23.04.2021 14:58
Risk parameters change on Securities market and Derivatives market
CCP NCC is changing the following risk parameters on the Securities market and the Derivatives market starting from May 11, 2021.
Securities market
| № | Ticker | New market risk rates, % | Current market risk rates, % | New concentration limits, number of securities | Current concentration limits, number of securities | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | LK1 | LK2 | LK1 | LK2 | ||
| 1 | SBER | 14% | 20% | 27% | 17% | 21% | 28% | 12 316 650 | 61 583 250 | 18 217 800 | 91 089 000 |
| 2 | GMKN | 14% | 20% | 27% | 17% | 21% | 28% | 61 604 | 308 020 | 89 200 | 446 000 |
| 3 | GAZP | 14% | 20% | 27% | 17% | 21% | 28% | 8 781 586 | 43 907 930 | 9 686 739 | 48 433 695 |
| 4 | LKOH | 14% | 20% | 27% | 17% | 21% | 28% | 256 818 | 1 284 090 | 315 000 | 1 575 000 |
| 5 | ROSN | 14% | 20% | 27% | 17% | 21% | 28% | 1 419 670 | 7 098 350 | 1 303 242 | 6 516 210 |
| 6 | YNDX | 14% | 20% | 27% | 17% | 22% | 32% | 202 335 | 1 011 675 | 359 100 | 1 795 500 |
| 7 | TATN | 14% | 20% | 27% | 17% | 24% | 37% | 889 997 | 4 449 985 | 996 400 | 4 982 000 |
| 8 | MGNT | 14% | 20% | 27% | 17% | 24% | 38% | 86 383 | 431 915 | 103 100 | 515 500 |
| 9 | POLY | 14% | 20% | 27% | 28% | 38% | 59% | 297 244 | 1 486 220 | 262 500 | 1 312 500 |
| 10 | NVTK | 14% | 20% | 27% | 17% | 23% | 34% | 224 365 | 1 121 825 | 276 300 | 1 381 500 |
| 11 | PLZL | 14% | 20% | 27% | 35% | 49% | 78% | 28 441 | 142 205 | 60 400 | 302 000 |
| 12 | ALRS | 14% | 20% | 27% | 17% | 23% | 34% | 3 016 546 | 15 082 730 | 3 796 908 | 18 984 540 |
| 13 | NLMK | 14% | 20% | 27% | 17% | 24% | 38% | 1 000 635 | 5 003 175 | 1 194 300 | 5 971 500 |
| 14 | CHMF | 14% | 20% | 27% | 17% | 23% | 36% | 167 953 | 839 765 | 243 000 | 1 215 000 |
| 15 | MAGN | 14% | 20% | 27% | 17% | 23% | 34% | 3 348 359 | 16 741 795 | 2 836 465 | 14 182 325 |
| 16 | MOEX | 14% | 20% | 27% | 17% | 23% | 31% | 1 559 260 | 7 796 300 | 2 370 912 | 11 854 560 |
| 17 | AFKS | 29% | 35% | 42% | 35% | 49% | 78% | 5 975 432 | 29 877 160 | 9 215 200 | 46 076 000 |
| 18 | SBERP | 14% | 20% | 27% | 17% | 20% | 27% | 1 374 855 | 6 874 275 | 1 635 750 | 8 178 750 |
| 19 | SNGS | 14% | 20% | 27% | 17% | 23% | 34% | 7 118 828 | 35 594 140 | 8 997 900 | 44 989 500 |
| 20 | MTSS | 14% | 20% | 27% | 17% | 23% | 34% | 638 111 | 3 190 555 | 1 057 900 | 5 289 500 |
