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CCP NCC is changing the following risk parameters on the Securities market and the Derivatives market starting from May 11, 2021.
Securities market
|
№ |
Ticker |
New market risk rates, % |
Current market risk rates, % |
New concentration limits, number of securities |
Current concentration limits, number of securities |
||||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
LK1 |
LK2 |
LK1 |
LK2 |
||
|
1 |
SBER |
14% |
20% |
27% |
17% |
21% |
28% |
12 316 650 |
61 583 250 |
18 217 800 |
91 089 000 |
|
2 |
GMKN |
14% |
20% |
27% |
17% |
21% |
28% |
61 604 |
308 020 |
89 200 |
446 000 |
|
3 |
GAZP |
14% |
20% |
27% |
17% |
21% |
28% |
8 781 586 |
43 907 930 |
9 686 739 |
48 433 695 |
|
4 |
LKOH |
14% |
20% |
27% |
17% |
21% |
28% |
256 818 |
1 284 090 |
315 000 |
1 575 000 |
|
5 |
ROSN |
14% |
20% |
27% |
17% |
21% |
28% |
1 419 670 |
7 098 350 |
1 303 242 |
6 516 210 |
|
6 |
YNDX |
14% |
20% |
27% |
17% |
22% |
32% |
202 335 |
1 011 675 |
359 100 |
1 795 500 |
|
7 |
TATN |
14% |
20% |
27% |
17% |
24% |
37% |
889 997 |
4 449 985 |
996 400 |
4 982 000 |
|
8 |
MGNT |
14% |
20% |
27% |
17% |
24% |
38% |
86 383 |
431 915 |
103 100 |
515 500 |
|
9 |
POLY |
14% |
20% |
27% |
28% |
38% |
59% |
297 244 |
1 486 220 |
262 500 |
1 312 500 |
|
10 |
NVTK |
14% |
20% |
27% |
17% |
23% |
34% |
224 365 |
1 121 825 |
276 300 |
1 381 500 |
|
11 |
PLZL |
14% |
20% |
27% |
35% |
49% |
78% |
28 441 |
142 205 |
60 400 |
302 000 |
|
12 |
ALRS |
14% |
20% |
27% |
17% |
23% |
34% |
3 016 546 |
15 082 730 |
3 796 908 |
18 984 540 |
|
13 |
NLMK |
14% |
20% |
27% |
17% |
24% |
38% |
1 000 635 |
5 003 175 |
1 194 300 |
5 971 500 |
|
14 |
CHMF |
14% |
20% |
27% |
17% |
23% |
36% |
167 953 |
839 765 |
243 000 |
1 215 000 |
|
15 |
MAGN |
14% |
20% |
27% |
17% |
23% |
34% |
3 348 359 |
16 741 795 |
2 836 465 |
14 182 325 |
|
16 |
MOEX |
14% |
20% |
27% |
17% |
23% |
31% |
1 559 260 |
7 796 300 |
2 370 912 |
11 854 560 |
|
17 |
AFKS |
29% |
35% |
42% |
35% |
49% |
78% |
5 975 432 |
29 877 160 |
9 215 200 |
46 076 000 |
|
18 |
SBERP |
14% |
20% |
27% |
17% |
20% |
27% |
1 374 855 |
6 874 275 |
1 635 750 |
8 178 750 |
|
19 |
SNGS |
14% |
20% |
27% |
17% |
23% |
34% |
7 118 828 |
35 594 140 |
8 997 900 |
44 989 500 |
|
20 |
MTSS |
14% |
20% |
27% |
17% |
23% |
34% |
638 111 |
3 190 555 |
1 057 900 |
5 289 500 |
|
21 |
SNGSP |
14% |
