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15 May 2017 Risk Parameters Change
NCC Clearing Bank is changing Securities market risk parameters starting from May 16, 2017 according to the tables below:
|
Spread ID |
Interproduct spread |
|
ALL_OFZ |
0.43 |
|
OFZ 1 |
0.53 |
|
OFZ 2 |
0.52 |
|
OFZ 1-2 |
0.5 |
|
OFZ 3 |
0.6 |
|
AIZK_ALL |
0.5 |
|
AIZK_1 |
0.51 |
|
AIZK_2 |
0.65 |
|
DELTA_ALL |
0.53 |
|
DELTA_1 |
0.54 |
|
DELTA_2 |
0.6 |
|
RSHB_ALL |
0.47 |
|
RSHB_1 |
0.47 |
|
RSHB_2 |
0.65 |
|
RZD_ALL |
0.5 |
|
RZD_2 |
0.5 |
|
FEES_ALL |
0.52 |
|
FEES_1 |
0.56 |
|
FEES_2 |
0.61 |
|
VEB_ALL |
0.51 |
|
VEB_1 |
0.56 |
|
VEB_2 |
0.59 |
Interproduct spreads group members:
|
Ticker |
Spread ID |
|
RU000A0JUMQ4 |
AIZK_1 |
|
RU000A0JTDX1 |
AIZK_1 |
|
XS0886632685 |
AIZK_1 |
|
RU000A0JTW83 |
AIZK_1 |
|
RU000A0JVCJ8 |
AIZK_1 |
|
RU000A0JPJE6 |
AIZK_2 |
|
RU000A0JUKX4 |
AIZK_2 |
|
RU000A0JQXG0 |
AIZK_2 |
|
RU000A0JS488 |
AIZK_2 |
|
RU000A0JX2R1 |
AIZK_2 |
|
RU000A0JR5F7 |
AIZK_2 |
|
RU000A0JR6S8 |
AIZK_2 |
|
RU000A0JUMQ4 |
AIZK_ALL |
|
RU000A0JTDX1 |
AIZK_ALL |
|
XS0886632685 |
AIZK_ALL |
|
RU000A0JTW83 |
AIZK_ALL |
|
RU000A0JVCJ8 |
AIZK_ALL |
|
RU000A0JPJE6 |
AIZK_ALL |
|
RU000A0JUKX4 |
AIZK_ALL |
|
RU000A0JQXG0 |
AIZK_ALL |
|
RU000A0JS488 |
AIZK_ALL |
|
RU000A0JX2R1 |
AIZK_ALL |
|
RU000A0JR5F7 |
AIZK_ALL |
|
RU000A0JR6S8 |
AIZK_ALL |
|
RU000A0JVWA5 |
DELTA_1 |
|
RU000A0JTF43 |
DELTA_1 |
|
RU000A0JV7T8 |
DELTA_1 |
|
RU000A0JU0A4 |
DELTA_2 |
|
RU000A0JVNB2 |
DELTA_2 |
|
RU000A0JU4X8 |
DELTA_2 |
|
RU000A0JVTA1 |
DELTA_2 |
|
RU000A0JWBN0 |
DELTA_2 |
|
RU000A0JWGS8 |
DELTA_2 |
|
RU000A0JVUY9 |
DELTA_2 |
|
RU000A0JWNB0 |
DELTA_2 |
|
RU000A0JWUB5 |
DELTA_2 |
|
RU000A0JS6M0 |
DELTA_2 |
|
RU000A0JUJG1 |
DELTA_2 |
|
RU000A0JWZT6 |
DELTA_2 |
|
RU000A0JUV81 |
DELTA_2 |
|
RU000A0JUW23 |
DELTA_2 |
|
RU000A0JVWA5 |
DELTA_ALL |
|
RU000A0JTF43 |
DELTA_ALL |
|
RU000A0JV7T8 |
DELTA_ALL |
|
RU000A0JU0A4 |
DELTA_ALL |
|
RU000A0JVNB2 |
DELTA_ALL |
|
RU000A0JU4X8 |
DELTA_ALL |
|
RU000A0JVTA1 |
DELTA_ALL |
|
RU000A0JWBN0 |
DELTA_ALL |
|
RU000A0JWGS8 |
DELTA_ALL |
|
