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03 July 2024

CCP NCC changes the following risk parameters on Securities market starting from July 9-th, 2024:

  1. Market risk rates and concentration limits:
Ticker Current market risk rates, % Market risk rates from 09.07.2024 Current concentration limits Concentration limits from 09.07.2024
S1_min S2_min S3_min S1_min S2_min S3_min LK1 LK2 LK1 LK2
RU000A1041Q0 100% 100% 100% 13% 16% 25% 2,000 2,001 107 062 535 310
RU000A104UV0 100% 100% 100% 16% 19% 29% 2,000 2,001 123 673 618 365
RU000A104X32 100% 100% 100% 15% 18% 27% 2,000 2,001 134 084 670 420
RU000A1058R2 100% 100% 100% 17% 20% 29% 2,000 2,001 132 774 663 870
RU000A105JF3 100% 100% 100% 18% 21% 30% 2,000 2,001 109 556 547 780
RU000A105NN9 100% 100% 100% 13% 16% 26% 2,000 2,001 1 095 790 5 478 950
RU000A105NZ3 100% 100% 100% 18% 21% 30% 2,000 2,001 122 575 612 875
RU000A106FM5 100% 100% 100% 18% 21% 31% 2,000 2,001 347 823 1 739 115
RU000A107G55 100% 100% 100% 15% 18% 27% 2,000 2,001 998 555 4 992 775
  1. Ban on short selling:
Ticker Current Ban on short selling Ban on short selling from 09.07.2024
RU000A1041Q0 Yes No
RU000A104UV0 Yes No
RU000A104X32 Yes No
RU000A1058R2 Yes No
RU000A105JF3 Yes No
RU000A105NN9 Yes No
RU000A105NZ3 Yes No
RU000A106FM5 Yes No
RU000A107G55 Yes No
  1. Collateral for stress:
Ticker Current collateral for stress Collateral for stress from 09.07.2024 г.
UP scenario Down scenario UP scenario Down scenario
RU000A1041Q0 0% 0% 1% 1%
RU000A104UV0 0% 0% 2% 2%
RU000A104X32 0% 0% 1% 1%
RU000A1058R2 0% 0% 2% 2%
RU000A105JF3 0% 0% 2% 2%
RU000A105NN9 0% 0% 2% 2%
RU000A105NZ3 0% 0% 2% 2%
RU000A106FM5 0% 0% 3% 3%
RU000A107G55 0% 0% 2% 2%