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09 December 2021 Risk parameters change on Securities market
CCP NCC is changing risk parameters on Securities market starting from December 15, 2021:
|
№ |
Ticker |
Current market risk rates, % |
New market risk rates, % |
||||
|
S1_min |
S2_min |
S3_min |
S1_min |
S2_min |
S3_min |
||
|
1 |
RU000A0JR5F7 |
16% |
19% |
22% |
7% |
10% |
13% |
|
2 |
RU000A0JS3U0 |
100% |
100% |
100% |
40% |
43% |
46% |
|
3 |
RU000A0JS5B5 |
100% |
100% |
100% |
40% |
43% |
46% |
|
4 |
RU000A0JS6N8 |
10% |
13% |
16% |
20% |
23% |
26% |
|
5 |
RU000A0JT7M7 |
10% |
13% |
16% |
20% |
23% |
26% |
|
6 |
RU000A0JT874 |
11% |
14% |
17% |
22% |
25% |
28% |
|
7 |
RU000A0JTVJ2 |
8% |
11% |
14% |
16% |
19% |
22% |
|
8 |
RU000A0JU1Q8 |
11% |
14% |
17% |
22% |
25% |
28% |
|
9 |
RU000A0JU6A1 |
14% |
17% |
100% |
28% |
31% |
34% |
|
10 |
RU000A0JUAD7 |
8% |
11% |
14% |
16% |
19% |
22% |
|
11 |
RU000A0JUU90 |
8% |
11% |
14% |
16% |
19% |
22% |
|
12 |
RU000A0JUV08 |
12% |
15% |
18% |
24% |
27% |
30% |
|
13 |
RU000A0JUW31 |
9% |
12% |
15% |
18% |
21% |
24% |
|
14 |
RU000A0JUW72 |
9% |
12% |
15% |
18% |
21% |
24% |
|
15 |
RU000A0JV0U1 |
12% |
15% |
18% |
24% |
27% |
30% |
|
16 |
RU000A0JV3R1 |
100% |
100% |
100% |
40% |
43% |
46% |
|
17 |
RU000A0JV805 |
100% |
100% |
100% |
40% |
43% |
46% |
|
18 |
RU000A0JV987 |
14% |
17% |
100% |
28% |
31% |
34% |
|
19 |
RU000A0JVWB3 |
13% |
16% |
19% |
26% |
29% |
32% |
|
20 |
RU000A0JWJX2 |
14% |
17% |
20% |
28% |
31% |
34% |
|
21 |
RU000A0JWPV3 |
100% |
100% |
100% |
40% |
43% |
46% |
|
22 |
RU000A0JWUX9 |
7% |
10% |
13% |
14% |
17% |
20% |
|
23 |
RU000A0JX2R1 |
8% |
11% |
14% |
16% |
19% |
22% |
|
24 |
RU000A0JX413 |
100% |
100% |
100% |
34% |
37% |
40% |
|
25 |
RU000A0JX5W4 |
10% |
13% |
16% |
20% |
23% |
26% |
|
26 |
RU000A0JXP45 |
14% |
17% |
20% |
28% |
31% |
34% |
|
27 |
RU000A0JXR68 |
100% |
100% |
100% |
28% |
31% |
34% |
|
28 |
RU000A0JXRV7 |
12% |
15% |
18% |
24% |
27% |
30% |
|
29 |
RU000A0ZYBM4 |
14% |
17% |
20% |
28% |
31% |
34% |
|
30 |
RU000A0ZYEE5 |
8% |
11% |
14% |
16% |
19% |
22% |
|
31 |
RU000A0ZYGB6 |
13% |
16% |
19% |
26% |
29% |
32% |
|
32 |
RU000A0ZYRX7 |
7% |
10% |
13% |
14% |
17% |
20% |
|
33 |
RU000A0ZYRY5 |
