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CCP NCC sets the following risk parameters on Securities market starting from 05.08.2021:

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

RU000A103GX7

14%

17%

20%

200 000

1 000 000

2

RU000A103GW9

15%

18%

21%

400 000

2 000 000

 

As per the Securities market risk parameters methodology, on 04.08.2021, 18-03 (MSK) the upper bound of the price band (up to 34197) and initial margins (up to 52.5 %) for the security MRNA-RM were changed. New values are available here
As per the Securities market risk parameters methodology, on 04.08.2021, 17-40 (MSK) the lower bound of the price band (up to 4282) and initial margins (up to 41.25 %) for the security AYX-RM were changed. New values are available here
As per the Securities market risk parameters methodology, on 04.08.2021, 16-48 (MSK) the lower bound of the price band (up to 3698) and initial margins (up to 20 %) for the security GM-RM were changed. New values are available here

The following risk parameters will be changed:

Ticker

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

New value effective for

Current value

New value

AMGN-RM

35%

77%

13.08.2021 - 17.08.2021

CVX-RM

35%

77%

17.08.2021 - 19.08.2021

HSY-RM

35%

77%

18.08.2021 - 20.08.2021

MSFT-RM

35%

77%

17.08.2021 - 19.08.2021

RTX-RM

35%

77%

18.08.2021 - 20.08.2021

 

 

 

Ticker

Rcl_max

Rch_max

New value effective for

AMGN-RM

0.2

0.2

11.08.2021 - 13.08.2021

CVX-RM

0.2

0.2

13.08.2021 - 17.08.2021

HSY-RM

0.2

0.2

16.08.2021 - 18.08.2021

MSFT-RM

0.2

0.2

13.08.2021 - 17.08.2021

RTX-RM

0.2

0.2

16.08.2021 - 18.08.2021