Contact us
17 December 2021 Risk parameters change on Securities market
CCP NCC is changing risk parameters on Securities market starting from December 20, 2021:
|
№ |
Ticker |
Current market risk rates, % |
New market risk rates, % |
||||
|
S1_min |
S2_min |
S3_min |
S1_min |
S2_min |
S3_min |
||
|
1 |
RU000A1039A8 |
100% |
100% |
100% |
28% |
31% |
34% |
|
2 |
RU000A103C46 |
100% |
100% |
100% |
10% |
13% |
16% |
|
3 |
RU000A103C53 |
100% |
100% |
100% |
13% |
16% |
19% |
|
4 |
RU000A103C95 |
100% |
100% |
100% |
16% |
19% |
22% |
|
5 |
RU000A103G00 |
100% |
100% |
100% |
16% |
19% |
22% |
|
6 |
RU000A103HT3 |
100% |
100% |
100% |
13% |
16% |
19% |
|
7 |
RU000A103KJ8 |
100% |
100% |
100% |
14% |
17% |
20% |
|
8 |
RU000A103N76 |
100% |
100% |
100% |
13% |
16% |
19% |
|
9 |
RU000A103P33 |
100% |
100% |
100% |
17% |
20% |
23% |
|
10 |
RU000A103NU9 |
100% |
100% |
100% |
17% |
20% |
23% |
|
11 |
RU000A103PG3 |
100% |
100% |
100% |
20% |
23% |
26% |
|
12 |
RU000A103PD0 |
100% |
100% |
100% |
20% |
23% |
26% |
|
13 |
RU000A103QQ0 |
100% |
100% |
100% |
17% |
20% |
23% |
|
14 |
RU000A103QN7 |
100% |
100% |
100% |
28% |
31% |
34% |
|
15 |
XS2384475930 |
100% |
100% |
100% |
18% |
21% |
24% |
|
16 |
RU000A102895 |
100% |
100% |
100% |
14% |
17% |
20% |
|
17 |
XS2010026560 |
100% |
100% |
100% |
18% |
21% |
24% |
|
18 |
XS2271376498 |
100% |
100% |
100% |
19% |
22% |
25% |
|
19 |
XS2010027451 |
100% |
100% |
100% |
22% |
25% |
28% |
|
№ |
Ticker |
New concentration limits, number of securities |
New Ban on short selling |
|
|
LK1 |
LK2 |
|||
|
1 |
RU000A1039A8 |
1 200 |
6 000 |
No |
|
2 |
RU000A103C46 |
200 000 |
1 000 000 |
No |
|
3 |
RU000A103C53 |
140 000 |
700 000 |
No |
|
4 |
RU000A103C95 |
300 000 |
1 500 000 |
No |
|
5 |
RU000A103G00 |
200 000 |
1 000 000 |
No |
|
6 |
RU000A103HT3 |
180 000 |
900 000 |
No |
|
7 |
RU000A103KJ8 |
140 000 |
700 000 |
No |
|
8 |
RU000A103N76 |
200 000 |
1 000 000 |
No |
|
9 |
RU000A103P33 |
300 000 |
1 500 000 |
No |
|
10 |
RU000A103NU9 |
100 000 |
500 000 |
No |
|
11 |
RU000A103PG3 |
200 000 |
1 000 000 |
No |
|
12 |
RU000A103PD0 |
100 000 |
500 000 |
No |
|
13 |
RU000A103QQ0 |
344 000 |
1 720 000 |
No |
|
14 |
RU000A103QN7 |
240 |
1 200 |
No |
|
15 |
XS2384475930 |
100 000 |
500 000 |
No |
|
16 |
RU000A102895 |
100 000 |
500 000 |
No |
|
17 |
XS2010026560 |
100 000 |
500 000 |
No |
|
18 |
XS2271376498 |
5 000 |
25 000 |
No |
|
19 |
XS2010027451 |
100 000 |
500 000 |
No |
|
№ |
Ticker |
Current stress scenario UP |
Current stress scenario DOWN |
New stress scenario UP |
New stress scenario DOWN |
|
1 |
RU000A1039A8 |
0.00% |
0.00% |
5.50% |
5.50% |
|
2 |
RU000A103C46 |
0.00% |
0.00% |
2.25% |
2.25% |
|
3 |
RU000A103C53 |
0.00% |
0.00% |
3.75% |
3.75% |
|
4 |
RU000A103C95 |
0.00% |
0.00% |
5.50% |
5.50% |
|
5 |
RU000A103G00 |
0.00% |
0.00% |
5.50% |
5.50% |
|
6 |
RU000A103HT3 |
0.00% |
0.00% |
3.75% |
3.75% |
|
7 |
RU000A103KJ8 |
0.00% |
0.00% |
3.75% |
3.75% |
|
8 |
RU000A103N76 |
0.00% |
0.00% |
3.75% |
3.75% |
|
9 |
RU000A103P33 |
0.00% |
0.00% |
5.50% |
5.50% |
|
10 |
RU000A103NU9 |
0.00% |
0.00% |
5.50% |
5.50% |
|
11 |
RU000A103PG3 |
0.00% |
0.00% |
5.50% |
5.50% |
|
12 |
RU000A103PD0 |
0.00% |
0.00% |
5.50% |
5.50% |
|
13 |
RU000A103QQ0 |
0.00% |
0.00% |
5.50% |
5.50% |
|
14 |
RU000A103QN7 |
0.00% |
0.00% |
5.50% |
5.50% |
|
15 |
XS2384475930 |
0.00% |
0.00% |
2.00% |
2.00% |
|
16 |
RU000A102895 |
0.00% |
0.00% |
3.75% |
3.75% |
|
17 |
XS2010026560 |
0.00% |
0.00% |
2.00% |
2.00% |
|
18 |
XS2271376498 |
0.00% |
0.00% |
5.50% |
5.50% |
|
19 |
XS2010027451 |
0.00% |
0.00% |
2.00% |
2.00% |