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23 May 2018 Risk parameters for new bonds
New bonds will be accepted to margin trading starting from 24.05.2018. From this date on, the following risk parameters will be applied:
|
№ |
Ticker |
Minimum Initial Margin for the Market Risk, % |
Concentration Limit, # of securities |
|||
|
Level 1, S_1_min |
Level 2, S_2_min |
Level 3, S_3_min |
Level 1 |
Level 2 |
||
|
1 |
RU000A0ZYR91 |
12% |
15% |
18% |
200 000 |
1 000 000 |
|
2 |
RU000A0ZZ349 |
14% |
17% |
20% |
300 000 |
1 500 000 |
|
3 |
RU000A0ZZ083 |
11% |
14% |
17% |
200 000 |
1 000 000 |
|
4 |
RU000A0ZYWB3 |
14% |
17% |
20% |
200 000 |
1 000 000 |
|
5 |
XS1577953174 |
21% |
24% |
27% |
10 000 |
50 000 |
|
6 |
XS1752568144 |
31% |
34% |
37% |
10 000 |
50 000 |
|
7 |
RU000A0ZZ1F6 |
100% |
100% |
100% |
2 000 |
2 001 |
|
8 |
RU000A0ZZ6K5 |
100% |
100% |
100% |
2 000 |
2 001 |
In addition, CCP NCC is changing IM rates for the following bonds:
|
№ |
Ticker |
Current IM rates |
New IM rates |
New Concentration Limit, # of securities |
|||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
Level 1 |
Level 2 |
||
|
1 |
RU000A0JUG98 |
100% |
100% |
100% |
13% |
16% |
19% |
100 000 |
500 000 |
|
2 |
RU000A0JX2M2 |
100% |
100% |
100% |
12% |
15% |
18% |
3 000 |
15 000 |