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14.09.18


Risk parameters for new securities


New securities will be accepted to REPO with CCP starting from 17.09.2018. From this date on, the following risk parameters will be applied:

 

 

Ticker

Minimum Initial Margin for the Market Risk, %

Concentration Limit, # of securities

Level 1, S_1_min

Level 2, S_2_min

Level 3, S_3_min

Level 1

Level 2

        1  

 V

20%

25%

30%

                 990  

                4 952  

        2  

 GOOG

20%

25%

30%

                 622  

                3 110  

        3   

 WFC

35%

40%

45%

               2 658  

               13 292  

        4  

 XOM

20%

25%

30%

               1 776  

                8 881  

        5  

 BA

20%

25%

30%

                 411  

                2 057  

        6  

 INTC

20%

25%

30%

               3 209  

               16 043  

        7  

 T

20%

25%

30%

               4 341  

               21 706  

        8  

 PFE

20%

25%

30%

               3 412  

               17 061  

        9  

 BABA

20%

25%

30%

               4 417  

               22 083  

      10  

 BIDU

20%

25%

30%

                 657  

                3 287  

      11  

 VALE

25%

30%

35%

             11 387  

               56 936  

      12  

 BP

20%

25%

30%

               3 367   

               16 837  

      13  

 PBR

35%

40%

45%

             14 005  

               70 025  

      14  

 SBMX

100%

100%

100%

               2 000  

                2 001  

CCP NCC is changing the following IM rates starting from September 17, 2018:

Ticker

Current IM rates

New IM rates

S_1_min

S_2_min

S_3_min

S_1_min

S_2_min

S_3_min

1

MCD

25%

30%

35%

50%

55%

60%

2

TWTR

25%

30%

35%

35%

40%

45%