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26 June 2018 Risk Parameters Change
CCP NCC is changing Securities market risk parameters starting from June 27, 2018 according to the tables below.
|
Spread ID |
Interproduct spread |
|
|
AIZK_1 |
50% |
|
|
AIZK_2 |
63% |
|
|
AIZK_ALL |
50% |
|
|
DELTA_1 |
45% |
|
|
DELTA_2 |
61% |
|
|
DELTA_ALL |
45% |
|
|
FEES_1 |
47% |
|
|
FEES_2 |
70% |
|
|
FEES_ALL |
47% |
|
|
OFZ 1 |
49% |
|
|
OFZ 2 |
53% |
|
|
OFZ 3 |
65% |
|
|
OFZ 1-2 |
41% |
|
|
ALL_OFZ |
41% |
|
|
RSHB_1 |
44% |
|
|
RSHB_2 |
61% |
|
|
RSHB_ALL |
44% |
|
|
RZD_1 |
47% |
|
|
RZD_2 |
68% |
|
|
RZD_ALL |
47% |
|
|
VEB_1 |
52% |
|
|
VEB_2 |
70% |
|
|
VEB_ALL |
52% |
Interproduct spreads group members:
|
Spread ID |
Ticker |
|
AIZK_1 |
RU000A0JPJE6 |
|
AIZK_1 |
RU000A0JTDX1 |
|
AIZK_1 |
RU000A0JTW83 |
|
AIZK_1 |
RU000A0JUKX4 |
|
AIZK_2 |
RU000A0JQXG0 |
|
AIZK_2 |
RU000A0JR5F7 |
|
AIZK_2 |
RU000A0JR6S8 |
|
AIZK_2 |
RU000A0JS488 |
|
AIZK_ALL |
RU000A0JPJE6 |
|
AIZK_ALL |
RU000A0JQXG0 |
|
AIZK_ALL |
RU000A0JR5F7 |
|
AIZK_ALL |
RU000A0JR6S8 |
|
AIZK_ALL |
RU000A0JS488 |
|
AIZK_ALL |
RU000A0JTDX1 |
|
AIZK_ALL |
RU000A0JTW83 |
|
AIZK_ALL |
RU000A0JUKX4 |
|
AIZK_ALL |
RU000A0JX2R1 |
|
ALL_OFZ |
SU25083RMFS5 |
|
ALL_OFZ |
SU26205RMFS3 |
|
ALL_OFZ |
SU26207RMFS9 |
|
ALL_OFZ |
SU26208RMFS7 |
|
ALL_OFZ |
SU26209RMFS5 |
|
ALL_OFZ |
SU26210RMFS3 |
|
ALL_OFZ |
SU26211RMFS1 |
|
ALL_OFZ |
SU26212RMFS9 |
|
ALL_OFZ |
SU26214RMFS5 |
|
ALL_OFZ |
SU26215RMFS2 |
|
ALL_OFZ |
SU26216RMFS0 |
|
ALL_OFZ |
SU26217RMFS8 |
|
ALL_OFZ |
SU26218RMFS6 |
|
ALL_OFZ |
SU26219RMFS4 |
|
ALL_OFZ |
SU26220RMFS2 |
|
ALL_OFZ |
SU26221RMFS0 |
|
ALL_OFZ |
SU26223RMFS6 |
|
ALL_OFZ |
SU26224RMFS4 |
|
ALL_OFZ |
SU26225RMFS1 |
|
ALL_OFZ |
SU46005RMFS3 |
|
ALL_OFZ |
SU46014RMFS5 |
|
ALL_OFZ |
SU46018RMFS6 |
|
ALL_OFZ |
SU46019RMFS4 |
|
ALL_OFZ |
SU46021RMFS0 |
|
DELTA_1 |
RU000A0JU0A4 |
|
DELTA_1 |
RU000A0JVNB2 |
|
DELTA_1 |
RU000A0JVTA1 |
|
DELTA_1 |
RU000A0JVUY9 |
|
DELTA_1 |
RU000A0JVWA5 |
|
DELTA_1 |
RU000A0JWBN0 |
|
DELTA_1 |
RU000A0JWGS8 |
|
DELTA_2 |
RU000A0JS6M0 |
|
DELTA_2 |
RU000A0JUJG1 |
|
DELTA_2 |
RU000A0JUV81 |
|
DELTA_2 |
RU000A0JUW23 |
|
DELTA_2 |
RU000A0JWUB5 |
|
DELTA_2 |
RU000A0JWZT6 |