20% |
27% |
17% |
21% |
28% |
6 405 688 |
32 028 440 |
5 534 997 |
27 674 985 |
|
22 |
AFLT |
14% |
20% |
27% |
17% |
23% |
34% |
3 816 618 |
19 083 090 |
5 114 300 |
25 571 500 |
|
23 |
VTBR |
14% |
20% |
27% |
17% |
21% |
28% |
4 467 654 007 |
22 338 270 035 |
10 324 287 576 |
51 621 437 881 |
|
24 |
IRAO |
16% |
22% |
29% |
31% |
44% |
69% |
40 501 069 |
202 505 345 |
62 918 300 |
314 591 500 |
|
25 |
RUAL |
50% |
75% |
95% |
35% |
49% |
78% |
2 659 447 |
13 297 235 |
840 000 |
4 200 000 |
|
26 |
SIBN |
17% |
23% |
30% |
35% |
49% |
78% |
274 725 |
1 373 625 |
450 200 |
2 251 000 |
|
27 |
TATNP |
17% |
23% |
30% |
35% |
49% |
78% |
175 745 |
878 725 |
173 000 |
865 000 |
|
28 |
HYDR |
17% |
23% |
30% |
17% |
23% |
36% |
121 991 354 |
609 956 770 |
246 923 000 |
1 234 615 000 |
|
29 |
PHOR |
17% |
23% |
30% |
35% |
49% |
78% |
12 768 |
63 840 |
16 400 |
82 000 |
|
30 |
CBOM |
33% |
50% |
75% |
36% |
51% |
80% |
10 142 774 |
50 713 870 |
13 149 600 |
65 748 000 |
|
31 |
DSKY |
50% |
75% |
95% |
50% |
71% |
95% |
547 261 |
2 736 305 |
1 048 300 |
5 241 500 |
|
32 |
RTKM |
20% |
26% |
33% |
20% |
30% |
42% |
455 878 |
2 279 390 |
696 186 |
3 480 930 |
|
33 |
MVID |
20% |
26% |
33% |
50% |
71% |
95% |
53 225 |
266 125 |
57 900 |
289 500 |
|
34 |
RSTI |
17% |
23% |
30% |
18% |
27% |
44% |
37 214 727 |
186 073 635 |
106 465 544 |
532 327 720 |
|
35 |
UPRO |
20% |
26% |
33% |
35% |
50% |
60% |
12 926 153 |
64 630 765 |
18 342 900 |
91 714 500 |
|
36 |
FEES |
17% |
23% |
30% |
18% |
27% |
44% |
249 707 474 |
1 248 537 370 |
531 002 900 |
2 655 014 500 |
|
37 |
TRNFP |
20% |
26% |
33% |
17% |
23% |
36% |
339 |
1 695 |
772 |
3 860 |
|
38 |
MTLR |
70% |
80% |
95% |
70% |
80% |
90% |
336 421 |
1 682 105 |
370 960 |
1 854 800 |
|
39 |
PIKK |
50% |
75% |
95% |
35% |
49% |
78% |
27 305 |
136 525 |
34 668 |
173 340 |
|
40 |
RASP |
25% |
31% |
38% |
50% |
60% |
70% |
73 780 |
368 900 |
130 100 |
650 500 |
|
41 |
LSRG |
50% |
75% |
95% |
50% |
71% |
95% |
26 891 |
134 455 |
29 100 |
145 500 |
|
42 |
BANEP |
25% |
31% |
38% |
35% |
49% |
78% |
17 752 |
88 760 |
23 200 |
116 000 |
|
43 |
TRMK |
70% |
80% |
95% |
50% |
71% |
95% |
108 696 |
543 480 |
273 600 |
1 368 000 |
|
44 |
ENRU |
25% |
31% |
38% |
35% |
49% |
78% |
17 752 454 |
88 762 270 |
10 005 303 |
50 026 515 |
|
45 |
OGKB |
33% |
50% |
75% |
35% |
49% |
78% |
14 372 600 |
71 863 000 |
48 326 700 |
241 633 500 |
