CCP NCC will set the following risk parameters on Securities market starting from January 20th. From this date on, risk parameters will be applied according to the table below.
1. Market risk rates:
|
№ |
Ticker |
Name |
Current market risk rates, % |
New market risk rates, % |
||||
|
Level 1, S_1_min |
Level 2, S2_min |
Level 3, S3_min |
Level 1, S_1_min |
Level 2, S2_min |
Level 3, S3_min |
|||
|
1 |
SPCE-RM |
Virgin Galactic Holdings |
50% |
65% |
90% |
70% |
80% |
90% |
|
2 |
NIO-RM |
Nio Inc. |
53% |
80% |
95% |
80% |
90% |
100% |
|
3 |
LVS-RM |
Las Vegas Sands Corp. |
19% |
31% |
43% |
57% |
80% |
95% |
|
4 |
F-RM |
Ford Motor Company |
17% |
27% |
39% |
36% |
56% |
79% |
|
5 |
CAH-RM |
Cardinal Health Ord Shs |
16% |
25% |
35% |
28% |
44% |
62% |
|
6 |
MOMO-RM |
Hello Group Inc. |
26% |
42% |
59% |
38% |
60% |
85% |
|
7 |
FANG-RM |
Diamondback Energy ORD SHS |
30% |
48% |
68% |
42% |
65% |
92% |
|
8 |
VRTX-RM |
Vertex Pharmaceuticals Inc |
19% |
31% |
43% |
30% |
47% |
66% |
|
9 |
PINS-RM |
Pinterest Ord Shs Class A |
20% |
31% |
44% |
27% |
42% |
59% |
|
10 |
EHTH-RM |
eHealth |
34% |
54% |
77% |
40% |
63% |
89% |
|
11 |
FNKO-RM |
Funko Ord Shs Class A |
29% |
46% |
65% |
34% |
50% |
75% |
|
12 |
ZM-RM |
Zoom Video Communications |
28% |
45% |
63% |
33% |
50% |
74% |
|
13 |
CLF-RM |
Cleveland Cliffs Ord Shs |
40% |
63% |
89% |
44% |
70% |
95% |
|
14 |
ISRG-RM |
Intuitive Surgical |
17% |
27% |
39% |
20% |
31% |
44% |
|
15 |
TPR-RM |
Tapestry |
23% |
37% |
52% |
21% |
34% |
47% |
|
16 |
VRSK-RM |
Verisk Analytics |
16% |
26% |
36% |
14% |
23% |
32% |
|
17 |
CPB-RM |
Campbell Soup Company |
16% |
26% |
36% |
14% |
23% |
32% |
|
18 |
REGN-RM |
Regeneron Pharmaceuticals |
20% |
32% |
45% |
18% |
29% |
41% |
|
19 |
RL-RM |
Ralph Lauren Corporation |
21% |
34% |
47% |
19% |
30% |
43% |
|
20 |
ABBV-RM |
AbbVie Inc. |
17% |
27% |
39% |
15% |
24% |
34% |
|
21 |
OMC-RM |
Omnicom Group Inc. Ordshs |
17% |
27% |
39% |
15% |
24% |
34% |
|
22 |
HSIC-RM |
Henry Schein |
17% |
27% |
39% |
15% |
24% |
34% |
|
23 |
NWS-RM |
News Corp Ord Shs Class B |
18% |
28% |
40% |
16% |
25% |
36% |
|
24 |
KR-RM |
The Kroger Co. |
17% |
27% |
39% |
15% |
24% |
33% |
|
25 |
JD-RM |
JD.com |
20% |
32% |
45% |
18% |
29% |
40% |
|
26 |
NOV-RM |
NOV Inc. ORD SHS |
22% |
35% |
50% |
20% |
32% |
45% |
|
27 |
INTC-RM |
Intel Corporation |