RU000A0JVUY9 |
DELTA_ALL |
|
RU000A0JWNB0 |
DELTA_ALL |
|
RU000A0JWUB5 |
DELTA_ALL |
|
RU000A0JS6M0 |
DELTA_ALL |
|
RU000A0JUJG1 |
DELTA_ALL |
|
RU000A0JWZT6 |
DELTA_ALL |
|
RU000A0JUV81 |
DELTA_ALL |
|
RU000A0JUW23 |
DELTA_ALL |
|
RU000A0JR3L0 |
FEES_1 |
|
RU000A0JR3M8 |
FEES_1 |
|
RU000A0JRMX6 |
FEES_2 |
|
RU000A0JRUS9 |
FEES_2 |
|
XS0863439161 |
FEES_2 |
|
RU000A0JS7H8 |
FEES_2 |
|
RU000A0JRZK5 |
FEES_2 |
|
RU000A0JT2K2 |
FEES_2 |
|
RU000A0JTKA4 |
FEES_2 |
|
RU000A0JR1Y7 |
FEES_2 |
|
RU000A0JR209 |
FEES_2 |
|
RU000A0JR217 |
FEES_2 |
|
RU000A0JR1Z4 |
FEES_2 |
|
RU000A0JRL96 |
FEES_2 |
|
RU000A0JT7T2 |
FEES_2 |
|
RU000A0JR3L0 |
FEES_ALL |
|
RU000A0JR3M8 |
FEES_ALL |
|
RU000A0JRMX6 |
FEES_ALL |
|
RU000A0JRUS9 |
FEES_ALL |
|
XS0863439161 |
FEES_ALL |
|
RU000A0JS7H8 |
FEES_ALL |
|
RU000A0JRZK5 |
FEES_ALL |
|
RU000A0JT2K2 |
FEES_ALL |
|
RU000A0JTKA4 |
FEES_ALL |
|
RU000A0JR1Y7 |
FEES_ALL |
|
RU000A0JR209 |
FEES_ALL |
|
RU000A0JR217 |
FEES_ALL |
|
RU000A0JR1Z4 |
FEES_ALL |
|
RU000A0JRL96 |
FEES_ALL |
|
RU000A0JT7T2 |
FEES_ALL |
|
RU000A0JPTE5 |
RSHB_1 |
|
RU000A0JUPQ7 |
RSHB_1 |
|
RU000A0JUQ05 |
RSHB_1 |
|
RU000A0JQS09 |
RSHB_1 |
|
RU000A0JQS74 |
RSHB_1 |
|
RU000A0JV987 |
RSHB_1 |
|
RU000A0JPF47 |
RSHB_1 |
|
RU000A0JRVN8 |
RSHB_1 |
|
RU000A0JQ1H3 |
RSHB_1 |
|
RU000A0JRLE8 |
RSHB_1 |
|
RU000A0JRMB2 |
RSHB_1 |
|
RU000A0JRMC0 |
RSHB_1 |
|
RU000A0JPMT8 |
RSHB_1 |
|
XS0884734343 |
RSHB_1 |
|
RU000A0JU6A1 |
RSHB_1 |
|
RU000A0JS6N8 |
RSHB_1 |
|
RU000A0JTVJ2 |
RSHB_1 |
|
RU000A0JQK72 |
RSHB_1 |
|
RU000A0JQK64 |
RSHB_1 |
|
RU000A0JU1Q8 |
RSHB_2 |
|
RU000A0JT7M7 |
RSHB_2 |
|
RU000A0JUAD7 |
RSHB_2 |
|
RU000A0JT874 |
RSHB_2 |
|
RU000A0JUW31 |
RSHB_2 |
|
RU000A0JUW72 |
RSHB_2 |
|
RU000A0JPTE5 |
RSHB_ALL |
|
RU000A0JUPQ7 |
RSHB_ALL |
|
RU000A0JUQ05 |
RSHB_ALL |
|
RU000A0JQS09 |
RSHB_ALL |
|
RU000A0JQS74 |
RSHB_ALL |
|
RU000A0JV987 |
RSHB_ALL |
|
RU000A0JPF47 |
RSHB_ALL |
|
RU000A0JRVN8 |
RSHB_ALL |
|
RU000A0JQ1H3 |
RSHB_ALL |
|
RU000A0JRLE8 |
RSHB_ALL |
|
RU000A0JRMB2 |
RSHB_ALL |
|
RU000A0JRMC0 |
RSHB_ALL |
|
RU000A0JPMT8 |
RSHB_ALL |
|
XS0884734343 |
RSHB_ALL |