|
46 |
UWGN |
70% |
80% |
95% |
50% |
71% |
95% |
91 241 |
456 205 |
48 400 |
242 000 |
|
47 |
NMTP |
33% |
50% |
75% |
50% |
71% |
95% |
1 336 388 |
6 681 940 |
1 440 619 |
7 203 095 |
|
48 |
GCHE |
50% |
75% |
95% |
50% |
71% |
95% |
4 524 |
22 620 |
5 300 |
26 500 |
|
49 |
TGKA |
33% |
50% |
75% |
35% |
49% |
78% |
833 333 333 |
4 166 666 665 |
1 577 967 300 |
7 889 836 500 |
|
50 |
MTLRP |
70% |
80% |
95% |
70% |
80% |
90% |
125 549 |
627 745 |
152 500 |
762 500 |
|
51 |
RTKMP |
33% |
50% |
75% |
35% |
49% |
78% |
111 111 |
555 555 |
176 302 |
881 510 |
|
52 |
BSPB |
33% |
50% |
75% |
35% |
49% |
78% |
155 618 |
778 090 |
233 600 |
1 168 000 |
|
53 |
VSMO |
33% |
50% |
75% |
50% |
71% |
95% |
407 |
2 035 |
626 |
3 130 |
|
54 |
LSNGP |
33% |
50% |
75% |
50% |
71% |
95% |
62 035 |
310 175 |
65 700 |
328 500 |
|
55 |
MSNG |
33% |
50% |
75% |
35% |
49% |
78% |
4 394 639 |
21 973 195 |
7 154 920 |
35 774 600 |
|
56 |
BANE |
33% |
50% |
75% |
35% |
49% |
78% |
6 250 |
31 250 |
6 000 |
30 000 |
|
57 |
MRKP |
33% |
50% |
75% |
50% |
71% |
95% |
39 154 268 |
195 771 340 |
45 351 500 |
226 757 500 |
|
58 |
SELG |
33% |
50% |
75% |
50% |
71% |
95% |
224 115 |
1 120 575 |
333 600 |
1 668 000 |
|
59 |
NKNCP |
33% |
50% |
75% |
50% |
71% |
95% |
133 869 |
669 345 |
117 000 |
585 000 |
|
60 |
AKRN |
33% |
50% |
75% |
50% |
71% |
95% |
1 639 |
8 195 |
3 010 |
15 050 |
|
61 |
MSRS |
50% |
75% |
95% |
50% |
71% |
95% |
8 467 401 |
42 337 005 |
8 549 000 |
42 745 000 |
|
62 |
MRKC |
50% |
75% |
95% |
50% |
71% |
95% |
25 601 639 |
128 008 195 |
33 700 700 |
168 503 500 |
|
63 |
APTK |
70% |
80% |
95% |
70% |
80% |
95% |
733 676 |
3 668 380 |
735 600 |
3 678 000 |
|
64 |
SVAV |
70% |
80% |
95% |
70% |
80% |
95% |
41 408 |
207 040 |
34 500 |
172 500 |
|
65 |
LSNG |
50% |
75% |
95% |
50% |
71% |
95% |
1 697 793 |
8 488 965 |
1 861 120 |
9 305 600 |
|
66 |
KZOS |
50% |
75% |
95% |
70% |
80% |
95% |
116 009 |
580 045 |
122 000 |
610 000 |
|
67 |
TGKD |
50% |
75% |
95% |
50% |
71% |
95% |
2 212 389 381 |
11 061 946 905 |
2 710 027 100 |
13 550 135 500 |
|
68 |
RSTIP |
50% |
75% |
95% |
50% |
71% |
95% |
4 889 976 |
24 449 880 |
4 525 214 |
22 626 070 |
|
69 |
UNAC |
50% |
75% |
95% |
35% |
49% |
78% |
17 361 111 |
86 805 555 |
23 730 400 |
118 652 000 |
|
70 |
NKNC |
50% |
75% |
95% |
70% |
80% |
95% |
114 155 |
570 775 |
112 400 |
562 000 |
|
71 |
TGKB |
50% |
75% |