| 21 | SNGSP | 14% | 20% | 27% | 17% | 21% | 28% | 6 405 688 | 32 028 440 | 5 534 997 | 27 674 985 |
| 22 | AFLT | 14% | 20% | 27% | 17% | 23% | 34% | 3 816 618 | 19 083 090 | 5 114 300 | 25 571 500 |
| 23 | VTBR | 14% | 20% | 27% | 17% | 21% | 28% | 4 467 654 007 | 22 338 270 035 | 10 324 287 576 | 51 621 437 881 |
| 24 | IRAO | 16% | 22% | 29% | 31% | 44% | 69% | 40 501 069 | 202 505 345 | 62 918 300 | 314 591 500 |
| 25 | RUAL | 50% | 75% | 95% | 35% | 49% | 78% | 2 659 447 | 13 297 235 | 840 000 | 4 200 000 |
| 26 | SIBN | 17% | 23% | 30% | 35% | 49% | 78% | 274 725 | 1 373 625 | 450 200 | 2 251 000 |
| 27 | TATNP | 17% | 23% | 30% | 35% | 49% | 78% | 175 745 | 878 725 | 173 000 | 865 000 |
| 28 | HYDR | 17% | 23% | 30% | 17% | 23% | 36% | 121 991 354 | 609 956 770 | 246 923 000 | 1 234 615 000 |
| 29 | PHOR | 17% | 23% | 30% | 35% | 49% | 78% | 12 768 | 63 840 | 16 400 | 82 000 |
| 30 | CBOM | 33% | 50% | 75% | 36% | 51% | 80% | 10 142 774 | 50 713 870 | 13 149 600 | 65 748 000 |
| 31 | DSKY | 50% | 75% | 95% | 50% | 71% | 95% | 547 261 | 2 736 305 | 1 048 300 | 5 241 500 |
| 32 | RTKM | 20% | 26% | 33% | 20% | 30% | 42% | 455 878 | 2 279 390 | 696 186 | 3 480 930 |
| 33 | MVID | 20% | 26% | 33% | 50% | 71% | 95% | 53 225 | 266 125 | 57 900 | 289 500 |
| 34 | RSTI | 17% | 23% | 30% | 18% | 27% | 44% | 37 214 727 | 186 073 635 | 106 465 544 | 532 327 720 |
| 35 | UPRO | 20% | 26% | 33% | 35% | 50% | 60% | 12 926 153 | 64 630 765 | 18 342 900 | 91 714 500 |
| 36 | FEES | 17% | 23% | 30% | 18% | 27% | 44% | 249 707 474 | 1 248 537 370 | 531 002 900 | 2 655 014 500 |
| 37 | TRNFP | 20% | 26% | 33% | 17% | 23% | 36% | 339 | 1 695 | 772 | 3 860 |
| 38 | MTLR | 70% | 80% | 95% | 70% | 80% | 90% | 336 421 | 1 682 105 | 370 960 | 1 854 800 |
| 39 | PIKK | 50% | 75% | 95% | 35% | 49% | 78% | 27 305 | 136 525 | 34 668 | 173 340 |
| 40 | RASP | 25% | 31% | 38% | 50% | 60% | 70% | 73 780 | 368 900 | 130 100 | 650 500 |
| 41 | LSRG | 50% | 75% | 95% | 50% | 71% | 95% | 26 891 | 134 455 | 29 100 | 145 500 |
| 42 | BANEP | 25% | 31% | 38% | 35% | 49% | 78% | 17 752 | 88 760 | 23 200 | 116 000 |
| 43 | TRMK | 70% | 80% | 95% | 50% | 71% | 95% | 108 696 | 543 480 | 273 600 | 1 368 000 |
| 44 | ENRU | 25% | 31% | 38% | 35% | 49% | 78% | 17 752 454 | 88 762 270 | 10 005 303 | 50 026 515 |
| 45 | OGKB | 33% | 50% | 75% | 35% | 49% | 78% | 14 372 600 | 71 863 000 | 48 326 700 | 241 633 500 |
