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22 January 2021 Risk parameters change on Securities market
CCP NCC sets the following risk parameters on Securities market starting from January 25, 2021:
|
№ |
Ticker |
Description |
Current market risk rates |
New market risk rates |
New concentration limits, number of securities |
New eligible collateral |
New ban on short selling attribute |
|||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
LK1 |
LK2 |
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|
1 |
RU000A102FR3 |
SBERBANK OF RUSSIA PJSC, 001Р-SBER18 |
100% |
100% |
100% |
24% |
27% |
30% |
500 000 |
2 500 000 |
Yes |
No |
|
2 |
RU000A102FS1 |
SISTEMA PJSFC, 001P-16 |
100% |
100% |
100% |
13% |
16% |
19% |
100 000 |
500 000 |
No |
No |
|
3 |
RU000A102G01 |
SOVCOMBANK PJSC, БО-П03 |
100% |
100% |
100% |
8% |
11% |
14% |
200 000 |
1 000 000 |
No |
No |
|
4 |
RU000A102FS1 |
SISTEMA PJSFC, 001P-16 |
100% |
100% |
100% |
13% |
16% |
19% |
100 000 |
500 000 |
No |
No |
|
5 |
RU000A102FT9 |
SISTEMA PJSFC, 001P-17 |
100% |
100% |
100% |
17% |
20% |
23% |
280 000 |
1 400 000 |
No |
No |
|
6 |
RU000A102G01 |
SOVCOMBANK PJSC, БО-П03 |
100% |
100% |
100% |
8% |
11% |
14% |
200 000 |
1 000 000 |
No |
No |
|
7 |
RU000A102FC5 |
VEB.RF, ПБО-001Р-22 |
100% |
100% |
100% |
14% |
17% |
20% |
500 000 |
2 500 000 |
No |
No |
|
8 |
RU000A102G35 |
MOSCOW OBLAST, 35016 |
100% |
100% |
100% |
16% |
19% |
22% |
600 000 |
3 000 000 |
No |
No |
|
9 |
RU000A102GJ8 |
GAZPROMBANK JSC, 001Р-19Р |
100% |
100% |
100% |
14% |
17% |
20% |
300 000 |
1 500 000 |
No |
No |
|
10 |
RU000A102HB3 |
RUSNANO OAO, БО-002P-05 |
100% |
100% |
100% |
14% |
17% |
20% |
110 000 |
550 000 |
No |
No |
|
11 |
RU000A102H75 |
ROSSELKHOZBANK, БО-005K-P |
100% |
100% |
100% |
7% |
10% |
13% |
200 000 |
1 000 000 |
No |
No |
|
12 |
RU000A102H91 |
RUSSIAN HIGHWAYS, БО-003P-01 |
100% |
100% |
100% |
17% |
20% |
23% |
280 000 |
1 400 000 |
No |
No |
|
13 |
RU000A102L95 |
GAZPROM NEFT PJSC, 003P-04R |
100% |
100% |
100% |
13% |
16% |
19% |
400 000 |
2 000 000 |
Yes |
No |
|
14 |
RU000A102M94 |
OGK-2 PJSC, 003Р-01 |
100% |
100% |
100% |
10% |
13% |
16% |
540 860 |
2 704 300 |
No |
No |