95% |
70% |
80% |
95% |
2 421 307 506 |
12 106 537 530 |
2 481 389 600 |
12 406 948 000 |
|
72 |
MRKV |
50% |
75% |
95% |
50% |
71% |
95% |
157 109 191 |
785 545 955 |
143 857 983 |
719 289 915 |
|
73 |
IRGZ |
70% |
80% |
95% |
50% |
71% |
95% |
892 857 |
4 464 285 |
862 300 |
4 311 500 |
|
74 |
FLOT |
20% |
26% |
33% |
35% |
55% |
78% |
295 802 |
1 479 010 |
453 700 |
2 268 500 |
|
75 |
GLTR |
25% |
31% |
38% |
35% |
55% |
78% |
33 096 |
165 480 |
22 500 |
112 500 |
|
76 |
HHRU |
70% |
80% |
95% |
50% |
71% |
95% |
3 539 |
17 695 |
15 800 |
79 000 |
|
77 |
|
14% |
20% |
27% |
35% |
49% |
78% |
131 515 |
657 575 |
83 900 |
419 500 |
|
78 |
OZON |
70% |
80% |
95% |
70% |
80% |
95% |
33 995 |
169 975 |
107 200 |
536 000 |
|
79 |
POGR |
50% |
75% |
95% |
50% |
71% |
95% |
1 485 627 |
7 428 135 |
5 800 200 |
29 001 000 |
|
80 |
TCSG |
21% |
27% |
34% |
35% |
49% |
78% |
45 257 |
226 285 |
45 000 |
225 000 |
|
81 |
FIVE |
14% |
20% |
27% |
35% |
49% |
78% |
62 854 |
314 270 |
49 100 |
245 500 |
|
82 |
QIWI |
50% |
75% |
95% |
35% |
49% |
78% |
34 583 |
172 915 |
12 700 |
63 500 |
|
83 |
AGRO |
50% |
75% |
95% |
50% |
71% |
95% |
20 401 |
102 005 |
16 483 |
82 415 |
|
84 |
LNTA |
50% |
75% |
95% |
50% |
60% |
70% |
77 803 |
389 015 |
151 200 |
756 000 |
|
85 |
ETLN |
70% |
80% |
95% |
50% |
71% |
95% |
78 852 |
394 260 |
88 900 |
444 500 |
Derivatives market
|
№ |
Ticker |
New market risk rates, % |
Current market risk rates, % |
New concentration limits, number of securities |
Current concentration limits, number of securities |
||||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
LK1 |
LK2 |
LK1 |
LK2 |
||
|
1 |
AFKS |
29% |
35% |
42% |
35% |
49% |
78% |
5 975 432 |
29 877 160 |
9 215 200 |
46 076 000 |
|
2 |
AFLT |
14% |
20% |
27% |
17% |
23% |
34% |
3 816 618 |
19 083 090 |
5 114 300 |
25 571 500 |
|
3 |
ALRS |
14% |
20% |
27% |
17% |
23% |
34% |
3 016 546 |
15 082 730 |
3 796 908 |
18 984 540 |
|
4 |
CHMF |
14% |
20% |
27% |
17% |
23% |
36% |
167 953 |
839 765 |
243 000 |
1 215 000 |
|
5 |
FEES |
17% |
23% |
30% |
18% |
27% |
44% |
249 707 474 |
1 248 537 370 |
531 002 900 |
2 655 014 500 |
|
6 |
FIVE |
14% |
20% |
27% |
35% |
49% |
78% |
62 854 |
314 270 |
49 100 |
245 500 |
|
7 |
GAZR |
14% |
20% |
27% |
17% |
21% |
28% |
8 781 586 |
43 907 930 |
9 686 739 |
48 433 695 |
|
8 |
GMKN |
14% |
20% |
27% |
17% |
21% |
28% |
61 604 |
308 020 |
89 200 |
