NCC | News

04 August 2021 Risk parameters on Securities market

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
№	Ticker	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

04 August 2021 Risk parameters change for the security MRNA-RM

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

04 August 2021 Risk parameters change for the security AYX-RM

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

04 August 2021 Risk parameters change for the security GM-RM

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

04 August 2021 Risk Parameters Change for the Securities

The following risk parameters will be changed:

Ticker	IR risk (downward scenario) - SECΔ_1 (Y0/Y1)		New value effective for
Ticker	Current value	New value	New value effective for
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