25.06.2021 18:48
Risk parameters for new shares
New shares will be accepted to margin trading starting from July 1, 2021. From this date on, risk parameters will be applied according to the table below.
1. Market risk rates and concentration limits, attributes for ban on short selling and eligible collateral:
| № | Ticker | Name | Minimum Initial Margin for the Market Risk, % | Concentration Limit, number of securities | Ban on short selling | Eligible collateral | |||
|---|---|---|---|---|---|---|---|---|---|
| Level 1, S_1_min | Level 2, S_2_min | Level 3, S_3_min | Level 1 | Level 2 | |||||
| 1 | DHI-RM | DR HORTON INC | 17% | 27% | 39% | 7 586 | 37 929 | No | No |
| 2 | AXP-RM | AMERICAN EXPRESS CO | 15% | 24% | 34% | 4 313 | 21 567 | No | No |
| 3 | BK-RM | BANK OF NEW YORK MELLON CORP | 15% | 24% | 34% | 14 149 | 70 745 | No | No |
| 4 | C-RM | CITIGROUP INC | 19% | 31% | 43% | 10 091 | 50 456 | No | No |
| 5 | DISCA-RM | DISCOVERY INC - A | 17% | 27% | 39% | 23 461 | 117 307 | No | No |
| 6 | GLW-RM | CORNING INC | 16% | 26% | 36% | 17 629 | 88 147 | No | No |
| 7 | MDLZ-RM | MONDELEZ INTERNATIONAL INC-A | 12% | 19% | 27% | 10 979 | 54 897 | No | No |
| 8 | MET-RM | METLIFE INC | 16% | 26% | 36% | 11 703 | 58 513 | No | No |
| 9 | MRO-RM | MARATHON OIL CORP | 21% | 34% | 47% | 54 277 | 271 384 | No | No |
| 10 | NUE-RM | NUCOR CORP | 15% | 24% | 34% | 7 335 | 36 673 | No | No |
| 11 | PEP-RM | PEPSICO INC | 11% | 18% | 25% | 4 692 | 23 458 | No | No |
| 12 | STT-RM | STATE STREET CORP | 16% | 26% | 36% | 8 653 | 43 263 | No | No |
| 13 | USB-RM | US BANCORP | 15% | 24% | 34% | 12 464 | 62 318 | No | No |
| 14 | WFC-RM | WELLS FARGO & CO | 16% | 26% | 36% | 16 342 | 81 708 | No | No |
| 15 | JD-RM | JD.com Inc ADR | 18% | 29% | 41% | 9 526 | 47 631 | No | No |
| 16 | K-RM | KELLOGG CO | 13% | 21% | 30% | 10 729 | 53 645 | No | No |
| 17 | OKE-RM | ONEOK INC | 21% | 34% | 47% | 12 868 | 64 340 | No | No |
| 18 | SCHW-RM | SCHWAB (CHARLES) CORP | 15% | 24% | 34% | 9 770 | 48 852 | No | No |
| 19 | DOW-RM | DOW INC | 20% | 32% | 45% | 11 008 | 55 039 | No | No |
| 20 | PM-RM | PHILIP MORRIS INTERNATIONAL | 13% | 21% | 30% | 6 857 | 34 284 | No | No |
| 21 | WU-RM | WESTERN UNION CO | 14% | 23% | 32% | 29 345 | 146 723 | No | No |
| 22 | AYX-RM | Alteryx Inc | 33% | 53% | 74% | 7 978 | 39 889 | No | No |
| 23 | MGM-RM | MGM RESORTS INTERNATIONAL | 24% | 38% | 54% | 16 698 | 83 488 | No | No |
| 24 | LVS-RM | LAS VEGAS SANDS CORP | 24% | 38% | 54% | 12 873 | 64 364 | No | No |
| 25 | UA-RM | UNDER ARMOUR INC-CLASS C | 25% | 40% | 56% | 39 391 | 196 957 | No | No |
| 26 | BLUE-RM | Bluebird bio Inc | 70% | 80% | 90% | 20 581 | 102 905 | No | No |
| 27 | CNK -RM | Cinemark Holdings Inc | 70% | 80% | 90% | 31 182 | 155 910 | No | No |
| 28 | COTY-RM | Coty Inc | 100% | 100% | 100% | 78 692 | 393 460 | No | No |
| 29 | OGN-RM | Organon & Co. | 70% | 80% | 90% | 23 198 | 115 991 | No | No |
2. Stress collateral scenarios:
| № | Ticker | Name | Scen_UP | Scen_DOWN |
|---|---|---|---|---|
| 1 | DHI-RM | DR HORTON INC | 10% | 8% |
| 2 | AXP-RM | AMERICAN EXPRESS CO | 12% | 10% |
| 3 | BK-RM | BANK OF NEW YORK MELLON CORP | 9% | 7% |
| 4 | C-RM | CITIGROUP INC | 8% | 6% |
| 5 | DISCA-RM | DISCOVERY INC - A | 10% | 8% |
| 6 | GLW-RM | CORNING INC | 9% | 7% |
| 7 | MDLZ-RM | MONDELEZ INTERNATIONAL INC-A | 9% | 7% |
| 8 | MET-RM | METLIFE INC | 11% | 9% |
| 9 | MRO-RM | MARATHON OIL CORP | 13% | 11% |
| 10 | NUE-RM | NUCOR CORP | 9% | 7% |
| 11 | PEP-RM | PEPSICO INC | 9% | 7% |
| 12 | STT-RM | STATE STREET CORP | 9% | 7% |
| 13 | USB-RM | US BANCORP | 10% | 8% |
| 14 | WFC-RM | WELLS FARGO & CO | 9% | 7% |
| 15 | JD-RM | JD.com Inc ADR | 9% | 7% |
| 16 | K-RM | KELLOGG CO | 9% | 7% |
| 17 | OKE-RM | ONEOK INC | 14% | 12% |
| 18 | SCHW-RM | SCHWAB (CHARLES) CORP | 10% | 8% |
| 19 | DOW-RM | DOW INC | 13% | 11% |
| 20 | PM-RM | PHILIP MORRIS INTERNATIONAL | 10% | 8% |
| 21 | WU-RM | WESTERN UNION CO | 11% | 9% |
| 22 | AYX-RM | Alteryx Inc | 5% | 3% |
| 23 | MGM-RM | MGM RESORTS INTERNATIONAL | 10% | 8% |
| 24 | LVS-RM | LAS VEGAS SANDS CORP | 2% | 0% |
| 25 | UA-RM | UNDER ARMOUR INC-CLASS C | 9% | 7% |
| 26 | BLUE-RM | Bluebird bio Inc | 0% | 0% |
| 27 | CNK -RM | Cinemark Holdings Inc | 0% | 0% |
| 28 | COTY-RM | Coty Inc | 0% | 0% |
| 29 | OGN-RM | Organon & Co. | 0% | 0% |