|
DELTA_2 |
RU000A0ZYBG6 |
|
DELTA_ALL |
RU000A0JS6M0 |
|
DELTA_ALL |
RU000A0JU0A4 |
|
DELTA_ALL |
RU000A0JUJG1 |
|
DELTA_ALL |
RU000A0JUV81 |
|
DELTA_ALL |
RU000A0JUW23 |
|
DELTA_ALL |
RU000A0JVNB2 |
|
DELTA_ALL |
RU000A0JVTA1 |
|
DELTA_ALL |
RU000A0JVUY9 |
|
DELTA_ALL |
RU000A0JVWA5 |
|
DELTA_ALL |
RU000A0JWBN0 |
|
DELTA_ALL |
RU000A0JWGS8 |
|
DELTA_ALL |
RU000A0JWNB0 |
|
FEES_1 |
RU000A0JR1Y7 |
|
FEES_1 |
RU000A0JR1Z4 |
|
FEES_1 |
RU000A0JR209 |
|
FEES_1 |
RU000A0JR217 |
|
FEES_1 |
RU000A0JRMX6 |
|
FEES_1 |
RU000A0JRUS9 |
|
FEES_1 |
RU000A0JRZK5 |
|
FEES_1 |
RU000A0JS7H8 |
|
FEES_1 |
RU000A0JT2K2 |
|
FEES_1 |
RU000A0JTKA4 |
|
FEES_2 |
RU000A0JR3L0 |
|
FEES_2 |
RU000A0JR3M8 |
|
FEES_2 |
RU000A0JRL96 |
|
FEES_2 |
RU000A0JT7T2 |
|
FEES_2 |
RU000A0ZYDH0 |
|
FEES_ALL |
RU000A0JR1Y7 |
|
FEES_ALL |
RU000A0JR1Z4 |
|
FEES_ALL |
RU000A0JR209 |
|
FEES_ALL |
RU000A0JR217 |
|
FEES_ALL |
RU000A0JR3L0 |
|
FEES_ALL |
RU000A0JR3M8 |
|
FEES_ALL |
RU000A0JRL96 |
|
FEES_ALL |
RU000A0JRMX6 |
|
FEES_ALL |
RU000A0JRUS9 |
|
FEES_ALL |
RU000A0JRZK5 |
|
FEES_ALL |
RU000A0JS7H8 |
|
FEES_ALL |
RU000A0JT2K2 |
|
FEES_ALL |
RU000A0JT7T2 |
|
FEES_ALL |
RU000A0JTKA4 |
|
FEES_ALL |
RU000A0ZYDH0 |
|
FEES_ALL |
RU000A0ZYJ91 |
|
OFZ 1 |
SU26208RMFS7 |
|
OFZ 1 |
SU26216RMFS0 |
|
OFZ 1 |
SU46005RMFS3 |
|
OFZ 1 |
SU46014RMFS5 |
|
OFZ 1 |
SU46019RMFS4 |
|
OFZ 1-2 |
SU25083RMFS5 |
|
OFZ 1-2 |
SU26205RMFS3 |
|
OFZ 1-2 |
SU26208RMFS7 |
|
OFZ 1-2 |
SU26210RMFS3 |
|
OFZ 1-2 |
SU26214RMFS5 |
|
OFZ 1-2 |
SU26216RMFS0 |
|
OFZ 1-2 |
SU26217RMFS8 |
|
OFZ 1-2 |
SU46005RMFS3 |
|
OFZ 1-2 |
SU46014RMFS5 |
|
OFZ 1-2 |
SU46018RMFS6 |
|
OFZ 2 |
SU25083RMFS5 |
|
OFZ 2 |
SU26205RMFS3 |
|
OFZ 2 |
SU26210RMFS3 |
|
OFZ 2 |
SU26214RMFS5 |
|
OFZ 2 |
SU26217RMFS8 |
|
OFZ 3 |
SU26207RMFS9 |
|
OFZ 3 |
SU26209RMFS5 |
|
OFZ 3 |
SU26211RMFS1 |
|
OFZ 3 |
SU26212RMFS9 |
|
OFZ 3 |
SU26215RMFS2 |
|
OFZ 3 |
SU26218RMFS6 |
|
OFZ 3 |
SU26219RMFS4 |
|
OFZ 3 |
SU26220RMFS2 |
|
OFZ 3 |
SU26221RMFS0 |
|
OFZ 3 |
SU26223RMFS6 |
|
OFZ 3 |
SU26224RMFS4 |
|
OFZ 3 |
SU26225RMFS1 |
|
RSHB_1 |
RU000A0JQ1H3 |
|
RSHB_1 |
RU000A0JRLE8 |
|
RSHB_1 |
RU000A0JRMB2 |
|
RSHB_1 |
RU000A0JRMC0 |
|
RSHB_1 |
RU000A0JS6N8 |
|
RSHB_1 |
RU000A0JT7M7 |
