NCC | Risk parameters change on Securities and Derivati

News

01 November 2021 Risk parameters change on Securities and Derivatives market

1. CCP NCC is changing the following risk parameters on Securities market starting from November 02, 2021:

№	Ticker	Description	Current market risk rates			New market risk rates
№	Ticker	Description	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min
1	PIKK	PIK ordinary shares	33%	50%	75%	25%	31%	38%
2	RASP	Raspadskaya ordinary shares	25%	31%	38%	20%	26%	33%
3	RUAL	RUSAL ordinary shares	20%	26%	33%	17%	23%	30%
4	SGZH	Segezha ordinary shares	33%	50%	75%	25%	31%	38%

№	Ticker	Description	Current concentration limits, number of securities		New concentration limits, number of securities
№	Ticker	Description	LK_1	LK_2	LK_1	LK_2
1	RUAL	RUSAL ordinary shares	2 580 000	12 900 000	4 295 510	21 477 550
2	FLOT	Sovkomflot ordinary shares	295 802	1 479 010	192 060	960 300
3	HYDR	Rushydro ordinary shares	92 351 969	461 759 845	70 167 094	350 835 469
4	LKOH	Lukoil ordinary shares	256 818	1 284 090	198 121	990 606
5	MOEX	Moscow Exchange ordinary shares	1 559 260	7 796 300	1 285 441	6 427 205
6	OZON	Ozon Holdings PLC ORD SHS depository receipts	73 298	366 490	55 943	279 713
7	TGKD	Kvadra ordinary shares	2 212 389 381	11 061 946 905	1 407 558 590	7 037 792 948
8	TRNFP	Transneft preference shares	339	1 695	265	1 325

2. CCP NCC is changing the following risk parameters on Derivatives market starting from 7:00 pm on November 01, 2021:

№	Underlying asset	Futures contract	Current minimum margin rates			New minimum margin rates
№	Underlying asset	Futures contract	MR1	MR2	MR3	MR1	MR2	MR3
1	PIKK	PIK ordinary shares futures	33%	50%	75%	25%	31%	38%

№	Underlying asset	Futures contract	Current concentration limits, number of securities		New concentration limits, number of securities
№	Underlying asset	Futures contract	LK1	LK2	LK1	LK2
1	HYDR	Rushydro ordinary shares futures	92 351 969	461 759 845	70 167 094	350 835 469
2	LKOH	Lukoil ordinary shares futures	256 818	1 284 090	198 121	990 606
3	MOEX	Moscow Exchange ordinary shares futures	1 559 260	7 796 300	1 285 441	6 427 205
4	OZON	Ozon Holdings PLC ORD SHS depository receipts futures	73 298	366 490	55 943	279 713
5	TRNF	Transneft preference shares futures	339	1 695	265	1 325
6	TRNS	0.1 of Transneft preference share value futures	3 390	16 950	2 650	13 250