01.10.2021 20:44
Risk parameters on Securities market
CCP NCC sets the following risk parameters on Securities market starting from 04.10.2021:
| № | Ticker | Minimum Initial Margin for the Market Risk, % | Concentration Limit, # of securities | |||
|---|---|---|---|---|---|---|
| Level 1, S_1_min | Level 2, S_2_min | Level 3, S_3_min | Level 1 | Level 2 | ||
| 1 | RU000A103TB6 | 52% | 55% | 58% | 8,000 | 40,000 |
| 2 | RU000A103T62 | 17% | 20% | 23% | 4,200 | 21,000 |
| 3 | RU000A103T21 | 6% | 9% | 12% | 1,780 | 8,900 |
| 4 | RU000A103T54 | 59% | 62% | 65% | 5,618 | 28,090 |
| 5 | RU000A103TA8 | 23% | 26% | 29% | 8,000 | 40,000 |
| 6 | RU000A103T96 | 21% | 24% | 27% | 6,000 | 30,000 |
| 7 | RU000A103TC4 | 48% | 51% | 54% | 8,000 | 40,000 |
| 8 | RU000A103T70 | 20% | 23% | 26% | 6,000 | 30,000 |
| 9 | RU000A103T47 | 14% | 17% | 20% | 2,446 | 12,230 |
| 10 | RU000A103T88 | 56% | 59% | 62% | 8,000 | 40,000 |
| 11 | RU000A103T39 | 10% | 13% | 16% | 2,448 | 12,240 |