22.01.2021 16:45
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 | |||||
| 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 | RU000A102FT9 | SISTEMA PJSFC, 001P-17 | 100% | 100% | 100% | 17% | 20% | 23% | 280 000 | 1 400 000 | No | No |
| 5 | RU000A102FC5 | VEB.RF, ПБО-001Р-22 | 100% | 100% | 100% | 14% | 17% | 20% | 500 000 | 2 500 000 | No | No |
| 6 | RU000A102G35 | MOSCOW OBLAST, 35016 | 100% | 100% | 100% | 16% | 19% | 22% | 600 000 | 3 000 000 | No | No |
| 7 | RU000A102GJ8 | GAZPROMBANK JSC, 001Р-19Р | 100% | 100% | 100% | 14% | 17% | 20% | 300 000 | 1 500 000 | No | No |
| 8 | RU000A102HB3 | RUSNANO OAO, БО-002P-05 | 100% | 100% | 100% | 14% | 17% | 20% | 110 000 | 550 000 | No | No |
| 9 | RU000A102H75 | ROSSELKHOZBANK, БО-005K-P | 100% | 100% | 100% | 7% | 10% | 13% | 200 000 | 1 000 000 | No | No |
| 10 | RU000A102H91 | RUSSIAN HIGHWAYS, БО-003P-01 | 100% | 100% | 100% | 17% | 20% | 23% | 280 000 | 1 400 000 | No | No |
| 11 | RU000A102L95 | GAZPROM NEFT PJSC, 003P-04R | 100% | 100% | 100% | 13% | 16% | 19% | 400 000 | 2 000 000 | Yes | No |
| 12 | RU000A102M94 | OGK-2 PJSC, 003Р-01 | 100% | 100% | 100% | 10% | 13% | 16% | 540 860 | 2 704 300 | No | No |