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08 October 2024

CCP NCC sets the following risk parameters on Securities market starting from 15 October, 2024:

1. Minimum Initial Margin for the Market Risk

Ticker FROM 15.10.2024 FROM 01.11.2024
S1_min S1_min S2_min S3_min S2_min S3_min
RU000A0JWHA4 30% 40% 60% 50% 60% 80%
RU000A0JXTS9 30% 40% 60% 50% 60% 80%
RU000A0JXU14 30% 40% 60% 50% 60% 80%
RU000A0ZYYN4 30% 40% 60% 50% 60% 80%
RU000A0ZZVE6 30% 40% 60% 50% 60% 80%
RU000A1006S9 30% 40% 60% 50% 60% 80%
RU000A102CK5 30% 40% 60% 50% 60% 80%
RU000A102CL3 30% 40% 60% 50% 60% 80%
RU000A1034K8 30% 40% 60% 50% 60% 80%
XS0088543193 30% 40% 60% 50% 60% 80%
XS0114288789 30% 40% 60% 50% 60% 80%
XS0767473852 30% 40% 60% 50% 60% 80%
XS0971721963 30% 40% 60% 50% 60% 80%

 

 

 

 

 

 

 

 

 

 

 

 

2. Limit of collateral:

Ticker FROM 15.10.2024 FROM 01.11.2024 FROM 11.11.2024
Limit of Collateral
RU000A0JWHA4 75% 50% 0%
RU000A0JXTS9 75% 50% 0%
RU000A0JXU14 75% 50% 0%
RU000A0ZYYN4 75% 50% 0%
RU000A0ZZVE6 75% 50% 0%
RU000A1006S9 75% 50% 0%
RU000A102CK5 75% 50% 0%
RU000A102CL3 75% 50% 0%
RU000A1034K8 75% 50% 0%
XS0088543193 75% 50% 0%
XS0114288789 75% 50% 0%
XS0767473852 75% 50% 0%
XS0971721963 75% 50% 0%









 

 

 

 

 

 

 

 

Exclude replacement Eurobonds of the Russian Federation from collateral, stress collateral, Guarantee fund from 11 November, 2024.