18% |
29% |
41% |
16% |
25% |
36% |
|
28 |
CVX-RM |
Chevron Corporation |
17% |
27% |
39% |
15% |
24% |
33% |
|
29 |
IFF-RM |
Inter Flav&Frag Inc ORD SHS |
18% |
29% |
41% |
16% |
25% |
35% |
|
30 |
CLX-RM |
Clorox Ord Shs |
15% |
23% |
33% |
13% |
20% |
29% |
|
31 |
TSLA-RM |
Tesla |
26% |
42% |
59% |
24% |
38% |
53% |
|
32 |
CI-RM |
Cigna Corporation |
19% |
31% |
43% |
17% |
27% |
37% |
|
33 |
DVN-RM |
Devon Energy Ord Shs |
24% |
37% |
53% |
22% |
34% |
48% |
|
34 |
HES-RM |
Hess Corporation ORD SHS |
22% |
35% |
50% |
20% |
31% |
44% |
|
35 |
AA-RM |
Alcoa Corporation |
24% |
38% |
54% |
22% |
34% |
48% |
|
36 |
WBA-RM |
Walgreen Boots Alliance Ord Sh |
18% |
28% |
39% |
16% |
25% |
34% |
|
37 |
BABA-RM |
АДР Alibaba Group Holding LTD |
18% |
29% |
41% |
16% |
24% |
34% |
|
38 |
DXC-RM |
DXC Technology Co ORD SHS |
28% |
45% |
63% |
26% |
41% |
58% |
|
39 |
WRK-RM |
Westrock Co Ord Shs |
21% |
34% |
47% |
18% |
29% |
41% |
|
40 |
DIS-RM |
The Walt Disney Company |
18% |
29% |
41% |
15% |
24% |
34% |
|
41 |
NKE-RM |
NIKE |
18% |
29% |
41% |
15% |
24% |
34% |
|
42 |
EOG-RM |
EOG Resources |
21% |
34% |
47% |
18% |
28% |
40% |
|
43 |
ALB-RM |
Albemarle Ord Shs |
21% |
33% |
46% |
18% |
28% |
40% |
|
44 |
XOM-RM |
Exxon Mobil Corporation |
18% |
29% |
41% |
15% |
23% |
33% |
|
45 |
LLY-RM |
Eli Lilly and Company |
18% |
29% |
41% |
15% |
23% |
32% |
|
46 |
FOX-RM |
Fox Corporation |
21% |
34% |
47% |
18% |
28% |
39% |
|
47 |
FTV-RM |
Fortive Corporation ORD SHS |
17% |
27% |
39% |
14% |
23% |
32% |
|
48 |
PVH-RM |
PVH Corp.ORD SHS |
25% |
40% |
56% |
22% |
35% |
50% |
|
49 |
XLNX-RM |
Xilinx |
19% |
31% |
43% |
16% |
25% |
36% |
|
50 |
OKE-RM |
ONEOK |
26% |
42% |
59% |
23% |
36% |
51% |
|
51 |
XRAY-RM |
DENTSPLY SIRONA ORD SHS |
19% |
31% |
43% |
16% |
25% |
35% |
|
52 |
RTX-RM |
Raytheon Technologies Corp |
19% |
31% |
43% |
16% |
24% |
34% |
|
53 |
OXY-RM |
Occidental Petroleum Corp |
26% |
42% |
59% |
23% |
36% |
50% |
|
54 |
DLTR-RM |
Dollar Tree |
22% |
35% |
50% |
18% |
29% |
41% |
|
55 |
ZION-RM |
Zions Bancorp NA ORD SHS |
21% |
34% |
47% |
17% |
27% |
38% |
|
56 |
VNT-RM |
Vontier Corporation |
22% |
35% |
49% |
18% |
28% |
40% |
|
57 |
CTLT-RM |
Catalent |
21% |
34% |
47% |
17% |
26% |
37% |
|
58 |
LW-RM |
Lamb Weston Holdings ORD SHS |
23% |
37% |
52% |
19% |
30% |
43% |
|
59 |
MRO-RM |
