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14 September 2018 Risk parameters for new securities
New securities will be accepted to REPO with CCP starting from 17.09.2018. 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 |
V |
20% |
25% |
30% |
990 |
4 952 |
|
2 |
GOOG |
20% |
25% |
30% |
622 |
3 110 |
|
3 |
WFC |
35% |
40% |
45% |
2 658 |
13 292 |
|
4 |
XOM |
20% |
25% |
30% |
1 776 |
8 881 |
|
5 |
BA |
20% |
25% |
30% |
411 |
2 057 |
|
6 |
INTC |
20% |
25% |
30% |
3 209 |
16 043 |
|
7 |
T |
20% |
25% |
30% |
4 341 |
21 706 |
|
8 |
PFE |
20% |
25% |
30% |
3 412 |
17 061 |
|
9 |
BABA |
20% |
25% |
30% |
4 417 |
22 083 |
|
10 |
BIDU |
20% |
25% |
30% |
657 |
3 287 |
|
11 |
VALE |
25% |
30% |
35% |
11 387 |
56 936 |
|
12 |
BP |
20% |
25% |
30% |
3 367 |
16 837 |
|
13 |
PBR |
35% |
40% |
45% |
14 005 |
70 025 |
|
14 |
SBMX |
100% |
100% |
100% |
2 000 |
2 001 |
CCP NCC is changing the following IM rates starting from September 17, 2018:
|
№ |
Ticker |
Current IM rates |
New IM rates |
||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
||
|
1 |
MCD |
25% |
30% |
35% |
50% |
55% |
60% |
|
2 |
TWTR |
25% |
30% |
35% |
35% |
40% |
45% |