| 46 | UWGN | 70% | 80% | 95% | 50% | 71% | 95% | 91 241 | 456 205 | 48 400 | 242 000 |
| 47 | NMTP | 33% | 50% | 75% | 50% | 71% | 95% | 1 336 388 | 6 681 940 | 1 440 619 | 7 203 095 |
| 48 | GCHE | 50% | 75% | 95% | 50% | 71% | 95% | 4 524 | 22 620 | 5 300 | 26 500 |
| 49 | TGKA | 33% | 50% | 75% | 35% | 49% | 78% | 833 333 333 | 4 166 666 665 | 1 577 967 300 | 7 889 836 500 |
| 50 | MTLRP | 70% | 80% | 95% | 70% | 80% | 90% | 125 549 | 627 745 | 152 500 | 762 500 |
| 51 | RTKMP | 33% | 50% | 75% | 35% | 49% | 78% | 111 111 | 555 555 | 176 302 | 881 510 |
| 52 | BSPB | 33% | 50% | 75% | 35% | 49% | 78% | 155 618 | 778 090 | 233 600 | 1 168 000 |
| 53 | VSMO | 33% | 50% | 75% | 50% | 71% | 95% | 407 | 2 035 | 626 | 3 130 |
| 54 | LSNGP | 33% | 50% | 75% | 50% | 71% | 95% | 62 035 | 310 175 | 65 700 | 328 500 |
| 55 | MSNG | 33% | 50% | 75% | 35% | 49% | 78% | 4 394 639 | 21 973 195 | 7 154 920 | 35 774 600 |
| 56 | BANE | 33% | 50% | 75% | 35% | 49% | 78% | 6 250 | 31 250 | 6 000 | 30 000 |
| 57 | MRKP | 33% | 50% | 75% | 50% | 71% | 95% | 39 154 268 | 195 771 340 | 45 351 500 | 226 757 500 |
| 58 | SELG | 33% | 50% | 75% | 50% | 71% | 95% | 224 115 | 1 120 575 | 333 600 | 1 668 000 |
| 59 | NKNCP | 33% | 50% | 75% | 50% | 71% | 95% | 133 869 | 669 345 | 117 000 | 585 000 |
| 60 | AKRN | 33% | 50% | 75% | 50% | 71% | 95% | 1 639 | 8 195 | 3 010 | 15 050 |
| 61 | MSRS | 50% | 75% | 95% | 50% | 71% | 95% | 8 467 401 | 42 337 005 | 8 549 000 | 42 745 000 |
| 62 | MRKC | 50% | 75% | 95% | 50% | 71% | 95% | 25 601 639 | 128 008 195 | 33 700 700 | 168 503 500 |
| 63 | APTK | 70% | 80% | 95% | 70% | 80% | 95% | 733 676 | 3 668 380 | 735 600 | 3 678 000 |
| 64 | SVAV | 70% | 80% | 95% | 70% | 80% | 95% | 41 408 | 207 040 | 34 500 | 172 500 |
| 65 | LSNG | 50% | 75% | 95% | 50% | 71% | 95% | 1 697 793 | 8 488 965 | 1 861 120 | 9 305 600 |
| 66 | KZOS | 50% | 75% | 95% | 70% | 80% | 95% | 116 009 | 580 045 | 122 000 | 610 000 |
| 67 | TGKD | 50% | 75% | 95% | 50% | 71% | 95% | 2 212 389 381 | 11 061 946 905 | 2 710 027 100 | 13 550 135 500 |
| 68 | RSTIP | 50% | 75% | 95% | 50% | 71% | 95% | 4 889 976 | 24 449 880 | 4 525 214 | 22 626 070 |
| 69 | UNAC | 50% | 75% | 95% | 35% | 49% | 78% | 17 361 111 | 86 805 555 | 23 730 400 | 118 652 000 |
| 70 | NKNC | 50% | 75% | 95% | 70% | 80% | 95% | 114 155 | 570 775 | 112 400 | 562 000 |
