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13.01.2022 16:58

Risk parameters change on Securities market

CCP NCC will set the following risk parameters on Securities market starting from January 20th. From this date on, risk parameters will be applied according to the table below.

  1. Market risk rates:
№ Ticker Name Current market risk rates, % New market risk rates, %
Level 1, S_1_min Level 2, S2_min Level 3, S3_min Level 1, S_1_min Level 2, S2_min Level 3, S3_min
1 SPCE-RM Virgin Galactic Holdings 50% 65% 90% 70% 80% 90%
2 NIO-RM Nio Inc. 53% 80% 95% 80% 90% 100%
3 LVS-RM Las Vegas Sands Corp. 19% 31% 43% 57% 80% 95%
4 F-RM Ford Motor Company 17% 27% 39% 36% 56% 79%
5 CAH-RM Cardinal Health Ord Shs 16% 25% 35% 28% 44% 62%
6 MOMO-RM Hello Group Inc. 26% 42% 59% 38% 60% 85%
7 FANG-RM Diamondback Energy ORD SHS 30% 48% 68% 42% 65% 92%
8 VRTX-RM Vertex Pharmaceuticals Inc 19% 31% 43% 30% 47% 66%
9 PINS-RM Pinterest Ord Shs Class A 20% 31% 44% 27% 42% 59%
10 EHTH-RM eHealth 34% 54% 77% 40% 63% 89%
11 FNKO-RM Funko Ord Shs Class A 29% 46% 65% 34% 50% 75%
12 ZM-RM Zoom Video Communications 28% 45% 63% 33% 50% 74%
13 CLF-RM Cleveland Cliffs Ord Shs 40% 63% 89% 44% 70% 95%
14 ISRG-RM Intuitive Surgical 17% 27% 39% 20% 31% 44%
15 TPR-RM Tapestry 23% 37% 52% 21% 34% 47%
16 VRSK-RM Verisk Analytics 16% 26% 36% 14% 23% 32%
17 CPB-RM Campbell Soup Company 16% 26% 36% 14% 23% 32%
18 REGN-RM Regeneron Pharmaceuticals 20% 32% 45% 18% 29% 41%
19 RL-RM Ralph Lauren Corporation 21% 34% 47% 19% 30% 43%
20 ABBV-RM AbbVie Inc. 17% 27% 39% 15% 24% 34%
21 OMC-RM Omnicom Group Inc. Ordshs 17% 27% 39% 15% 24% 34%
22 HSIC-RM Henry Schein 17% 27% 39% 15% 24% 34%
23 NWS-RM News Corp Ord Shs Class B 18% 28% 40% 16% 25% 36%
24 KR-RM The Kroger Co. 17% 27% 39% 15% 24% 33%
25 JD-RM JD.com 20% 32% 45% 18% 29% 40%
26 NOV-RM NOV Inc. ORD SHS 22% 35% 50% 20% 32% 45%
27 INTC-RM Intel Corporation 18% 29% 41% 16% 25% 36%
28 CVX-RM Chevron Corporation 17% 27% 39% 15% 24% 33%
29 IFF-RM Inter Flav&Frag Inc ORD SHS 18% 29% 41% 16% 25% 35%
30 CLX-RM Clorox Ord Shs 15% 23% 33% 13% 20% 29%
31 TSLA-RM Tesla 26% 42% 59% 24% 38% 53%
32 CI-RM Cigna Corporation 19% 31% 43% 17% 27% 37%
33 DVN-RM Devon Energy Ord Shs 24% 37% 53% 22% 34% 48%
34 HES-RM Hess Corporation ORD SHS 22% 35% 50% 20% 31% 44%
35 AA-RM Alcoa Corporation 24% 38% 54% 22% 34% 48%
36 WBA-RM Walgreen Boots Alliance Ord Sh 18% 28% 39% 16% 25% 34%
37 BABA-RM АДР Alibaba Group Holding LTD 18% 29% 41% 16% 24% 34%
38 DXC-RM DXC Technology Co ORD SHS 28% 45% 63% 26% 41% 58%
39 WRK-RM Westrock Co Ord Shs 21% 34% 47% 18% 29% 41%
40 DIS-RM The Walt Disney Company 18% 29% 41% 15% 24% 34%