7% |
10% |
13% |
14% |
17% |
20% |
|
34 |
RU000A0ZYU21 |
13% |
16% |
19% |
26% |
29% |
32% |
|
35 |
RU000A0ZYWB3 |
7% |
10% |
13% |
14% |
17% |
20% |
|
36 |
RU000A0ZYXJ4 |
8% |
11% |
14% |
16% |
19% |
22% |
|
37 |
RU000A0ZZPZ3 |
9% |
12% |
15% |
18% |
21% |
24% |
|
38 |
RU000A0ZZQU2 |
13% |
16% |
19% |
26% |
29% |
32% |
|
39 |
RU000A0ZZUL3 |
14% |
17% |
100% |
28% |
31% |
34% |
|
40 |
RU000A0ZZVQ0 |
100% |
100% |
100% |
56% |
59% |
62% |
|
41 |
RU000A0ZZXM5 |
8% |
11% |
14% |
16% |
19% |
22% |
|
42 |
RU000A0ZZZ66 |
8% |
11% |
14% |
16% |
19% |
22% |
|
43 |
RU000A1002E8 |
10% |
13% |
16% |
20% |
23% |
26% |
|
44 |
RU000A1003R8 |
14% |
17% |
100% |
28% |
31% |
34% |
|
45 |
RU000A1007E7 |
12% |
15% |
100% |
24% |
27% |
30% |
|
46 |
RU000A100832 |
12% |
15% |
100% |
24% |
27% |
30% |
|
47 |
RU000A1008Q9 |
100% |
100% |
100% |
13% |
16% |
19% |
|
48 |
RU000A100AF3 |
8% |
11% |
14% |
16% |
19% |
22% |
|
49 |
RU000A100HH4 |
14% |
17% |
20% |
28% |
31% |
34% |
|
50 |
RU000A100JB3 |
14% |
17% |
100% |
28% |
31% |
34% |
|
51 |
RU000A100PQ8 |
8% |
11% |
14% |
16% |
19% |
22% |
|
52 |
RU000A100VR4 |
13% |
16% |
19% |
26% |
29% |
32% |
|
53 |
RU000A101129 |
9% |
12% |
15% |
18% |
21% |
24% |
|
54 |
RU000A1011R1 |
13% |
16% |
19% |
26% |
29% |
32% |
|
55 |
RU000A101350 |
14% |
17% |
20% |
28% |
31% |
34% |
|
56 |
RU000A101TK1 |
8% |
11% |
14% |
16% |
19% |
22% |
|
57 |
RU000A101Z74 |
14% |
17% |
20% |
28% |
31% |
34% |
|
58 |
RU000A102788 |
7% |
10% |
13% |
14% |
17% |
20% |
|
59 |
RU000A102A07 |
14% |
17% |
20% |
28% |
31% |
34% |
|
60 |
RU000A102DB2 |
14% |
17% |
20% |
28% |
31% |
34% |
|
61 |
RU000A102GJ8 |
14% |
17% |
20% |
28% |
31% |
34% |
|
62 |
RU000A102JZ8 |
14% |
17% |
20% |
28% |
31% |
34% |
|
63 |
RU000A102S80 |
14% |
17% |
20% |
28% |
31% |
34% |
|
64 |
RU000A1032H8 |
100% |
100% |
100% |
14% |
17% |
20% |
|
65 |
RU000A1036E6 |
14% |
17% |
20% |
28% |
31% |
34% |
|
66 |
RU000A1037F1 |
14% |
17% |
20% |
28% |
31% |
34% |
|
67 |
RU000A103DS4 |
100% |
100% |
100% |
14% |
17% |
20% |
|
68 |
RU000A103GX7 |
14% |
17% |
20% |
28% |
31% |
34% |
|
69 |
RU000A103KG4 |
15% |
18% |
21% |
30% |
33% |
36% |
|
70 |
RU000A103N84 |
100% |
100% |
100% |
26% |
29% |
32% |
|
71 |
RU000A103RS4 |