| 71 | TGKB | 50% | 75% | 95% | 70% | 80% | 95% | 2 421 307 506 | 12 106 537 530 | 2 481 389 600 | 12 406 948 000 |
| 72 | MRKV | 50% | 75% | 95% | 50% | 71% | 95% | 157 109 191 | 785 545 955 | 143 857 983 | 719 289 915 |
| 73 | IRGZ | 70% | 80% | 95% | 50% | 71% | 95% | 892 857 | 4 464 285 | 862 300 | 4 311 500 |
| 74 | FLOT | 20% | 26% | 33% | 35% | 55% | 78% | 295 802 | 1 479 010 | 453 700 | 2 268 500 |
| 75 | GLTR | 25% | 31% | 38% | 35% | 55% | 78% | 33 096 | 165 480 | 22 500 | 112 500 |
| 76 | HHRU | 70% | 80% | 95% | 50% | 71% | 95% | 3 539 | 17 695 | 15 800 | 79 000 |
| 77 | 14% | 20% | 27% | 35% | 49% | 78% | 131 515 | 657 575 | 83 900 | 419 500 | |
| 78 | OZON | 70% | 80% | 95% | 70% | 80% | 95% | 33 995 | 169 975 | 107 200 | 536 000 |
| 79 | POGR | 50% | 75% | 95% | 50% | 71% | 95% | 1 485 627 | 7 428 135 | 5 800 200 | 29 001 000 |
| 80 | TCSG | 21% | 27% | 34% | 35% | 49% | 78% | 45 257 | 226 285 | 45 000 | 225 000 |
| 81 | FIVE | 14% | 20% | 27% | 35% | 49% | 78% | 62 854 | 314 270 | 49 100 | 245 500 |
| 82 | QIWI | 50% | 75% | 95% | 35% | 49% | 78% | 34 583 | 172 915 | 12 700 | 63 500 |
| 83 | AGRO | 50% | 75% | 95% | 50% | 71% | 95% | 20 401 | 102 005 | 16 483 | 82 415 |
| 84 | LNTA | 50% | 75% | 95% | 50% | 60% | 70% | 77 803 | 389 015 | 151 200 | 756 000 |
| 85 | ETLN | 70% | 80% | 95% | 50% | 71% | 95% | 78 852 | 394 260 | 88 900 | 444 500 |
Derivatives market
| № | Ticker | New market risk rates, % | Current market risk rates, % | New concentration limits, number of securities | Current concentration limits, number of securities | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | LK1 | LK2 | LK1 | LK2 | ||
| 1 | AFKS | 29% | 35% | 42% | 35% | 49% | 78% | 5 975 432 | 29 877 160 | 9 215 200 | 46 076 000 |
| 2 | AFLT | 14% | 20% | 27% | 17% | 23% | 34% | 3 816 618 | 19 083 090 | 5 114 300 | 25 571 500 |
| 3 | ALRS | 14% | 20% | 27% | 17% | 23% | 34% | 3 016 546 | 15 082 730 | 3 796 908 | 18 984 540 |
| 4 | CHMF | 14% | 20% | 27% | 17% | 23% | 36% | 167 953 | 839 765 | 243 000 | 1 215 000 |
| 5 | FEES | 17% | 23% | 30% | 18% | 27% | 44% | 249 707 474 | 1 248 537 370 | 531 002 900 | 2 655 014 500 |
| 6 | FIVE | 14% | 20% | 27% | 35% | 49% | 78% | 62 854 | 314 270 | 49 100 | 245 500 |
| 7 | GAZR | 14% | 20% | 27% | 17% | 21% | 28% | 8 781 586 | 43 907 930 | 9 686 739 | 48 433 695 |
| 8 | GMKN | 14% | 20% | 27% | 17% | 21% | 28% | 61 604 | 308 020 | 89 200 | 446 000 |
