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17.09.2021 17:04

Risk parameters change on Securities and Derivatives market

  1. CCP NCC is changing the following risk parameters on Securities market starting from September 27, 2021:
№ Ticker Description Current market risk rates New market risk rates
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 FLOT Sovkovflot ordinary shares 20% 26% 33% 25% 31% 38%
2 MAIL GDR Mail.ru Gr Limited ORD SHS 14% 20% 27% 17% 23% 30%
3 PIKK PIK OJSC ordinary shares 50% 75% 95% 33% 50% 75%
4 RUAL RUSAL OK MKOJSC ordinary shares 25% 31% 38% 20% 26% 33%
5 SGZH Segezha ordinary shares 50% 75% 95% 33% 50% 75%
6 SMLT GK Samolet ordinary shares 70% 80% 95% 50% 75% 95%
7 TRMK TMK OJSC ordinary shares 50% 75% 95% 70% 80% 95%
8 UPRO Unipro OJSC ordinary shares 20% 26% 33% 25% 31% 38%

 

№ Ticker Description Current concentration limits, number of securities New concentration limits, number of securities
LK_1 LK_2 LK_1 LK_2
1 RUAL RUSAL OK OJSC ordinary shares 4 497 897 22 489 485 2 580 000 12 900 000
2 AFLT AEROFLOT OJSC ordinary shares 3 816 618 19 083 090 2 375 879 11 879 394
3 AGRO GDR ROS AGRO PLC ORD SHS 25 199 125 995 20 761 103 806
4 ALRS ALROSA OJSC ordinary shares 3 016 546 15 082 730 4 064 751 20 323 756
5 ENPG OJSC EN+ Group ordinary shares 5 668 28 340 13 414 67 069
6 ENRU ENEL RUSSIA OJSC ordinary shares 17 752 454 88 762 270 12 227 875 61 139 375
7 GMKN GMK NORNIKEL OJSC ordinary shares 61 604 308 020 45 702 228 512
8 IRAO Inter RAO OJSC ordinary shares 40 501 069 202 505 345 32 173 347 160 866 734
9 MVID M.Video OJSC ordinary shares 85 470 427 350 55 132 275 658
10 NKNC Nizhnekamskneftehim OJSC ordinary shares 114 155 570 775 67 707 338 533
11 NKNCP Nizhnekamskneftehim OJSC preference shares 133 869 669 345 83 488 417 442
12 PLZL Polus OJSC ordinary shares 28 441 142 205 21 395 106 973
13 RTKM Rostelekom OJSC ordinary shares 455 878 2 279 390 368 558 1 842 792
14 SBERP Sberbank of Russia OJSC preference shares 1 374 855 6 874 275 1 068 756 5 343 778
15 YNDX PLLC Yandex N.V. class A shs 202 335 1 011 675 138 593 692 967
  1. CCP NCC is changing the following risk parameters on Derivatives market starting from 7:00 pm on September 24, 2021:
№ Underlying asset Futures contract Current market risk rates New market risk rates
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
1 MAIL Mail.ru Gr Limited ORD SHS GDR futures 14% 20% 27% 17% 23% 30%
2 PIKK PIK OJSC ordinary shares futures 50% 75% 95% 33% 50% 75%

 

№ Underlying asset Futures contract Current concentration limits, number of securities New concentration limits, number of securities
LK_1 LK_2 LK_1 LK_2
1 AFLT AEROFLOT OJSC ordinary shares futures 3 816 618 19 083 090 2 375 879 11 879 394
2 ALRS ALROSA OJSC ordinary shares futures 3 016 546 15 082 730 4 064 751 20 323 756
3 GMKN GMK NORNIKEL OJSC ordinary shares futures 61 604 308 020 45 702 228 512
4 IRAO Inter RAO OJSC ordinary shares futures 40 501 069 202 505 345 32 173 347 160 866 734
5 PLZL Polus OJSC ordinary shares futures 28 441 142 205 21 395 106 973
6 RTKM Rostelekom OJSC ordinary shares futures 455 878 2 279 390 368 558 1 842 792
7 SBERP Sberbank of Russia OJSC preference share futures 1 374 855 6 874 275 1 068 756 5 343 778
8 YNDX PLLC Yandex N.V. class A shs futures 202 335 1 011 675 138 593 692 967
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