

TTT

ProShares UltraPro Short 20+ Year Treasury

US74347G8877

21.00

21.00

5

3

11

6.5

3.25

3.25

6

DUST

Direxion Daily Gold Miners Index Bear 2X Shares

US25460G8805

35.00

35.00

5

3

11

6.5

3.25

3.25

6

JNUG

Direxion Daily Junior Gold Miners Index Bull 2X Shares

US25460G8318

40.00

40.00

5

3

11

6.5

3.25

3.25

6

NUGT

Direxion Daily Gold Miners Index Bull 2X Shares

US25460G7815

34.00

34.00

5

3

11

6.5

3.25

3.25

6

SQQQ

ProShares UltraPro Short QQQ

US74347G4322

28.00

28.00

5

3

11

6.5

3.25

3.25

6


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