NCC | Risk parameters change on Securities and Derivati

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17 September 2021 Risk parameters change on Securities and Derivatives market

CCP NCC is changing the following risk parameters on Securities market starting from September 27, 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	FLOT	Sovkovflot ordinary shares	20%	26%	33%	25%	31%	38%
2	MAIL	GDR Mail.ru Gr Limited ORD SHS	14%	20%	27%	17%	23%	30%
3	PIKK	PIK OJSC ordinary shares	50%	75%	95%	33%	50%	75%
4	RUAL	RUSAL OK MKOJSC ordinary shares	25%	31%	38%	20%	26%	33%
5	SGZH	Segezha ordinary shares	50%	75%	95%	33%	50%	75%
6	SMLT	GK Samolet ordinary shares	70%	80%	95%	50%	75%	95%
7	TRMK	TMK OJSC ordinary shares	50%	75%	95%	70%	80%	95%
8	UPRO	Unipro OJSC ordinary shares	20%	26%	33%	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	RUAL	RUSAL OK OJSC ordinary shares	4 497 897	22 489 485	2 580 000	12 900 000
2	AFLT	AEROFLOT OJSC ordinary shares	3 816 618	19 083 090	2 375 879	11 879 394
3	AGRO	GDR ROS AGRO PLC ORD SHS	25 199	125 995	20 761	103 806
4	ALRS	ALROSA OJSC ordinary shares	3 016 546	15 082 730	4 064 751	20 323 756
5	ENPG	OJSC EN+ Group ordinary shares	5 668	28 340	13 414	67 069
6	ENRU	ENEL RUSSIA OJSC ordinary shares	17 752 454	88 762 270	12 227 875	61 139 375
7	GMKN	GMK NORNIKEL OJSC ordinary shares	61 604	308 020	45 702	228 512
8	IRAO	Inter RAO OJSC ordinary shares	40 501 069	202 505 345	32 173 347	160 866 734
9	MVID	M.Video OJSC ordinary shares	85 470	427 350	55 132	275 658
10	NKNC	Nizhnekamskneftehim OJSC ordinary shares	114 155	570 775	67 707	338 533
11	NKNCP	Nizhnekamskneftehim OJSC preference shares	133 869	669 345	83 488	417 442
12	PLZL	Polus OJSC ordinary shares	28 441	142 205	21 395	106 973
13	RTKM	Rostelekom OJSC ordinary shares	455 878	2 279 390	368 558	1 842 792
14	SBERP	Sberbank of Russia OJSC preference shares	1 374 855	6 874 275	1 068 756	5 343 778
15	YNDX	PLLC Yandex N.V. class A shs	202 335	1 011 675	138 593	692 967

CCP NCC is changing the following risk parameters on Derivatives market starting from 7:00 pm on September 24, 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	MAIL	Mail.ru Gr Limited ORD SHS GDR futures	14%	20%	27%	17%	23%	30%
2	PIKK	PIK OJSC ordinary shares futures	50%	75%	95%	33%	50%	75%

№	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	AFLT	AEROFLOT OJSC ordinary shares futures	3 816 618	19 083 090	2 375 879	11 879 394
2	ALRS	ALROSA OJSC ordinary shares futures	3 016 546	15 082 730	4 064 751	20 323 756
3	GMKN	GMK NORNIKEL OJSC ordinary shares futures	61 604	308 020	45 702	228 512
4	IRAO	Inter RAO OJSC ordinary shares futures	40 501 069	202 505 345	32 173 347	160 866 734
5	PLZL	Polus OJSC ordinary shares futures	28 441	142 205	21 395	106 973
6	RTKM	Rostelekom OJSC ordinary shares futures	455 878	2 279 390	368 558	1 842 792
7	SBERP	Sberbank of Russia OJSC preference share futures	1 374 855	6 874 275	1 068 756	5 343 778
8	YNDX	PLLC Yandex N.V. class A shs futures	202 335	1 011 675	138 593	692 967