Marathon Oil Corporation |
26% |
42% |
59% |
22% |
35% |
49% |
|
60 |
NUE-RM |
Nucor Corporation |
20% |
32% |
45% |
16% |
25% |
35% |
|
61 |
HIG-RM |
The Hartford ORD SHS |
23% |
37% |
52% |
19% |
29% |
41% |
|
62 |
VLO-RM |
Valero Energy Corp ORD SHS |
24% |
38% |
54% |
19% |
30% |
42% |
|
63 |
MTB-RM |
M&T Bank Co ORD SHS |
22% |
35% |
50% |
17% |
26% |
37% |
|
64 |
BIDU-RM |
АДР Baidu |
25% |
40% |
56% |
20% |
31% |
43% |
|
65 |
BBWI-RM |
Bath & Body Works |
28% |
45% |
63% |
23% |
36% |
51% |
|
66 |
LUV-RM |
Southwest Airlines Co. |
24% |
38% |
54% |
18% |
28% |
40% |
|
67 |
CFG-RM |
Citizens Financial Group ORDSH |
25% |
40% |
56% |
19% |
30% |
43% |
|
68 |
PSX-RM |
Phillips 66 |
23% |
37% |
52% |
17% |
27% |
38% |
|
69 |
MRNA-RM |
Moderna |
38% |
61% |
85% |
32% |
50% |
71% |
|
70 |
HWM-RM |
Howmet Aerospace Inc. ORD SHS |
29% |
46% |
65% |
22% |
35% |
49% |
|
71 |
IQV-RM |
IQVIA HOLDINGS INC ORDSHS |
22% |
35% |
50% |
15% |
23% |
33% |
|
72 |
LI-RM |
Li Auto Inc. |
40% |
64% |
90% |
33% |
50% |
74% |
|
73 |
GT-RM |
Goodyear Tire & Rubber Company |
27% |
43% |
61% |
20% |
31% |
44% |
|
74 |
ENPH-RM |
Enphase Energy Ord Shs |
42% |
67% |
95% |
34% |
50% |
75% |
|
75 |
PBCT-RM |
Peoples United Financial Ord S |
25% |
39% |
55% |
16% |
25% |
35% |
|
76 |
GPS-RM |
Gap Inc. |
33% |
53% |
74% |
24% |
37% |
52% |
|
77 |
SYF-RM |
Synchrony Financial ORD SHS |
28% |
45% |
63% |
19% |
30% |
43% |
|
78 |
QDEL-RM |
Quidel Ord Shs |
34% |
54% |
76% |
23% |
36% |
51% |
|
79 |
SYY-RM |
Sysco Ord Shs |
32% |
50% |
71% |
17% |
27% |
38% |
|
80 |
NRG-RM |
Nrg Energy |
34% |
54% |
77% |
19% |
30% |
42% |
|
81 |
DISH-RM |
DISH Network Corp ORD SHS CL A |
37% |
59% |
83% |
18% |
28% |
40% |
|
82 |
TDOC-RM |
Teladoc Health Ord Shs |
44% |
70% |
99% |
23% |
37% |
52% |
|
83 |
APA-RM |
APA Corporation |
47% |
75% |
95% |
26% |
40% |
57% |
|
84 |
BIIB-RM |
Biogen Inc. |
50% |
60% |
70% |
27% |
42% |
59% |
|
85 |
UBER-RM |
Uber Technologies |
70% |
80% |
90% |
25% |
39% |
55% |
|
86 |
PLUG-RM |
Plug Power Ord Shs |
100% |
100% |
100% |
71% |
100% |
100% |
|
87 |
COIN-RM |
Coinbase Global |
100% |
100% |
100% |
70% |
80% |
95% |
|
88 |
DAL-RM |
Delta Air Lines |
100% |
100% |
100% |
40% |
63% |
89% |
|
89 |
COTY-RM |
Coty Inc. |
100% |
100% |
100% |
39% |
61% |
86% |
|
90 |
BILI-RM |
Bilibili ADR Class Z |
26% |
41% |
57% |