12% |
15% |
18% |
24% |
27% |
30% |
|
72 |
RU000A103YE0 |
8% |
11% |
14% |
16% |
19% |
22% |
|
73 |
XS2346922755 |
100% |
100% |
100% |
36% |
39% |
42% |
|
74 |
XS2393505008 |
100% |
100% |
100% |
38% |
41% |
44% |
|
75 |
XS2396900685 |
100% |
100% |
100% |
44% |
47% |
50% |
|
76 |
XS2401571448 |
100% |
100% |
100% |
40% |
43% |
46% |
|
77 |
XS2401571521 |
100% |
100% |
100% |
52% |
55% |
58% |
|
№ |
Ticker |
New concentration limits, number of securities |
New Ban on short selling |
|
|
LK1 |
LK2 |
|||
|
1 |
RU000A0JS3U0 |
200 000 |
1 000 000 |
No |
|
2 |
RU000A0JS5B5 |
100 000 |
500 000 |
No |
|
3 |
RU000A0JV3R1 |
100 000 |
500 000 |
No |
|
4 |
RU000A0JV805 |
200 000 |
1 000 000 |
No |
|
5 |
RU000A0JWPV3 |
100 000 |
500 000 |
No |
|
6 |
RU000A0JX413 |
400 000 |
2 000 000 |
No |
|
7 |
RU000A0JXR68 |
300 000 |
1 500 000 |
No |
|
8 |
RU000A0ZZVQ0 |
398 000 |
1 990 000 |
No |
|
9 |
RU000A1008Q9 |
400 000 |
2 000 000 |
No |
|
10 |
RU000A1032H8 |
237 872 |
1 189 358 |
No |
|
11 |
RU000A103DS4 |
200 000 |
1 000 000 |
No |
|
12 |
RU000A103N84 |
300 000 |
1 500 000 |
No |
|
13 |
XS2346922755 |
10 000 |
50 000 |
No |
|
14 |
XS2393505008 |
10 000 |
50 000 |
No |
|
15 |
XS2396900685 |
14 000 |
70 000 |
No |
|
16 |
XS2401571448 |
23 000 |
115 000 |
No |
|
17 |
XS2401571521 |
23 000 |
115 000 |
No |
|
№ |
Ticker |
New Collateral Flag |
|
1 |
RU000A0JQAM6 |
Yes |
|
2 |
RU000A0JS3U0 |
Yes |
|
3 |
RU000A0JS5A7 |
Yes |
|
4 |
RU000A0JS5B5 |
Yes |
|
5 |
RU000A0JS5L4 |
Yes |
|
6 |
RU000A0JS6N8 |
Yes |
|
7 |
RU000A0JT7M7 |
Yes |
|
8 |
RU000A0JT874 |
Yes |
|
9 |
RU000A0JTMG7 |
Yes |
|
10 |
RU000A0JTMK9 |
Yes |
|
11 |
RU000A0JTVJ2 |
Yes |
|
12 |
RU000A0JTYL2 |
Yes |
|
13 |
RU000A0JTYM0 |
Yes |
|
14 |
RU000A0JTYN8 |
Yes |
|
15 |
RU000A0JU1Q8 |
Yes |
|
16 |
RU000A0JU6A1 |
Yes |
|
17 |
RU000A0JUAD7 |
Yes |
|
18 |
RU000A0JUU90 |
Yes |
|
19 |
RU000A0JUV08 |
Yes |
|
20 |
RU000A0JUW31 |
Yes |
|
21 |
RU000A0JUW72 |
Yes |
|
22 |
RU000A0JV0U1 |
Yes |
|
23 |
RU000A0JV3R1 |
Yes |
|
24 |
RU000A0JV805 |
Yes |
|
25 |
RU000A0JV987 |
Yes |
|
26 |
RU000A0JVFC6 |
Yes |
|
27 |
RU000A0JVUY9 |
Yes |
|
28 |
RU000A0JVWA5 |
Yes |
|
29 |
RU000A0JVWB3 |
Yes |
|
30 |
RU000A0JWGS8 |
Yes |
|
31 |
RU000A0JWPV3 |
Yes |
|
32 |
RU000A0JWUB5 |
