19.02.2018 16:46
Risk Parameters Change
CCP NCC is changing Securities market risk parameters starting from February 20, 2018 according to the tables below.
| Spread ID | Interproduct spread | |
|---|---|---|
| AIZK_1 | 50% | |
| AIZK_2 | 60% | |
| AIZK_ALL | 42% | |
| DELTA_1 | 51% | |
| DELTA_2 | 60% | |
| DELTA_ALL | 51% | |
| FEES_1 | 58% | |
| FEES_2 | 70% | |
| FEES_ALL | 53% | |
| ALL_OFZ | 42% | |
| OFZ 1 | 56% | |
| OFZ 1-2 | 42% | |
| OFZ 2 | 46% | |
| OFZ 3 | 68% | |
| RSHB_1 | 51% | |
| RSHB_2 | 59% | |
| RSHB_ALL | 51% | |
| RZD_1 | 58% | |
| RZD_2 | 69% | |
| RZD_ALL | 58% | |
| VEB_1 | 58% | |
| VEB_2 | 72% | |
| VEB_ALL | 58% |
Interproduct spreads group members:
| Spread ID | Ticker |
|---|---|
| AIZK_1 | RU000A0ZYAR5 |
| AIZK_1 | RU000A0JVCJ8 |
| AIZK_1 | RU000A0JUKX4 |
| AIZK_1 | RU000A0JTW83 |
| AIZK_1 | RU000A0JTDX1 |
| AIZK_1 | RU000A0JPJE6 |
| AIZK_2 | RU000A0JX2R1 |
| AIZK_2 | RU000A0JS488 |
| AIZK_2 | RU000A0JR6S8 |
| AIZK_2 | RU000A0JR5F7 |
| AIZK_2 | RU000A0JQXG0 |
| AIZK_ALL | AIZK_1 |
| AIZK_ALL | AIZK_2 |
| ALL_OFZ | OFZ 1-2 |
| ALL_OFZ | OFZ 3 |
| DELTA_1 | RU000A0JVTA1 |
| DELTA_1 | RU000A0JVNB2 |
| DELTA_1 | RU000A0JVWA5 |
| DELTA_1 | RU000A0JWBN0 |
| DELTA_1 | RU000A0JU0A4 |
| DELTA_2 | RU000A0JVUY9 |
| DELTA_2 | RU000A0JS6M0 |
| DELTA_2 | RU000A0JWNB0 |
| DELTA_2 | RU000A0JWGS8 |
| DELTA_2 | RU000A0JWUB5 |
| DELTA_2 | RU000A0JWZT6 |
| DELTA_2 | RU000A0JUW23 |
| DELTA_2 | RU000A0JUJG1 |
| DELTA_2 | RU000A0JUV81 |
| DELTA_2 | RU000A0ZYBG6 |
| DELTA_ALL | DELTA_1 |
| DELTA_ALL | DELTA_2 |
| FEES_1 | RU000A0JT2K2 |
| FEES_1 | RU000A0JTKA4 |
| FEES_1 | RU000A0JRMX6 |
| FEES_1 | RU000A0JRZK5 |
| FEES_1 | RU000A0JRUS9 |
| FEES_1 | RU000A0JS7H8 |
| FEES_1 | XS0863439161 |
| FEES_2 | RU000A0JT7T2 |
| FEES_2 | RU000A0JRL96 |
| FEES_2 | RU000A0JR3L0 |
| FEES_2 | RU000A0JR217 |
| FEES_2 | RU000A0JR3M8 |
| FEES_2 | RU000A0JR209 |
| FEES_2 | RU000A0JR1Z4 |
| FEES_2 | RU000A0JR1Y7 |
| FEES_2 | RU000A0ZYJ91 |