|
RSHB_1 |
RU000A0JT874 |
|
RSHB_1 |
RU000A0JTVJ2 |
|
RSHB_1 |
RU000A0JU1Q8 |
|
RSHB_1 |
RU000A0JU6A1 |
|
RSHB_2 |
RU000A0JQK64 |
|
RSHB_2 |
RU000A0JQK72 |
|
RSHB_2 |
RU000A0JQS09 |
|
RSHB_2 |
RU000A0JQS74 |
|
RSHB_2 |
RU000A0JRVN8 |
|
RSHB_2 |
RU000A0JUW31 |
|
RSHB_2 |
RU000A0JUW72 |
|
RSHB_2 |
RU000A0JV987 |
|
RSHB_2 |
RU000A0JXMQ8 |
|
RSHB_2 |
RU000A0JXUC1 |
|
RSHB_2 |
RU000A0ZYBT9 |
|
RSHB_ALL |
RU000A0JQ1H3 |
|
RSHB_ALL |
RU000A0JQK64 |
|
RSHB_ALL |
RU000A0JQK72 |
|
RSHB_ALL |
RU000A0JQS09 |
|
RSHB_ALL |
RU000A0JQS74 |
|
RSHB_ALL |
RU000A0JRLE8 |
|
RSHB_ALL |
RU000A0JRMB2 |
|
RSHB_ALL |
RU000A0JRMC0 |
|
RSHB_ALL |
RU000A0JRVN8 |
|
RSHB_ALL |
RU000A0JS6N8 |
|
RSHB_ALL |
RU000A0JT7M7 |
|
RSHB_ALL |
RU000A0JT874 |
|
RSHB_ALL |
RU000A0JTVJ2 |
|
RSHB_ALL |
RU000A0JU1Q8 |
|
RSHB_ALL |
RU000A0JU6A1 |
|
RSHB_ALL |
RU000A0JUAD7 |
|
RZD_1 |
RU000A0JQ7W9 |
|
RZD_1 |
RU000A0JQ7X7 |
|
RZD_1 |
RU000A0JQ7Z2 |
|
RZD_1 |
RU000A0JQRD9 |
|
RZD_2 |
RU000A0JTU85 |
|
RZD_2 |
RU000A0JVW71 |
|
RZD_2 |
RU000A0JWC82 |
|
RZD_2 |
RU000A0JX1S1 |
|
RZD_2 |
RU000A0JXN05 |
|
RZD_2 |
RU000A0JXQ44 |
|
RZD_2 |
RU000A0JXR84 |
|
RZD_ALL |
RU000A0JQ7W9 |
|
RZD_ALL |
RU000A0JQ7X7 |
|
RZD_ALL |
RU000A0JQ7Z2 |
|
RZD_ALL |
RU000A0JQRD9 |
|
RZD_ALL |
RU000A0JTU85 |
|
RZD_ALL |
RU000A0JVW71 |
|
RZD_ALL |
RU000A0JWC82 |
|
RZD_ALL |
RU000A0JX1S1 |
|
RZD_ALL |
RU000A0JXN05 |
|
RZD_ALL |
RU000A0JXQ44 |
|
RZD_ALL |
RU000A0JXR84 |
|
RZD_ALL |
RU000A0ZYU05 |
|
VEB_1 |
RU000A0JR3G0 |
|
VEB_1 |
RU000A0JR3H8 |
|
VEB_1 |
RU000A0JRTN2 |
|
VEB_1 |
RU000A0JS4Z7 |
|
VEB_1 |
RU000A0JT403 |
|
VEB_1 |
RU000A0JU6K0 |
|
VEB_1 |
RU000A0JUD83 |
|
VEB_1 |
RU000A0JVQA7 |
|
VEB_1 |
RU000A0JWG96 |
|
VEB_1 |
RU000A0JWNJ3 |
|
VEB_1 |
RU000A0JXRP9 |
|
VEB_2 |
RU000A0JRCX7 |
|
VEB_2 |
RU000A0JT6B2 |
|
VEB_2 |
RU000A0JW6P7 |
|
VEB_ALL |
RU000A0JR3G0 |
|
VEB_ALL |
RU000A0JR3H8 |
|
VEB_ALL |
RU000A0JRCX7 |
|
VEB_ALL |
RU000A0JRTN2 |
|
VEB_ALL |
RU000A0JS4Z7 |
|
VEB_ALL |
RU000A0JT403 |
|
VEB_ALL |
RU000A0JT6B2 |
|
VEB_ALL |
RU000A0JU6K0 |
|
VEB_ALL |
RU000A0JUD83 |
|
VEB_ALL |
RU000A0JVQA7 |
|
VEB_ALL |
RU000A0JW6P7 |
|
VEB_ALL |
RU000A0JWG96 |
|
VEB_ALL |
RU000A0JWNJ3 |
|
VEB_ALL |
RU000A0JXRP9 |
|
VEB_ALL |
RU000A0JXU71 |