CCP NCC is changing risk parameters on Securities market starting from September 29, 2020.
| № | Ticker | New market risk rates | New concentration limits, number of securities | Current market risk rates | New Ban on short selling | New Eligible collateral |
|||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| S1_min | S2_min | S3_min | LK1 | LK2 | S1_min | S2_min | S3_min | ||||
| 1 | RU000A101QM3 | 17% | 20% | 23% | 300 000 | 1 500 000 | 100% | 100% | 100% | No | Yes |
| 2 | RU000A101QN1 | 22% | 25% | 28% | 300 000 | 1 500 000 | 100% | 100% | 100% | No | Yes |
| 3 | RU000A101L54 | 13% | 16% | 19% | 100 000 | 500 000 | 100% | 100% | 100% | No | Yes |
| 4 | RU000A101PK9 | 30% | 33% | 36% | 200 000 | 1 000 000 | 100% | 100% | 100% | No | Yes |
| 5 | RU000A0JS934 | 8% | 11% | 14% | 100 000 | 500 000 | 100% | 100% | 100% | No | Yes |
| 6 | RU000A100L55 | 40% | 43% | 46% | 200 000 | 1 000 000 | 100% | 100% | 100% | No | No |
| 7 | RU000A101NG2 | 20% | 23% | 26% | 100 000 | 500 000 | 100% | 100% | 100% | No | No |
| 8 | RU000A101NH0 | 20% | 23% | 26% | 140 000 | 700 000 | 100% | 100% | 100% | No | No |
| 9 | RU000A101RD0 | 11% | 14% | 17% | 200 000 | 1 000 000 | 100% | 100% | 100% | No | No |
| 10 | RU000A101Q26 | 14% | 17% | 20% | 300 000 | 1 500 000 | 100% | 100% | 100% | No | No |
| 11 | RU000A101YR6 | 16% | 19% | 22% | 152 480 | 762 400 | 100% | 100% | 100% | No | Yes |
Stress collateral scenarios:
| Ticker | Scen_UP | Scen_DOWN | |
|---|---|---|---|
| RU000A101QM3 | 8% | 8% | |
| RU000A101QN1 | 8% | 8% | |
| RU000A101L54 | 5% | 5% | |
| RU000A101PK9 | 8% | 8% | |
| RU000A0JS934 | 1.5% | 1.5% | |
| RU000A100L55 | 8% | 8% | |
| RU000A101NG2 | 8% | 8% | |
| RU000A101NH0 | 8% | 8% | |
| RU000A101RD0 | 3% | 3% | |
| RU000A101Q26 | 8% | 8% | |
| RU000A101YR6 | 1.5% | 1.5% |
