CCP NCC is changing risk parameters on Securities market starting from December 20, 2021:
| № | Ticker | Current market risk rates, % | New market risk rates, % | ||||
|---|---|---|---|---|---|---|---|
| S1_min | S2_min | S3_min | S1_min | S2_min | S3_min | ||
| 1 | RU000A1039A8 | 100% | 100% | 100% | 28% | 31% | 34% |
| 2 | RU000A103C46 | 100% | 100% | 100% | 10% | 13% | 16% |
| 3 | RU000A103C53 | 100% | 100% | 100% | 13% | 16% | 19% |
| 4 | RU000A103C95 | 100% | 100% | 100% | 16% | 19% | 22% |
| 5 | RU000A103G00 | 100% | 100% | 100% | 16% | 19% | 22% |
| 6 | RU000A103HT3 | 100% | 100% | 100% | 13% | 16% | 19% |
| 7 | RU000A103KJ8 | 100% | 100% | 100% | 14% | 17% | 20% |
| 8 | RU000A103N76 | 100% | 100% | 100% | 13% | 16% | 19% |
| 9 | RU000A103P33 | 100% | 100% | 100% | 17% | 20% | 23% |
| 10 | RU000A103NU9 | 100% | 100% | 100% | 17% | 20% | 23% |
| 11 | RU000A103PG3 | 100% | 100% | 100% | 20% | 23% | 26% |
| 12 | RU000A103PD0 | 100% | 100% | 100% | 20% | 23% | 26% |
| 13 | RU000A103QQ0 | 100% | 100% | 100% | 17% | 20% | 23% |
| 14 | RU000A103QN7 | 100% | 100% | 100% | 28% | 31% | 34% |
| 15 | XS2384475930 | 100% | 100% | 100% | 18% | 21% | 24% |
| 16 | RU000A102895 | 100% | 100% | 100% | 14% | 17% | 20% |
| 17 | XS2010026560 | 100% | 100% | 100% | 18% | 21% | 24% |
| 18 | XS2271376498 | 100% | 100% | 100% | 19% | 22% | 25% |
| 19 | XS2010027451 | 100% | 100% | 100% | 22% | 25% | 28% |
| № | Ticker | New concentration limits, number of securities | New Ban on short selling | |
|---|---|---|---|---|
| LK1 | LK2 | |||
| 1 | RU000A1039A8 | 1 200 | 6 000 | No |
| 2 | RU000A103C46 | 200 000 | 1 000 000 | No |
| 3 | RU000A103C53 | 140 000 | 700 000 | No |
| 4 | RU000A103C95 | 300 000 | 1 500 000 | No |
| 5 | RU000A103G00 | 200 000 | 1 000 000 | No |
| 6 | RU000A103HT3 | 180 000 | 900 000 | No |
| 7 | RU000A103KJ8 | 140 000 | 700 000 | No |
| 8 | RU000A103N76 | 200 000 | 1 000 000 | No |
| 9 | RU000A103P33 | 300 000 | 1 500 000 | No |
| 10 | RU000A103NU9 | 100 000 | 500 000 | No |
| 11 | RU000A103PG3 | 200 000 | 1 000 000 | No |
| 12 | RU000A103PD0 | 100 000 | 500 000 | No |
| 13 | RU000A103QQ0 | 344 000 | 1 720 000 | No |
| 14 | RU000A103QN7 | 240 | 1 200 | No |
| 15 | XS2384475930 | 100 000 | 500 000 | No |
| 16 | RU000A102895 | 100 000 | 500 000 | No |
| 17 | XS2010026560 | 100 000 | 500 000 | No |
| 18 | XS2271376498 | 5 000 | 25 000 | No |
| 19 | XS2010027451 | 100 000 | 500 000 | No |
| № | Ticker | Current stress scenario UP | Current stress scenario DOWN | New stress scenario UP | New stress scenario DOWN |
|---|---|---|---|---|---|
| 1 | RU000A1039A8 | 0.00% | 0.00% | 5.50% | 5.50% |
| 2 | RU000A103C46 | 0.00% | 0.00% | 2.25% | 2.25% |
| 3 | RU000A103C53 | 0.00% | 0.00% | 3.75% | 3.75% |
| 4 | RU000A103C95 | 0.00% | 0.00% | 5.50% | 5.50% |
| 5 | RU000A103G00 | 0.00% | 0.00% | 5.50% | 5.50% |
| 6 | RU000A103HT3 | 0.00% | 0.00% | 3.75% | 3.75% |
| 7 | RU000A103KJ8 | 0.00% | 0.00% | 3.75% | 3.75% |
| 8 | RU000A103N76 | 0.00% | 0.00% | 3.75% | 3.75% |
| 9 | RU000A103P33 | 0.00% | 0.00% | 5.50% | 5.50% |
| 10 | RU000A103NU9 | 0.00% | 0.00% | 5.50% | 5.50% |
| 11 | RU000A103PG3 | 0.00% | 0.00% | 5.50% | 5.50% |
| 12 | RU000A103PD0 | 0.00% | 0.00% | 5.50% | 5.50% |
| 13 | RU000A103QQ0 | 0.00% | 0.00% | 5.50% | 5.50% |
| 14 | RU000A103QN7 | 0.00% | 0.00% | 5.50% | 5.50% |
| 15 | XS2384475930 | 0.00% | 0.00% | 2.00% | 2.00% |
| 16 | RU000A102895 | 0.00% | 0.00% | 3.75% | 3.75% |
| 17 | XS2010026560 | 0.00% | 0.00% | 2.00% | 2.00% |
| 18 | XS2271376498 | 0.00% | 0.00% | 5.50% | 5.50% |
| 19 | XS2010027451 | 0.00% | 0.00% | 2.00% | 2.00% |
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