41 NKE-RM NIKE 18% 29% 41% 15% 24% 34%
42 EOG-RM EOG Resources 21% 34% 47% 18% 28% 40%
43 ALB-RM Albemarle Ord Shs 21% 33% 46% 18% 28% 40%
44 XOM-RM Exxon Mobil Corporation 18% 29% 41% 15% 23% 33%
45 LLY-RM Eli Lilly and Company 18% 29% 41% 15% 23% 32%
46 FOX-RM Fox Corporation 21% 34% 47% 18% 28% 39%
47 FTV-RM Fortive Corporation ORD SHS 17% 27% 39% 14% 23% 32%
48 PVH-RM PVH Corp.ORD SHS 25% 40% 56% 22% 35% 50%
49 XLNX-RM Xilinx 19% 31% 43% 16% 25% 36%
50 OKE-RM ONEOK 26% 42% 59% 23% 36% 51%
51 XRAY-RM DENTSPLY SIRONA ORD SHS 19% 31% 43% 16% 25% 35%
52 RTX-RM Raytheon Technologies Corp 19% 31% 43% 16% 24% 34%
53 OXY-RM Occidental Petroleum Corp 26% 42% 59% 23% 36% 50%
54 DLTR-RM Dollar Tree 22% 35% 50% 18% 29% 41%
55 ZION-RM Zions Bancorp NA ORD SHS 21% 34% 47% 17% 27% 38%
56 VNT-RM Vontier Corporation 22% 35% 49% 18% 28% 40%
57 CTLT-RM Catalent 21% 34% 47% 17% 26% 37%
58 LW-RM Lamb Weston Holdings ORD SHS 23% 37% 52% 19% 30% 43%
59 MRO-RM Marathon Oil Corporation 26% 42% 59% 22% 35% 49%
60 NUE-RM Nucor Corporation 20% 32% 45% 16% 25% 35%
61 HIG-RM The Hartford ORD SHS 23% 37% 52% 19% 29% 41%
62 VLO-RM Valero Energy Corp ORD SHS 24% 38% 54% 19% 30% 42%
63 MTB-RM M&T Bank Co ORD SHS 22% 35% 50% 17% 26% 37%
64 BIDU-RM АДР Baidu 25% 40% 56% 20% 31% 43%
65 BBWI-RM Bath & Body Works 28% 45% 63% 23% 36% 51%
66 LUV-RM Southwest Airlines Co. 24% 38% 54% 18% 28% 40%
67 CFG-RM Citizens Financial Group ORDSH 25% 40% 56% 19% 30% 43%
68 PSX-RM Phillips 66 23% 37% 52% 17% 27% 38%
69 MRNA-RM Moderna 38% 61% 85% 32% 50% 71%
70 HWM-RM Howmet Aerospace Inc. ORD SHS 29% 46% 65% 22% 35% 49%
71 IQV-RM IQVIA HOLDINGS INC ORDSHS 22% 35% 50% 15% 23% 33%
72 LI-RM Li Auto Inc. 40% 64% 90% 33% 50% 74%
73 GT-RM Goodyear Tire & Rubber Company 27% 43% 61% 20% 31% 44%
74 ENPH-RM Enphase Energy Ord Shs 42% 67% 95% 34% 50% 75%
75 PBCT-RM Peoples United Financial Ord S 25% 39% 55% 16% 25% 35%
76 GPS-RM Gap Inc. 33% 53% 74% 24% 37% 52%
77 SYF-RM Synchrony Financial ORD SHS 28% 45% 63% 19% 30% 43%
78 QDEL-RM Quidel Ord Shs 34% 54% 76% 23% 36% 51%
79 SYY-RM Sysco Ord Shs 32% 50% 71% 17% 27% 38%
80 NRG-RM Nrg Energy 34% 54% 77% 19% 30% 42%
81 DISH-RM DISH Network Corp ORD SHS CL A 37% 59% 83% 18% 28% 40%
82 TDOC-RM Teladoc Health Ord Shs 44% 70% 99% 23% 37% 52%
83 APA-RM APA Corporation 47% 75% 95% 26% 40% 57%
84 BIIB-RM Biogen Inc. 50% 60% 70% 27% 42% 59%
85 UBER-RM Uber Technologies 70% 80% 90% 25% 39% 55%
86 PLUG-RM Plug Power Ord Shs 100% 100% 100% 71% 100% 100%
87 COIN-RM Coinbase Global 100% 100% 100% 70% 80% 95%
88 DAL-RM Delta Air Lines 100% 100% 100% 40% 63% 89%
89 COTY-RM Coty Inc. 100% 100% 100% 39% 61% 86%
