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 |
Minimum Initial Margin for |
Minimum Initial Margin for |
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 |
Minimum Initial Margin for |
Minimum Initial Margin for |
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 |