NCC | Risk parameters change on Securities, Derivatives

01 October 2020 Risk parameters change on Securities, Derivatives, FX and precious metals market

CCP NCC sets the following risk parameters

1. on Securities market starting from October 6, 2020:

№	Underlying	Current concentration limits, pc.		New concentration limits, pc.
№	Underlying	1^st level	2^nd level	1^st level	2^nd level
1	SBER	19 079 658	57 409 190	18 217 800	91 089 000
2	GMKN	40 908	204 540	89 200	446 000
3	YNDX	11 329	56 645	359 100	1 795 500
4	LKOH	162 387	811 935	315 000	1 575 000
5	PLZL	2 232	11 160	60 400	302 000
6	MGNT	29 067	145 335	103 100	515 500
7	TATN	395 105	1 975 525	996 400	4 982 000
8	AFLT	734 224	3 671 120	5 114 300	25 571 500
9	POLY	28 799	143 995	262 500	1 312 500
10	MTSS	481 130	2 405 650	1 057 900	5 289 500
11	IRAO	33 215 142	166 075 710	62 918 300	314 591 500
12	SBERP	1 035 408	5 177 040	1 635 800	8 179 000
13	VTBR	2 538 680 697	12 693 403 485	10 324 287 600	51 621 438 000
14	SNGS	3 004 592	15 022 960	8 997 900	44 989 500
15	NVTK	201 480	1 007 400	276 300	1 381 500
16	CHMF	160 799	803 995	243 000	1 215 000
17	NLMK	1 007 496	5 037 480	1 194 300	5 971 500
18	POGR	1 265 000	6 325 000	5 800 200	29 001 000
19	HYDR	191 286 365	956 431 825	246 923 000	1 234 615 000
20	AFKS	5 617 556	28 087 780	9 215 200	46 076 000
21	MAIL	9 700	48 500	83 900	419 500
22	SIBN	51 780	258 900	450 200	2 251 000
23	FIVE	29 500	147 500	49 100	245 500
24	DSKY	118 828	594 140	1 048 300	5 241 500
25	FEES	1 589 223 344	7 946 116 720	531 002 900	2 655 014 500
26	TCSG	17 100	85 500	45 000	225 000
27	TATNP	39 781	198 905	173 000	865 000
28	CBOM	2 263 109	11 315 545	13 149 600	65 748 000
29	UPRO	7 327 755	36 638 775	18 342 900	91 714 500
30	PHOR	11 336	56 680	16 400	82 000
31	MVID	168 106	840 530	57 900	289 500
32	OGKB	28 291 808	141 459 040	48 326 700	241 633 500
33	LNTA	27 041	135 205	151 200	756 000
34	BANEP	10 630	53 150	23 300	116 500
35	LSRG	11 177	55 885	29 100	145 500
36	TRMK	171 608	858 040	273 600	1 368 000
37	TGKA	767 271 276	3 836 356 380	1 577 967 300	7 889 836 500
38	RASP	1 097 692	5 488 460	130 100	650 500
39	SELG	1 083 999	5 419 995	333 600	1 668 000
40	ETLN	71 000	364 600	88 900	444 500
41	MTLRP	120 208	601 040	152 500	762 500
42	NKNCP	434 633	2 173 165	117 000	585 000
43	LSNGP	58 771	293 855	65 700	328 500
44	BSPB	156 701	783 505	233 600	1 168 000
45	BANE	3 107	15 535	6 000	30 000
46	APTK	1 431 434	7 157 170	735 600	3 678 000
47	MRKP	56 367 562	281 837 810	45 351 500	226 757 500
48	TGKB	5 783 355 503	28 916 777 515	2 481 389 600	12 406 948 000
49	NKNC	195 034	975 170	112 400	562 000
50	GCHE	8 870	44 350	5 300	26 500
51	MRKC	23 268 260	116 341 300	33 700 700	168 503 500
52	MSRS	10 167 975	50 839 875	8 549 000	42 745 000
53	SVAV	18 027	90 135	34 500	172 500
54	UNAC	13 376 012	66 880 060	23 730 400	118 652 000
55	MSTT	89 094	445 470	61 900	309 500
56	KZOS	152 287	761 435	122 000	610 000
57	IRGZ	528 541	2 642 705	862 300	4 311 500
58	TGKD	3 397 316 120	16 986 580 600	2 710 027 100	13 550 135 500
59	UWGN	13 743	68 715	48 400	242 000

2. on Derivatives market starting from 7:00 pm on October 5, 2020:

№	Underlying	Futures contract	Current market risk rates			New Market risk rates
№	Underlying	Futures contract	MR1	MR2	MR3	MR1	MR2	MR3
1	GOLD	on Gold	10%	13%	18%	6%	9%	14%
2	SILV	on Silver	16%	21%	29%	14%	19%	27%
3	GLD	Deliverable futures contract on gold	12%	18%	25%	8%	14%	21%
4	SLV	Deliverable futures contract on silver	18%	24%	31%	16%	22%	29%

3. on FX and precious metals market starting from October 6, 2020:

№	Underlying	Description	Current market risk rates			New market risk rates
№	Underlying	Description	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min
1	GLD	Gold	12%	18%	25%	8%	14%	21%
2	SLV	Silver	18%	24%	31%	16%	22%	29%
3	HKD	Hong Kong dollar	30%	32%	34%	6%	8%	10%

Asset	Description	New attribute for ban on short selling	New eligible collateral

HKD	Hong Kong dollar	No	Yes

Hong Kong dollars will be included into inter-product spread groups.