NCC | Risk parameters change on Securities market

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18 August 2021 Risk parameters change on Securities market

CCP NCC is changing the following risk parameters on Securities market starting from August 23, 2021:

№	Ticker	Description	Current market risk rates			New market risk rates
№	Ticker	Description	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min
1	BELU	Beluga Group PJSC	70%	80%	95%	50%	75%	95%
2	FEES	FGC UES PJSC	17%	23%	30%	20%	26%	33%
3	IRAO	Inter RAO UES PJSC	16%	22%	29%	17%	23%	30%
4	MDMG	MD Medical Group Investments	70%	80%	95%	50%	75%	95%
5	QIWI	QIWI plc	33%	50%	75%	25%	31%	38%
6	SGZH	Segezha Group PJSC	70%	80%	95%	50%	75%	95%
7	TCSG	TCS Group Holding PLC GDR	21%	27%	34%	15%	21%	28%
8	RUAL	RUSAL	33%	50%	75%	25%	31%	38%

№	Ticker	Description	Current concentration limits, number of securities		New concentration limits, number of securities
№	Ticker	Description	LK_1	LK_2	LK_1	LK_2
1	QIWI	QIWI plc	34 583	172 915	22 053	110 265
2	SGZH	Segezha Group PJSC	6 883 344	34 416 720	2 324 525	11 622 625
3	FIXP	Fix Price Group Ltd	40 865	204 325	30 132	150 662
4	LNTA	Lenta Plc	77 803	389 015	50 061	250 303
5	HYDR	RusHydro PJSC	121 991 354	609 956 770	92 351 969	461 759 844
6	MAIL	Mail.Ru Group Ltd GDR	131 515	657 575	93 401	467 007
7	MGNT	Magnit PJSC	86 383	431 915	67 930	339 648
8	MTLRP	Mechel PJSC	125 549	627 745	104 104	520 522
9	RSTI	ROSSETI PJSC	37 214 727	186 073 635	28 378 375	141 891 875
10	SBER	Sberbank of Russia PJSC	12 316 650	61 583 250	9 246 210	46 231 050
11	SIBN	Gazprom Neft PJSC	274 725	1 373 625	205 630	1 028 152
12	UPRO	Unipro PJSC	12 926 153	64 630 765	9 113 094	45 565 469
13	TRMK	TMK PJSC	250 378	1 251 890	100 406	502 028

2. CCP NCC is changing the following risk parameters on Derivatives market starting from 7:00 pm on August 20, 2021:

№	Underlying asset	Futures contract	Current market risk rates			New market risk rates
№	Underlying asset	Futures contract	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min
1	FEES	FGC UES PJSC ordinary stocks futures	17%	23%	30%	20%	26%	33%
2	IRAO	Inter RAO UES PJSC ordinary stocks futures	16%	22%	29%	17%	23%	30%
3	TCSI	TCS Group Holding PLC Global Depositary Receipts futures	21%	27%	34%	15%	21%	28%

№	Underlying asset	Futures contract	Current concentration limits, number of securities		New concentration limits, number of securities
№	Underlying asset	Futures contract	LK_1	LK_2	LK_1	LK_2
1	HYDR	RusHydro PJSC ordinary stocks futures	121 991 354	609 956 770	92 351 969	461 759 844
2	MAIL	Mail.Ru Group Ltd GDR futures	131 515	657 575	93 401	467 007
3	MGNT	Magnit PJSC ordinary stocks futures	86 383	431 915	67 930	339 648
4	SBRF	Sberbank of Russia PJSC ordinary stocks futures	12 316 650	61 583 250	9 246 210	46 231 050