Yes |
|
33 |
RU000A0JWUX9 |
Yes |
|
34 |
RU000A0JX413 |
Yes |
|
35 |
RU000A0JX5W4 |
Yes |
|
36 |
RU000A0JXP45 |
Yes |
|
37 |
RU000A0JXR68 |
Yes |
|
38 |
RU000A0JXRV7 |
Yes |
|
39 |
RU000A0ZYBM4 |
Yes |
|
40 |
RU000A0ZYEE5 |
Yes |
|
41 |
RU000A0ZYGB6 |
Yes |
|
42 |
RU000A0ZYRX7 |
Yes |
|
43 |
RU000A0ZYRY5 |
Yes |
|
44 |
RU000A0ZYU21 |
Yes |
|
45 |
RU000A0ZYWB3 |
Yes |
|
46 |
RU000A0ZYXJ4 |
Yes |
|
47 |
RU000A0ZZPZ3 |
Yes |
|
48 |
RU000A0ZZQU2 |
Yes |
|
49 |
RU000A0ZZUL3 |
Yes |
|
50 |
RU000A0ZZVQ0 |
Yes |
|
51 |
RU000A0ZZXM5 |
Yes |
|
52 |
RU000A0ZZZ66 |
Yes |
|
53 |
RU000A1002E8 |
Yes |
|
54 |
RU000A1003R8 |
Yes |
|
55 |
RU000A1007E7 |
Yes |
|
56 |
RU000A100832 |
Yes |
|
57 |
RU000A1008Q9 |
Yes |
|
58 |
RU000A100AF3 |
Yes |
|
59 |
RU000A100HH4 |
Yes |
|
60 |
RU000A100JB3 |
Yes |
|
61 |
RU000A100PQ8 |
Yes |
|
62 |
RU000A100VR4 |
Yes |
|
63 |
RU000A101129 |
Yes |
|
64 |
RU000A1011R1 |
Yes |
|
65 |
RU000A101350 |
Yes |
|
66 |
RU000A101TK1 |
Yes |
|
67 |
RU000A101Z74 |
Yes |
|
68 |
RU000A102788 |
Yes |
|
69 |
RU000A102A07 |
Yes |
|
70 |
RU000A102DB2 |
Yes |
|
71 |
RU000A102FQ5 |
Yes |
|
72 |
RU000A102GJ8 |
Yes |
|
73 |
RU000A102JZ8 |
Yes |
|
74 |
RU000A102RQ0 |
Yes |
|
75 |
RU000A102RR8 |
Yes |
|
76 |
RU000A102S80 |
Yes |
|
77 |
RU000A1032H8 |
Yes |
|
78 |
RU000A103661 |
Yes |
|
79 |
RU000A1036E6 |
Yes |
|
80 |
RU000A1037F1 |
Yes |
|
81 |
RU000A1038U8 |
Yes |
|
82 |
RU000A1039K7 |
Yes |
|
83 |
RU000A103BE8 |
Yes |
|
84 |
RU000A103DS4 |
Yes |
|
85 |
RU000A103DU0 |
Yes |
|
86 |
RU000A103EN3 |
Yes |
|
87 |
RU000A103G59 |
Yes |
|
88 |
RU000A103G75 |
Yes |
|
89 |
RU000A103GX7 |
Yes |
|
90 |
RU000A103H66 |
Yes |
|
91 |
RU000A103KG4 |
Yes |
|
92 |
RU000A103N84 |
Yes |
|
93 |
RU000A103RS4 |
Yes |
|
94 |
RU000A103T21 |
Yes |
|
95 |
RU000A103T39 |
Yes |
|
96 |
RU000A103T47 |
Yes |
|
97 |
RU000A103T54 |
Yes |
|
98 |
RU000A103T62 |
Yes |
|
99 |
RU000A103T70 |
Yes |
|
100 |
RU000A103T88 |
Yes |
|
101 |
RU000A103T96 |
Yes |
|
102 |
RU000A103TA8 |
Yes |
|
103 |
RU000A103TB6 |
Yes |
|
104 |
RU000A103TC4 |
Yes |
|
105 |
RU000A103YE0 |
Yes |
|
106 |
RU000A103YM3 |
Yes |
|
107 |
RU000A103YS0 |
Yes |
|
108 |
RU000A1040J7 |
Yes |
|
109 |
RU000A1040Y6 |
Yes |
|
110 |
RU000A104123 |
Yes |
|
111 |