|
RU000A0JU6A1 |
RSHB_ALL |
|
RU000A0JS6N8 |
RSHB_ALL |
|
RU000A0JTVJ2 |
RSHB_ALL |
|
RU000A0JQK72 |
RSHB_ALL |
|
RU000A0JQK64 |
RSHB_ALL |
|
RU000A0JU1Q8 |
RSHB_ALL |
|
RU000A0JT7M7 |
RSHB_ALL |
|
RU000A0JUAD7 |
RSHB_ALL |
|
RU000A0JT874 |
RSHB_ALL |
|
RU000A0JUW31 |
RSHB_ALL |
|
RU000A0JUW72 |
RSHB_ALL |
|
RU000A0JQ7Z2 |
RZD_2 |
|
RU000A0JQRD9 |
RZD_2 |
|
XS0764253455 |
RZD_2 |
|
RU000A0JQ7X7 |
RZD_2 |
|
RU000A0JX1S1 |
RZD_2 |
|
RU000A0JWC82 |
RZD_2 |
|
RU000A0JVW71 |
RZD_2 |
|
RU000A0JTU85 |
RZD_2 |
|
RU000A0JQ7Z2 |
RZD_ALL |
|
RU000A0JQRD9 |
RZD_ALL |
|
XS0764253455 |
RZD_ALL |
|
RU000A0JQ7X7 |
RZD_ALL |
|
RU000A0JX1S1 |
RZD_ALL |
|
RU000A0JWC82 |
RZD_ALL |
|
RU000A0JVW71 |
RZD_ALL |
|
RU000A0JTU85 |
RZD_ALL |
|
RU000A0JRCX7 |
VEB_1 |
|
RU000A0JR3H8 |
VEB_1 |
|
RU000A0JV0D7 |
VEB_1 |
|
RU000A0JU6K0 |
VEB_2 |
|
RU000A0JUD83 |
VEB_2 |
|
RU000A0JS4Z7 |
VEB_2 |
|
RU000A0JWG96 |
VEB_2 |
|
RU000A0JWNJ3 |
VEB_2 |
|
RU000A0JT403 |
VEB_2 |
|
RU000A0JRTN2 |
VEB_2 |
|
RU000A0JVQA7 |
VEB_2 |
|
RU000A0JR3G0 |
VEB_2 |
|
RU000A0JT6B2 |
VEB_2 |
|
RU000A0JW6P7 |
VEB_2 |
|
RU000A0JRCX7 |
VEB_ALL |
|
RU000A0JR3H8 |
VEB_ALL |
|
RU000A0JV0D7 |
VEB_ALL |
|
RU000A0JU6K0 |
VEB_ALL |
|
RU000A0JUD83 |
VEB_ALL |
|
RU000A0JS4Z7 |
VEB_ALL |
|
RU000A0JWG96 |
VEB_ALL |
|
RU000A0JWNJ3 |
VEB_ALL |
|
RU000A0JT403 |
VEB_ALL |
|
RU000A0JRTN2 |
VEB_ALL |
|
RU000A0JVQA7 |
VEB_ALL |
|
RU000A0JR3G0 |
VEB_ALL |
|
RU000A0JT6B2 |
VEB_ALL |
|
RU000A0JW6P7 |
VEB_ALL |
|
XS0564087541 |
OFZ 1 |
|
SU25081RMFS9 |
OFZ 1 |
|
SU26204RMFS6 |
OFZ 1 |
|
SU26206RMFS1 |
OFZ 1 |
|
SU46021RMFS0 |
OFZ 1 |
|
SU46019RMFS4 |
OFZ 2 |
|
SU26208RMFS7 |
OFZ 2 |
|
SU26210RMFS3 |
OFZ 2 |
|
SU26214RMFS5 |
OFZ 2 |
|
SU26216RMFS0 |
OFZ 2 |
|
SU46005RMFS3 |
OFZ 2 |
|
SU46014RMFS5 |
OFZ 2 |
|
SU26205RMFS3 |
OFZ 3 |
|
SU26207RMFS9 |
OFZ 3 |
|
SU26209RMFS5 |
OFZ 3 |
|
SU26211RMFS1 |
OFZ 3 |
|
SU26212RMFS9 |
OFZ 3 |
|
SU26215RMFS2 |
OFZ 3 |
|
SU26217RMFS8 |
OFZ 3 |
|
SU26218RMFS6 |
OFZ 3 |
|
SU26219RMFS4 |
OFZ 3 |
|
SU26220RMFS2 |
OFZ 3 |
|
SU26221RMFS0 |
OFZ 3 |
|
SU46018RMFS6 |
OFZ 3 |
|
SU46022RMFS8 |
OFZ 3 |