| 9 | HYDR | 17% | 23% | 30% | 17% | 23% | 36% | 121 991 354 | 609 956 770 | 246 923 000 | 1 234 615 000 |
| 10 | IRAO | 16% | 22% | 29% | 31% | 44% | 69% | 40 501 069 | 202 505 345 | 62 918 300 | 314 591 500 |
| 11 | LKOH | 14% | 20% | 27% | 17% | 21% | 28% | 256 818 | 1 284 090 | 315 000 | 1 575 000 |
| 12 | MAGN | 14% | 20% | 27% | 17% | 23% | 34% | 3 348 359 | 16 741 795 | 2 836 465 | 14 182 325 |
| 13 | 14% | 20% | 27% | 35% | 49% | 78% | 131 515 | 657 575 | 83 900 | 419 500 | |
| 14 | MGNT | 14% | 20% | 27% | 17% | 24% | 38% | 86 383 | 431 915 | 103 100 | 515 500 |
| 15 | MOEX | 14% | 20% | 27% | 17% | 23% | 31% | 1 559 260 | 7 796 300 | 2 370 912 | 11 854 560 |
| 16 | MTSI | 14% | 20% | 27% | 17% | 23% | 34% | 638 111 | 3 190 555 | 1 057 900 | 5 289 500 |
| 17 | NLMK | 14% | 20% | 27% | 17% | 24% | 38% | 1 000 635 | 5 003 175 | 1 194 300 | 5 971 500 |
| 18 | NOTK | 14% | 20% | 27% | 17% | 23% | 34% | 224 365 | 1 121 825 | 276 300 | 1 381 500 |
| 19 | OZON | 70% | 80% | 95% | 70% | 80% | 95% | 33 995 | 169 975 | 107 200 | 536 000 |
| 20 | PLZL | 14% | 20% | 27% | 35% | 49% | 78% | 28 441 | 142 205 | 60 400 | 302 000 |
| 21 | POLY | 14% | 20% | 27% | 28% | 38% | 59% | 297 244 | 1 486 220 | 262 500 | 1 312 500 |
| 22 | ROSN | 14% | 20% | 27% | 17% | 21% | 28% | 1 419 670 | 7 098 350 | 1 303 242 | 6 516 210 |
| 23 | RTKM | 20% | 26% | 33% | 20% | 30% | 42% | 455 878 | 2 279 390 | 696 186 | 3 480 930 |
| 24 | SBPR | 14% | 20% | 27% | 17% | 20% | 27% | 1 374 855 | 6 874 275 | 1 635 750 | 8 178 750 |
| 25 | SBRF | 14% | 20% | 27% | 17% | 21% | 28% | 12 316 650 | 61 583 250 | 18 217 800 | 91 089 000 |
| 26 | SNGP | 14% | 20% | 27% | 17% | 21% | 28% | 6 405 688 | 32 028 440 | 5 534 997 | 27 674 985 |
| 27 | SNGR | 14% | 20% | 27% | 17% | 23% | 34% | 7 118 828 | 35 594 140 | 8 997 900 | 44 989 500 |
| 28 | TATN | 14% | 20% | 27% | 17% | 24% | 37% | 889 997 | 4 449 985 | 996 400 | 4 982 000 |
| 29 | TCSI | 21% | 27% | 34% | 35% | 49% | 78% | 45 257 | 226 285 | 45 000 | 225 000 |
| 30 | TRNF | 20% | 26% | 33% | 17% | 23% | 36% | 339 | 1 695 | 772 | 3 860 |
| 31 | TRNS | 20% | 26% | 33% | 17% | 23% | 36% | 3 390 | 16 950 | 7 720 | 38 600 |
| 32 | VTBR | 14% | 20% | 27% | 17% | 21% | 28% | 4 467 654 007 | 22 338 270 035 | 10 324 287 576 | 51 621 437 881 |
| 33 | YNDF | 14% | 20% | 27% | 17% | 22% | 32% | 202 335 | 1 011 675 | 359 100 | 1 795 500 |