100% |
100% |
100% |
|
91 |
SWN-RM |
Southwestern Energy Company |
35% |
56% |
79% |
100% |
100% |
100% |
|
92 |
SNAP-RM |
Snap Inc. |
35% |
56% |
79% |
100% |
100% |
100% |
|
93 |
CZR-RM |
Caesars Entertainment ORD SHS |
55% |
80% |
95% |
100% |
100% |
100% |
|
94 |
CNK-RM |
Cinemark Holdings |
70% |
80% |
90% |
100% |
100% |
100% |
|
95 |
GTHX-RM |
G1 Therapeutics |
70% |
80% |
90% |
100% |
100% |
100% |
|
96 |
BLUE-RM |
Bluebird bio |
70% |
80% |
90% |
100% |
100% |
100% |
|
97 |
SPLK-RM |
Splunk Inc. |
21% |
34% |
47% |
100% |
100% |
100% |
2. Concentration limits:
|
№ |
Ticker |
Name |
Current concentration limits, units |
New concentration limits, units |
||
|
1 level |
2 level |
1 level |
2 level |
|||
|
1 |
PLUG-RM |
Plug Power Ord Shs |
25584 |
127920 |
15911 |
79553 |
|
2 |
COIN-RM |
Coinbase Global |
2758 |
13790 |
2002 |
10007 |
|
3 |
DAL-RM |
Delta Air Lines |
15816 |
79082 |
16258 |
81286 |
|
4 |
COTY-RM |
Coty Inc. |
78692 |
393460 |
63495 |
317474 |
|
5 |
BILI-RM |
Bilibili ADR Class Z |
8486 |
42430 |
2000 |
2001 |
|
6 |
SWN-RM |
Southwestern Energy Company |
154148 |
770740 |
2000 |
2001 |
|
7 |
SNAP-RM |
Snap Inc. |
8870 |
44350 |
2000 |
2001 |
|
8 |
CZR-RM |
Caesars Entertainment ORD SHS |
6128 |
30640 |
2000 |
2001 |
|
9 |
CNK-RM |
Cinemark Holdings |
31182 |
155910 |
2000 |
2001 |
|
10 |
GTHX-RM |
G1 Therapeutics |
31843 |
159215 |
2000 |
2001 |
|
11 |
BLUE-RM |
Bluebird bio |
20581 |
102905 |
2000 |
2001 |
|
12 |
SPLK-RM |
Splunk Inc. |
5874 |
29370 |
2000 |
2001 |
3. Stress collateral scenarios:
|
№ |
Ticker |
Name |
Current scenarios |
New scenarios |
||
|
Scen_UP |
Scen_DOWN |
Scen_UP |
Scen_DOWN |
|||
|
1 |
SPLK-RM |
Splunk Inc. |
15% |
13% |
0% |
0% |
|
2 |
BILI-RM |
Bilibili ADR Class Z |
7% |
5% |
0% |
0% |
|
3 |
SWN-RM |
Southwestern Energy Company |
1% |
0% |
0% |
0% |
|
4 |
SNAP-RM |
Snap Inc. |
11% |
9% |
0% |
0% |
|
5 |
SPCE-RM |
Virgin Galactic Holdings |
5% |
3% |
0% |
0% |
|
6 |
NIO-RM |
Nio Inc. |
12% |
10% |
0% |
0% |
|
7 |
CZR-RM |
Caesars Entertainment ORD SHS |
0% |
0% |
0% |
0% |
|
8 |
LVS-RM |
Las Vegas Sands Corp. |
7% |
5% |
0% |
0% |
|
12 |
F-RM |
Ford Motor Company |
4% |
4% |
0% |
0% |
|
13 |
CAH-RM |
Cardinal Health Ord Shs |
8% |
6% |
0% |
0% |
|
14 |
MOMO-RM |
Hello Group Inc. |
13% |
11% |
1% |
0% |
|
15 |
FANG-RM |
Diamondback Energy ORD SHS |
7% |
5% |