XS2346922755 |
Yes |
|
112 |
XS2393505008 |
Yes |
|
113 |
XS2396900685 |
Yes |
|
114 |
XS2400040973 |
Yes |
|
115 |
XS2401571448 |
Yes |
|
116 |
XS2401571521 |
Yes |
|
№ |
Ticker |
Current stress scenario UP |
Current stress scenario DOWN |
New stress scenario UP |
New stress scenario DOWN |
|
1 |
RU000A0JR5F7 |
0.00% |
0.00% |
1.50% |
1.50% |
|
2 |
RU000A0JS3U0 |
0.00% |
0.00% |
1.50% |
1.50% |
|
3 |
RU000A0JS5B5 |
0.00% |
0.00% |
1.50% |
1.50% |
|
4 |
RU000A0JS6N8 |
2.25% |
2.25% |
0.00% |
0.00% |
|
5 |
RU000A0JT7M7 |
2.25% |
2.25% |
0.00% |
0.00% |
|
6 |
RU000A0JT874 |
1.50% |
1.50% |
0.00% |
0.00% |
|
7 |
RU000A0JTVJ2 |
1.50% |
1.50% |
0.00% |
0.00% |
|
8 |
RU000A0JU1Q8 |
1.50% |
1.50% |
0.00% |
0.00% |
|
9 |
RU000A0JU6A1 |
3.75% |
3.75% |
0.00% |
0.00% |
|
10 |
RU000A0JUAD7 |
2.25% |
2.25% |
0.00% |
0.00% |
|
11 |
RU000A0JUU90 |
1.50% |
1.50% |
0.00% |
0.00% |
|
12 |
RU000A0JUV08 |
1.50% |
1.50% |
0.00% |
0.00% |
|
13 |
RU000A0JUW31 |
2.25% |
2.25% |
0.00% |
0.00% |
|
14 |
RU000A0JUW72 |
2.25% |
2.25% |
0.00% |
0.00% |
|
15 |
RU000A0JV0U1 |
2.25% |
2.25% |
0.00% |
0.00% |
|
16 |
RU000A0JV3R1 |
0.00% |
0.00% |
1.50% |
1.50% |
|
17 |
RU000A0JV805 |
0.00% |
0.00% |
2.25% |
2.25% |
|
18 |
RU000A0JV987 |
3.75% |
3.75% |
0.00% |
0.00% |
|
19 |
RU000A0JVWB3 |
3.75% |
3.75% |
0.00% |
0.00% |
|
20 |
RU000A0JWJX2 |
3.75% |
3.75% |
0.00% |
0.00% |
|
21 |
RU000A0JWPV3 |
0.00% |
0.00% |
1.50% |
1.50% |
|
22 |
RU000A0JWUX9 |
1.50% |
1.50% |
0.00% |
0.00% |
|
23 |
RU000A0JX2R1 |
1.50% |
1.50% |
0.00% |
0.00% |
|
24 |
RU000A0JX413 |
0.00% |
0.00% |
0.00% |
0.00% |
|
25 |
RU000A0JX5W4 |
2.25% |
2.25% |
0.00% |
0.00% |
|
26 |
RU000A0JXP45 |
3.75% |
3.75% |
0.00% |
0.00% |
|
27 |
RU000A0JXR68 |
0.00% |
0.00% |
0.00% |
0.00% |
|
28 |
RU000A0JXRV7 |
2.25% |
2.25% |
0.00% |
0.00% |
|
29 |
RU000A0ZYBM4 |
3.75% |
3.75% |
0.00% |
0.00% |
|
30 |
RU000A0ZYEE5 |
1.50% |
1.50% |
0.00% |
0.00% |
|
31 |
RU000A0ZYGB6 |
3.75% |
3.75% |
0.00% |
0.00% |
|
32 |
RU000A0ZYRX7 |
1.50% |
1.50% |
0.00% |
0.00% |
|
33 |
RU000A0ZYRY5 |
1.50% |
1.50% |
0.00% |
0.00% |
|
34 |
RU000A0ZYU21 |
3.75% |
3.75% |
0.00% |
0.00% |
|
35 |
RU000A0ZYWB3 |
1.50% |
1.50% |
0.00% |
0.00% |
|
36 |
RU000A0ZYXJ4 |
1.50% |
1.50% |
0.00% |