90 BILI-RM Bilibili ADR Class Z 26% 41% 57% 100% 100% 100%
91 SWN-RM Southwestern Energy Company 35% 56% 79% 100% 100% 100%
92 SNAP-RM Snap Inc. 35% 56% 79% 100% 100% 100%
93 CZR-RM Caesars Entertainment ORD SHS 55% 80% 95% 100% 100% 100%
94 CNK-RM Cinemark Holdings 70% 80% 90% 100% 100% 100%
95 GTHX-RM G1 Therapeutics 70% 80% 90% 100% 100% 100%
96 BLUE-RM Bluebird bio 70% 80% 90% 100% 100% 100%
97 SPLK-RM Splunk Inc. 21% 34% 47% 100% 100% 100%

Concentration limits:

№ Ticker Name Current concentration limits, units New concentration limits, units
1 level 2 level 1 level 2 level
1 PLUG-RM Plug Power Ord Shs 25584 127920 15911 79553
2 COIN-RM Coinbase Global 2758 13790 2002 10007
3 DAL-RM Delta Air Lines 15816 79082 16258 81286
4 COTY-RM Coty Inc. 78692 393460 63495 317474
5 BILI-RM Bilibili ADR Class Z 8486 42430 2000 2001
6 SWN-RM Southwestern Energy Company 154148 770740 2000 2001
7 SNAP-RM Snap Inc. 8870 44350 2000 2001
8 CZR-RM Caesars Entertainment ORD SHS 6128 30640 2000 2001
9 CNK-RM Cinemark Holdings 31182 155910 2000 2001
10 GTHX-RM G1 Therapeutics 31843 159215 2000 2001
11 BLUE-RM Bluebird bio 20581 102905 2000 2001
12 SPLK-RM Splunk Inc. 5874 29370 2000 2001
  1. Stress collateral scenarios:
№ Ticker Name Current scenarios New scenarios
Scen_UP Scen_DOWN Scen_UP Scen_DOWN
1 SPLK-RM Splunk Inc. 15% 13% 0% 0%
2 BILI-RM Bilibili ADR Class Z 7% 5% 0% 0%
3 SWN-RM Southwestern Energy Company 1% 0% 0% 0%
4 SNAP-RM Snap Inc. 11% 9% 0% 0%
5 SPCE-RM Virgin Galactic Holdings 5% 3% 0% 0%
6 NIO-RM Nio Inc. 12% 10% 0% 0%
7 CZR-RM Caesars Entertainment ORD SHS 0% 0% 0% 0%
8 LVS-RM Las Vegas Sands Corp. 7% 5% 0% 0%
12 F-RM Ford Motor Company 4% 4% 0% 0%
13 CAH-RM Cardinal Health Ord Shs 8% 6% 0% 0%
14 MOMO-RM Hello Group Inc. 13% 11% 1% 0%
15 FANG-RM Diamondback Energy ORD SHS 7% 5% 0% 0%
16 VRTX-RM Vertex Pharmaceuticals Inc 18% 16% 9% 7%
17 PINS-RM Pinterest Ord Shs Class A 20% 18% 16% 14%
18 EHTH-RM eHealth 10% 8% 6% 4%
19 FNKO-RM Funko Ord Shs Class A 11% 9% 9% 7%
20 ZM-RM Zoom Video Communications 25% 23% 20% 18%
21 CLF-RM Cleveland Cliffs Ord Shs 0% 0% 0% 0%
22 ISRG-RM Intuitive Surgical 9% 7% 12% 10%
23 TPR-RM Tapestry 9% 7% 12% 10%
24 VRSK-RM Verisk Analytics 7% 5% 9% 7%
25 CPB-RM Campbell Soup Company 7% 5% 10% 8%
26 REGN-RM Regeneron Pharmaceuticals 9% 7% 8% 6%
27 RL-RM Ralph Lauren Corporation 8% 6% 11% 9%
28 ABBV-RM AbbVie Inc. 2% 0% 10% 8%
29 OMC-RM Omnicom Group Inc. Ordshs 7% 5% 9% 7%
30 HSIC-RM Henry Schein 7% 5% 9% 7%
31 NWS-RM News Corp Ord Shs Class B 7% 5% 10% 8%
32 KR-RM The Kroger Co. 8% 6% 11% 9%
33 JD-RM JD.com 7% 5% 10% 8%
34 NOV-RM NOV Inc. ORD SHS 9% 7% 12% 10%