0% |
0% |
|
16 |
VRTX-RM |
Vertex Pharmaceuticals Inc |
18% |
16% |
9% |
7% |
|
17 |
PINS-RM |
Pinterest Ord Shs Class A |
20% |
18% |
16% |
14% |
|
18 |
EHTH-RM |
eHealth |
10% |
8% |
6% |
4% |
|
19 |
FNKO-RM |
Funko Ord Shs Class A |
11% |
9% |
9% |
7% |
|
20 |
ZM-RM |
Zoom Video Communications |
25% |
23% |
20% |
18% |
|
21 |
CLF-RM |
Cleveland Cliffs Ord Shs |
0% |
0% |
0% |
0% |
|
22 |
ISRG-RM |
Intuitive Surgical |
9% |
7% |
12% |
10% |
|
23 |
TPR-RM |
Tapestry |
9% |
7% |
12% |
10% |
|
24 |
VRSK-RM |
Verisk Analytics |
7% |
5% |
9% |
7% |
|
25 |
CPB-RM |
Campbell Soup Company |
7% |
5% |
10% |
8% |
|
26 |
REGN-RM |
Regeneron Pharmaceuticals |
9% |
7% |
8% |
6% |
|
27 |
RL-RM |
Ralph Lauren Corporation |
8% |
6% |
11% |
9% |
|
28 |
ABBV-RM |
AbbVie Inc. |
2% |
0% |
10% |
8% |
|
29 |
OMC-RM |
Omnicom Group Inc. Ordshs |
7% |
5% |
9% |
7% |
|
30 |
HSIC-RM |
Henry Schein |
7% |
5% |
9% |
7% |
|
31 |
NWS-RM |
News Corp Ord Shs Class B |
7% |
5% |
10% |
8% |
|
32 |
KR-RM |
The Kroger Co. |
8% |
6% |
11% |
9% |
|
33 |
JD-RM |
JD.com |
7% |
5% |
10% |
8% |
|
34 |
NOV-RM |
NOV Inc. ORD SHS |
9% |
7% |
12% |
10% |
|
35 |
INTC-RM |
Intel Corporation |
4% |
2% |
10% |
8% |
|
36 |
CVX-RM |
Chevron Corporation |
8% |
6% |
12% |
10% |
|
37 |
IFF-RM |
Inter Flav&Frag Inc ORD SHS |
7% |
5% |
10% |
8% |
|
38 |
CLX-RM |
Clorox Ord Shs |
6% |
4% |
10% |
8% |
|
39 |
TSLA-RM |
Tesla |
3% |
1% |
12% |
10% |
|
40 |
CI-RM |
Cigna Corporation |
6% |
4% |
10% |
8% |
|
41 |
DVN-RM |
Devon Energy Ord Shs |
9% |
7% |
13% |
11% |
|
42 |
HES-RM |
Hess Corporation ORD SHS |
8% |
6% |
12% |
10% |
|
43 |
AA-RM |
Alcoa Corporation |
7% |
5% |
11% |
9% |
|
44 |
WBA-RM |
Walgreen Boots Alliance Ord Sh |
6% |
4% |
10% |
8% |
|
45 |
BABA-RM |
АДР Alibaba Group Holding LTD |
1% |
0% |
11% |
9% |
|
46 |
DXC-RM |
DXC Technology Co ORD SHS |
11% |
9% |
14% |
12% |
|
47 |
WRK-RM |
Westrock Co Ord Shs |
8% |
7% |
11% |
9% |
|
48 |
DIS-RM |
The Walt Disney Company |
5% |
3% |
10% |
8% |
|
49 |
NKE-RM |
NIKE |
6% |
4% |
11% |
9% |
|
50 |
EOG-RM |
EOG Resources |
8% |
6% |
12% |
10% |
|
51 |
ALB-RM |
Albemarle Ord Shs |
6% |
4% |
11% |
9% |
|
52 |
XOM-RM |
Exxon Mobil Corporation |
5% |
3% |
10% |
8% |
|
53 |
LLY-RM |
Eli Lilly and Company |
5% |
3% |
10% |
8% |
|
54 |
FOX-RM |
Fox Corporation |
6% |
4% |
10% |
8% |
|
55 |
FTV-RM |