446 000 |
|
9 |
HYDR |
17% |
23% |
30% |
17% |
23% |
36% |
121 991 354 |
609 956 770 |
246 923 000 |
1 234 615 000 |
|
10 |
IRAO |
16% |
22% |
29% |
31% |
44% |
69% |
40 501 069 |
202 505 345 |
62 918 300 |
314 591 500 |
|
11 |
LKOH |
14% |
20% |
27% |
17% |
21% |
28% |
256 818 |
1 284 090 |
315 000 |
1 575 000 |
|
12 |
MAGN |
14% |
20% |
27% |
17% |
23% |
34% |
3 348 359 |
16 741 795 |
2 836 465 |
14 182 325 |
|
13 |
|
14% |
20% |
27% |
35% |
49% |
78% |
131 515 |
657 575 |
83 900 |
419 500 |
|
14 |
MGNT |
14% |
20% |
27% |
17% |
24% |
38% |
86 383 |
431 915 |
103 100 |
515 500 |
|
15 |
MOEX |
14% |
20% |
27% |
17% |
23% |
31% |
1 559 260 |
7 796 300 |
2 370 912 |
11 854 560 |
|
16 |
MTSI |
14% |
20% |
27% |
17% |
23% |
34% |
638 111 |
3 190 555 |
1 057 900 |
5 289 500 |
|
17 |
NLMK |
14% |
20% |
27% |
17% |
24% |
38% |
1 000 635 |
5 003 175 |
1 194 300 |
5 971 500 |
|
18 |
NOTK |
14% |
20% |
27% |
17% |
23% |
34% |
224 365 |
1 121 825 |
276 300 |
1 381 500 |
|
19 |
OZON |
70% |
80% |
95% |
70% |
80% |
95% |
33 995 |
169 975 |
107 200 |
536 000 |
|
20 |
PLZL |
14% |
20% |
27% |
35% |
49% |
78% |
28 441 |
142 205 |
60 400 |
302 000 |
|
21 |
POLY |
14% |
20% |
27% |
28% |
38% |
59% |
297 244 |
1 486 220 |
262 500 |
1 312 500 |
|
22 |
ROSN |
14% |
20% |
27% |
17% |
21% |
28% |
1 419 670 |
7 098 350 |
1 303 242 |
6 516 210 |
|
23 |
RTKM |
20% |
26% |
33% |
20% |
30% |
42% |
455 878 |
2 279 390 |
696 186 |
3 480 930 |
|
24 |
SBPR |
14% |
20% |
27% |
17% |
20% |
27% |
1 374 855 |
6 874 275 |
1 635 750 |
8 178 750 |
|
25 |
SBRF |
14% |
20% |
27% |
17% |
21% |
28% |
12 316 650 |
61 583 250 |
18 217 800 |
91 089 000 |
|
26 |
SNGP |
14% |
20% |
27% |
17% |
21% |
28% |
6 405 688 |
32 028 440 |
5 534 997 |
27 674 985 |
|
27 |
SNGR |
14% |
20% |
27% |
17% |
23% |
34% |
7 118 828 |
35 594 140 |
8 997 900 |
44 989 500 |
|
28 |
TATN |
14% |
20% |
27% |
17% |
24% |
37% |
889 997 |
4 449 985 |
996 400 |
4 982 000 |
|
29 |
TCSI |
21% |
27% |
34% |
35% |
49% |
78% |
45 257 |
226 285 |
45 000 |
225 000 |
|
30 |
TRNF |
20% |
26% |
33% |
17% |
23% |
36% |
339 |
1 695 |
772 |
3 860 |
|
31 |
TRNS |
20% |
26% |
33% |
17% |
23% |
36% |
3 390 |
16 950 |
7 720 |
38 600 |
|
32 |
VTBR |
14% |
20% |
27% |
17% |
21% |
28% |
4 467 654 007 |
22 338 270 035 |
10 324 287 576 |
51 621 437 881 |
|
33 |
YNDF |
14% |
20% |
27% |
17% |
22% |
32% |
202 335 |
1 011 675 |
359 100 |
1 795 500 |