35 INTC-RM Intel Corporation 4% 2% 10% 8%
36 CVX-RM Chevron Corporation 8% 6% 12% 10%
37 IFF-RM Inter Flav&Frag Inc ORD SHS 7% 5% 10% 8%
38 CLX-RM Clorox Ord Shs 6% 4% 10% 8%
39 TSLA-RM Tesla 3% 1% 12% 10%
40 CI-RM Cigna Corporation 6% 4% 10% 8%
41 DVN-RM Devon Energy Ord Shs 9% 7% 13% 11%
42 HES-RM Hess Corporation ORD SHS 8% 6% 12% 10%
43 AA-RM Alcoa Corporation 7% 5% 11% 9%
44 WBA-RM Walgreen Boots Alliance Ord Sh 6% 4% 10% 8%
45 BABA-RM АДР Alibaba Group Holding LTD 1% 0% 11% 9%
46 DXC-RM DXC Technology Co ORD SHS 11% 9% 14% 12%
47 WRK-RM Westrock Co Ord Shs 8% 7% 11% 9%
48 DIS-RM The Walt Disney Company 5% 3% 10% 8%
49 NKE-RM NIKE 6% 4% 11% 9%
50 EOG-RM EOG Resources 8% 6% 12% 10%
51 ALB-RM Albemarle Ord Shs 6% 4% 11% 9%
52 XOM-RM Exxon Mobil Corporation 5% 3% 10% 8%
53 LLY-RM Eli Lilly and Company 5% 3% 10% 8%
54 FOX-RM Fox Corporation 6% 4% 10% 8%
55 FTV-RM Fortive Corporation ORD SHS 7% 5% 10% 8%
56 PVH-RM PVH Corp.ORD SHS 10% 7% 13% 11%
57 XLNX-RM Xilinx 7% 5% 10% 8%
58 OKE-RM ONEOK 9% 7% 14% 12%
59 XRAY-RM DENTSPLY SIRONA ORD SHS 7% 7% 11% 9%
60 RTX-RM Raytheon Technologies Corp 6% 4% 11% 9%
61 OXY-RM Occidental Petroleum Corp 10% 8% 16% 14%
62 DLTR-RM Dollar Tree 5% 3% 10% 8%
63 ZION-RM Zions Bancorp NA ORD SHS 5% 1% 10% 8%
64 VNT-RM Vontier Corporation 8% 6% 12% 10%
65 CTLT-RM Catalent 6% 7% 11% 9%
66 LW-RM Lamb Weston Holdings ORD SHS 6% 4% 9% 7%
67 MRO-RM Marathon Oil Corporation 8% 6% 14% 12%
68 NUE-RM Nucor Corporation 4% 2% 9% 7%
69 HIG-RM The Hartford ORD SHS 5% 3% 10% 8%
70 VLO-RM Valero Energy Corp ORD SHS 7% 5% 13% 11%
71 MTB-RM M&T Bank Co ORD SHS 5% 3% 10% 8%
72 BIDU-RM АДР Baidu 4% 2% 10% 8%
73 BBWI-RM Bath & Body Works 8% 6% 14% 12%
74 LUV-RM Southwest Airlines Co. 2% 0% 10% 8%
75 CFG-RM Citizens Financial Group ORDSH 5% 3% 12% 10%
76 PSX-RM Phillips 66 4% 2% 11% 9%
77 MRNA-RM Moderna 11% 9% 16% 14%
78 HWM-RM Howmet Aerospace Inc. ORD SHS 6% 4% 12% 10%
79 IQV-RM IQVIA HOLDINGS INC ORDSHS 3% 3% 11% 9%
80 LI-RM Li Auto Inc. 7% 5% 14% 12%
81 GT-RM Goodyear Tire & Rubber Company 4% 2% 12% 10%
82 ENPH-RM Enphase Energy Ord Shs 4% 2% 13% 11%
83 PBCT-RM Peoples United Financial Ord S 1% 0% 11% 9%
84 GPS-RM Gap Inc. 2% 0% 12% 10%
85 SYF-RM Synchrony Financial ORD SHS 4% 2% 13% 11%
86 QDEL-RM Quidel Ord Shs 2% 0% 14% 12%
87 SYY-RM Sysco Ord Shs 0% 0% 13% 11%
88 NRG-RM Nrg Energy 0% 0% 11% 9%
89 DISH-RM DISH Network Corp ORD SHS CL A 0% 0% 10% 8%
90 TDOC-RM Teladoc Health Ord Shs 0% 0% 12% 10%
91 APA-RM APA Corporation 0% 0% 17% 15%
92 BIIB-RM Biogen Inc. 8% 6% 11% 9%
95 UBER-RM Uber Technologies 0% 0% 14% 12%
97 COTY-RM Coty Inc. 0% 0% 2% 0%
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