Fortive Corporation ORD SHS |
7% |
5% |
10% |
8% |
|
56 |
PVH-RM |
PVH Corp.ORD SHS |
10% |
7% |
13% |
11% |
|
57 |
XLNX-RM |
Xilinx |
7% |
5% |
10% |
8% |
|
58 |
OKE-RM |
ONEOK |
9% |
7% |
14% |
12% |
|
59 |
XRAY-RM |
DENTSPLY SIRONA ORD SHS |
7% |
7% |
11% |
9% |
|
60 |
RTX-RM |
Raytheon Technologies Corp |
6% |
4% |
11% |
9% |
|
61 |
OXY-RM |
Occidental Petroleum Corp |
10% |
8% |
16% |
14% |
|
62 |
DLTR-RM |
Dollar Tree |
5% |
3% |
10% |
8% |
|
63 |
ZION-RM |
Zions Bancorp NA ORD SHS |
5% |
1% |
10% |
8% |
|
64 |
VNT-RM |
Vontier Corporation |
8% |
6% |
12% |
10% |
|
65 |
CTLT-RM |
Catalent |
6% |
7% |
11% |
9% |
|
66 |
LW-RM |
Lamb Weston Holdings ORD SHS |
6% |
4% |
9% |
7% |
|
67 |
MRO-RM |
Marathon Oil Corporation |
8% |
6% |
14% |
12% |
|
68 |
NUE-RM |
Nucor Corporation |
4% |
2% |
9% |
7% |
|
69 |
HIG-RM |
The Hartford ORD SHS |
5% |
3% |
10% |
8% |
|
70 |
VLO-RM |
Valero Energy Corp ORD SHS |
7% |
5% |
13% |
11% |
|
71 |
MTB-RM |
M&T Bank Co ORD SHS |
5% |
3% |
10% |
8% |
|
72 |
BIDU-RM |
АДР Baidu |
4% |
2% |
10% |
8% |
|
73 |
BBWI-RM |
Bath & Body Works |
8% |
6% |
14% |
12% |
|
74 |
LUV-RM |
Southwest Airlines Co. |
2% |
0% |
10% |
8% |
|
75 |
CFG-RM |
Citizens Financial Group ORDSH |
5% |
3% |
12% |
10% |
|
76 |
PSX-RM |
Phillips 66 |
4% |
2% |
11% |
9% |
|
77 |
MRNA-RM |
Moderna |
11% |
9% |
16% |
14% |
|
78 |
HWM-RM |
Howmet Aerospace Inc. ORD SHS |
6% |
4% |
12% |
10% |
|
79 |
IQV-RM |
IQVIA HOLDINGS INC ORDSHS |
3% |
3% |
11% |
9% |
|
80 |
LI-RM |
Li Auto Inc. |
7% |
5% |
14% |
12% |
|
81 |
GT-RM |
Goodyear Tire & Rubber Company |
4% |
2% |
12% |
10% |
|
82 |
ENPH-RM |
Enphase Energy Ord Shs |
4% |
2% |
13% |
11% |
|
83 |
PBCT-RM |
Peoples United Financial Ord S |
1% |
0% |
11% |
9% |
|
84 |
GPS-RM |
Gap Inc. |
2% |
0% |
12% |
10% |
|
85 |
SYF-RM |
Synchrony Financial ORD SHS |
4% |
2% |
13% |
11% |
|
86 |
QDEL-RM |
Quidel Ord Shs |
2% |
0% |
14% |
12% |
|
87 |
SYY-RM |
Sysco Ord Shs |
0% |
0% |
13% |
11% |
|
88 |
NRG-RM |
Nrg Energy |
0% |
0% |
11% |
9% |
|
89 |
DISH-RM |
DISH Network Corp ORD SHS CL A |
0% |
0% |
10% |
8% |
|
90 |
TDOC-RM |
Teladoc Health Ord Shs |
0% |
0% |
12% |
10% |
|
91 |
APA-RM |
APA Corporation |
0% |
0% |
17% |
15% |
|
92 |
BIIB-RM |
Biogen Inc. |
8% |
6% |
11% |
9% |
|
95 |
UBER-RM |
Uber Technologies |
0% |
0% |
14% |
12% |
|
97 |
COTY-RM |
Coty Inc. |
0% |
0% |
2% |
0% |