| FEES_2 | RU000A0ZYDH0 |
| FEES_ALL | FEES_1 |
| FEES_ALL | FEES_2 |
| OFZ 1 | SU46021RMFS0 |
| OFZ 1 | SU46019RMFS4 |
| OFZ 1 | SU46014RMFS5 |
| OFZ 1 | SU46005RMFS3 |
| OFZ 1 | SU26208RMFS7 |
| OFZ 1-2 | OFZ 1 |
| OFZ 1-2 | OFZ 2 |
| OFZ 2 | SU46018RMFS6 |
| OFZ 2 | SU26217RMFS8 |
| OFZ 2 | SU26216RMFS0 |
| OFZ 2 | SU26214RMFS5 |
| OFZ 2 | SU26210RMFS3 |
| OFZ 2 | SU26205RMFS3 |
| OFZ 3 | SU46022RMFS8 |
| OFZ 3 | SU26221RMFS0 |
| OFZ 3 | SU26220RMFS2 |
| OFZ 3 | SU26219RMFS4 |
| OFZ 3 | SU26218RMFS6 |
| OFZ 3 | SU26215RMFS2 |
| OFZ 3 | SU26212RMFS9 |
| OFZ 3 | SU26211RMFS1 |
| OFZ 3 | SU26209RMFS5 |
| OFZ 3 | SU26207RMFS9 |
| OFZ 3 | SU25083RMFS5 |
| RSHB_1 | RU000A0JQK72 |
| RSHB_1 | RU000A0JQK64 |
| RSHB_1 | RU000A0JPTE5 |
| RSHB_1 | RU000A0JQ1H3 |
| RSHB_1 | RU000A0JUAD7 |
| RSHB_1 | RU000A0JU6A1 |
| RSHB_1 | RU000A0JU1Q8 |
| RSHB_1 | RU000A0JTVJ2 |
| RSHB_1 | RU000A0JT7M7 |
| RSHB_1 | RU000A0JS6N8 |
| RSHB_2 | RU000A0JV987 |
| RSHB_2 | RU000A0JUW72 |
| RSHB_2 | RU000A0JUW31 |
| RSHB_2 | RU000A0ZYJ42 |
| RSHB_2 | RU000A0ZYBT9 |
| RSHB_2 | RU000A0JXUC1 |
| RSHB_2 | RU000A0JXMQ8 |
| RSHB_2 | RU000A0JT874 |
| RSHB_2 | RU000A0JRVN8 |
| RSHB_2 | RU000A0JRLE8 |
| RSHB_2 | RU000A0JRMC0 |
| RSHB_2 | RU000A0JRMB2 |
| RSHB_2 | RU000A0JQS74 |
| RSHB_2 | RU000A0JQS09 |
| RSHB_ALL | RSHB_1 |
| RSHB_ALL | RSHB_2 |
| RZD_1 | RU000A0JQRD9 |
| RZD_1 | RU000A0JQ7Z2 |
| RZD_1 | RU000A0JQ7W9 |
| RZD_1 | XS0764253455 |
| RZD_2 | RU000A0JX1S1 |
| RZD_2 | RU000A0JTU85 |
| RZD_2 | RU000A0JQ7X7 |
| RZD_2 | RU000A0JWC82 |
| RZD_2 | RU000A0JVW71 |
| RZD_ALL | RZD_2 |
| RZD_ALL | RZD_1 |
| VEB_1 | RU000A0JWNJ3 |
| VEB_1 | RU000A0JWG96 |
| VEB_1 | RU000A0JU6K0 |
| VEB_1 | RU000A0JUD83 |
| VEB_1 | RU000A0JS4Z7 |
| VEB_1 | RU000A0JT403 |
| VEB_1 | RU000A0JRTN2 |
| VEB_2 | RU000A0JW6P7 |
| VEB_2 | RU000A0JVQA7 |
| VEB_2 | RU000A0JT6B2 |
| VEB_2 | RU000A0JRCX7 |
| VEB_2 | RU000A0JR3G0 |
| VEB_2 | RU000A0JR3H8 |
| VEB_ALL | VEB_1 |
| VEB_ALL | VEB_2 |