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CCP NCC sets the following risk parameters on Securities market starting from June 21, 2021:

 

Ticker

Market risk rates

Concentration limits, units

Ban on short selling

Eligible as collateral

S_1_min

S_2_min

S_3_min

LK_1

LK_2

1

RU000A103661

34%

37%

40%

   1 000 000  

   5 000 000  

No

No

2

RU000A1038U8

34%

37%

40%

      400 000  

   2 000 000  

No

No

3

RU000A102RQ0

24%

27%

30%

   1 000 000  

  5 000 000  

No

No

4

RU000A1039K7

16%

19%

22%

     100 000  

    500 000  

No

No

5

RU000A1038M5

14%

17%

20%

    140 000  

    700 000  

No

No

 

The following risk parameters will be changed:

 

Ticker

Minimum Initial Margin for
the Market Risk, %  (S_1_min)

Minimum Initial Margin for
the Market Risk, %  (S_2_min)

Minimum Initial Margin for
the Market Risk, %  (S_3_min)

New value effective for

Current value

New value

Current value

New value

Current value

New value

UPRO

20%

23%

26%

29%

33%

36%

18.06.2021 - 22.06.2021

UPRO

20%

23%

26%

29%

33%

36%

18.06.2021 - 22.06.2021

 

Ticker

IR risk (downward scenario) - SECΔ_1 (Y0/Y1)

New value effective for

Current value

New value

FDX-RM

35%

77%

24.06.2021 - 28.06.2021

NLMK

35%

77%

21.06.2021 - 23.06.2021

NLMK-ME

35%

77%

21.06.2021 - 23.06.2021

QIWI

35%

77%

18.06.2021 - 22.06.2021

UPRO

35%

77%

18.06.2021 - 22.06.2021

UPRO

35%

77%

18.06.2021 - 22.06.2021

 

 

 

Ticker

Rcl_max

Rch_max

New value effective for

FDX-RM

0.2

0.2

17.06.2021 - 24.06.2021

The following risk parameters will be changed:

 

Ticker

Minimum Initial Margin for
the Market Risk, %  (S_1_min)

Minimum Initial Margin for
the Market Risk, %  (S_2_min)

Minimum Initial Margin for
the Market Risk, %  (S_3_min)

New value effective for

Current value

New value

Current value

New value

Current value

New value

MGNT

14%

18%

20%

24%

27%

31%

23.06.2021 - 25.06.2021

 

Ticker

IR risk (downward scenario) - SECΔ_1 (Y0/Y1)

New value effective for

Current value

New value

MGNT

35%

77%

23.06.2021 - 25.06.2021

MGNT-ME

35%

77%

23.06.2021 - 25.06.2021

NLMK-ME

35%

77%

21.06.2021 - 23.06.2021

SELG

35%

77%

23.06.2021 - 25.06.2021

SIBN

35%

77%

23.06.2021 - 25.06.2021

 

Ticker

x_pr

New value effective for

MGNT

1.57

23.06.2021 - 25.06.2021

SIBN

1.57

23.06.2021 - 25.06.2021

 

Ticker

w

New value effective for

MGNT

0.07

23.06.2021 - 25.06.2021

 

The following risk parameters will be changed:

 

 

Ticker

IR risk (downward scenario) - SECΔ_1 (Y0/Y1)

New value effective for

Current value

New value

CSCO-RM

35%

77%

01.07.2021 - 06.07.2021

DG-RM

35%

77%

01.07.2021 - 06.07.2021

POGR

35%

77%

24.06.2021 - 28.06.2021

 

 

 

Ticker

Rcl_max

Rch_max

New value effective for

CSCO-RM

0.2

0.2

24.06.2021 - 01.07.2021

DG-RM

0.2

0.2

24.06.2021 - 01.07.2021

As per the Securities market risk parameters methodology, on 18.06.2021, 11-33 (MSK) the lower bound of the price band (up to 2407.5) and initial margins (up to 31.25 %) for the security RUSE were changed. New values are available here