0.00% |
|
37 |
RU000A0ZZPZ3 |
2.25% |
2.25% |
0.00% |
0.00% |
|
38 |
RU000A0ZZQU2 |
2.25% |
2.25% |
0.00% |
0.00% |
|
39 |
RU000A0ZZUL3 |
3.75% |
3.75% |
0.00% |
0.00% |
|
40 |
RU000A0ZZVQ0 |
0.00% |
0.00% |
0.00% |
0.00% |
|
41 |
RU000A0ZZXM5 |
1.50% |
1.50% |
0.00% |
0.00% |
|
42 |
RU000A0ZZZ66 |
1.50% |
1.50% |
0.00% |
0.00% |
|
43 |
RU000A1002E8 |
2.25% |
2.25% |
0.00% |
0.00% |
|
44 |
RU000A1003R8 |
3.75% |
3.75% |
0.00% |
0.00% |
|
45 |
RU000A1007E7 |
2.25% |
2.25% |
0.00% |
0.00% |
|
46 |
RU000A100832 |
2.25% |
2.25% |
0.00% |
0.00% |
|
47 |
RU000A1008Q9 |
0.00% |
0.00% |
2.25% |
2.25% |
|
48 |
RU000A100AF3 |
1.50% |
1.50% |
0.00% |
0.00% |
|
49 |
RU000A100HH4 |
5.50% |
5.50% |
0.00% |
0.00% |
|
50 |
RU000A100JB3 |
5.50% |
5.50% |
0.00% |
0.00% |
|
51 |
RU000A100PQ8 |
1.50% |
1.50% |
0.00% |
0.00% |
|
52 |
RU000A100VR4 |
2.25% |
2.25% |
0.00% |
0.00% |
|
53 |
RU000A101129 |
2.25% |
2.25% |
0.00% |
0.00% |
|
54 |
RU000A1011R1 |
3.75% |
3.75% |
0.00% |
0.00% |
|
55 |
RU000A101350 |
3.75% |
3.75% |
0.00% |
0.00% |
|
56 |
RU000A101TK1 |
1.50% |
1.50% |
0.00% |
0.00% |
|
57 |
RU000A101Z74 |
3.75% |
3.75% |
0.00% |
0.00% |
|
58 |
RU000A102788 |
1.50% |
1.50% |
0.00% |
0.00% |
|
59 |
RU000A102A07 |
5.00% |
5.00% |
0.00% |
0.00% |
|
60 |
RU000A102DB2 |
5.50% |
5.50% |
0.00% |
0.00% |
|
61 |
RU000A102GJ8 |
3.80% |
3.80% |
0.00% |
0.00% |
|
62 |
RU000A102JZ8 |
0.00% |
0.00% |
0.00% |
0.00% |
|
63 |
RU000A102S80 |
0.00% |
0.00% |
0.00% |
0.00% |
|
64 |
RU000A1032H8 |
0.00% |
0.00% |
0.00% |
0.00% |
|
65 |
RU000A1036E6 |
3.75% |
3.75% |
0.00% |
0.00% |
|
66 |
RU000A1037F1 |
3.75% |
3.75% |
0.00% |
0.00% |
|
67 |
RU000A103DS4 |
0.00% |
0.00% |
5.50% |
5.50% |
|
68 |
RU000A103GX7 |
3.75% |
3.75% |
0.00% |
0.00% |
|
69 |
RU000A103KG4 |
5.50% |
5.50% |
0.00% |
0.00% |
|
70 |
RU000A103N84 |
0.00% |
0.00% |
0.00% |
0.00% |
|
71 |
RU000A103RS4 |
2.25% |
2.25% |
0.00% |
0.00% |
|
72 |
RU000A103YE0 |
1.50% |
1.50% |
0.00% |
0.00% |
|
73 |
XS2346922755 |
0.00% |
0.00% |
0.00% |
0.00% |
|
74 |
XS2393505008 |
0.00% |
0.00% |
0.00% |
0.00% |
|
75 |
XS2396900685 |
0.00% |
0.00% |
0.00% |
0.00% |
|
76 |
XS2401571448 |
0.00% |
0.00% |
0.00% |
0.00% |
|
77 |
XS2401571521 |
0.00% |
0.00% |
0.00% |
0.00% |