01.08.2022 17:57
Risk parameters on Securities market
CCP NCC changes the following risk parameters on Securities market starting from August, 03-rd 2022 :
| № | Ticker | Current market risk rates, % | New market risk rates, % | ||||
|---|---|---|---|---|---|---|---|
| Level 1, S1_min | Level 2, S2_min | Level 3, S3_min | Level 1, S1_min | Level 2, S2_min | Level 3, S3_min | ||
| 1 | RU000A0ZZZ09 | 100% | 100% | 100% | 28% | 31% | 60% |
| 2 | RU000A0ZZZ58 | 100% | 100% | 100% | 33% | 36% | 60% |
| 3 | RU000A101U95 | 100% | 100% | 100% | 35% | 38% | 60% |
| 4 | RU000A102K13 | 100% | 100% | 100% | 32% | 35% | 60% |
| 5 | RU000A1016B4 | 100% | 100% | 100% | 35% | 38% | 60% |
| 6 | RU000A1018T2 | 100% | 100% | 100% | 37% | 40% | 60% |
| 7 | RU000A102L53 | 100% | 100% | 100% | 27% | 30% | 60% |
| 8 | RU000A102L87 | 100% | 100% | 100% | 35% | 38% | 60% |
| 9 | RU000A0JXRM6 | 100% | 100% | 100% | 39% | 42% | 60% |
| 10 | RU000A102AP8 | 100% | 100% | 100% | 36% | 39% | 60% |
| 11 | RU000A0ZYJT2 | 32% | 35% | 100% | 28% | 31% | 60% |
| 12 | RU000A0ZZV86 | 32% | 35% | 100% | 28% | 31% | 60% |
| 13 | RU000A100ZB9 | 35% | 38% | 100% | 34% | 37% | 60% |
| 14 | RU000A102D46 | 33% | 36% | 100% | 35% | 38% | 60% |
| 15 | RU000A102JB9 | 33% | 36% | 100% | 38% | 41% | 60% |
| 16 | RU000A103125 | 30% | 33% | 100% | 34% | 37% | 60% |
| 17 | RU000A102GD1 | 32% | 35% | 100% | 35% | 38% | 60% |
| 18 | RU000A102GV3 | 30% | 33% | 100% | 34% | 37% | 100% |
| 19 | RU000A100YY4 | 29% | 32% | 100% | 31% | 34% | 100% |
| 20 | RU000A101JD7 | 27% | 30% | 100% | 33% | 36% | 100% |
| 21 | RU000A0ZZNW5 | 25% | 28% | 100% | 31% | 34% | 60% |
| 22 | RU000A101TD6 | 30% | 33% | 100% | 36% | 39% | 60% |
| 23 | RU000A0ZZCH9 | 23% | 26% | 100% | 30% | 37% | 100% |
| № | Ticker | Current concentration limits, number of securities | New concentration limits, number of securities | Current Ban on short selling | New Ban on short selling | ||
|---|---|---|---|---|---|---|---|
| LK_1 | LK_2 | LK_1 | LK_2 | ||||
| 1 | RU000A0ZZZ09 | 2 000 | 2 001 | 102 999 | 514 995 | Yes | No |
| 2 | RU000A0ZZZ58 | 2 000 | 2 001 | 921 770 | 4 608 850 | Yes | No |
| 3 | RU000A101U95 | 2 000 | 2 001 | 133 053 | 665 265 | Yes | No |
| 4 | RU000A102K13 | 2 000 | 2 001 | 3 829 114 | 19 145 570 | Yes | No |
| 5 | RU000A1016B4 | 2 000 | 2 001 | 481 713 | 2 408 563 | Yes | No |
| 6 | RU000A1018T2 | 2 000 | 2 001 | 1 932 162 | 9 660 810 | Yes | No |
| 7 | RU000A102L53 | 2 000 | 2 001 | 914 379 | 4 571 895 | Yes | No |
| 8 | RU000A102L87 | 2 000 | 2 001 | 981 740 | 4 908 700 | Yes | No |
| 9 | RU000A0JXRM6 | 2 000 | 2 001 | 999 997 | 4 999 985 | Yes | No |
| 10 | RU000A102AP8 | 2 000 | 2 001 | 144 894 | 724 470 | Yes | No |
| № | Ticker | Current stress scenario UP, % | Current stress scenario DOWN, % | New stress scenario UP, % | New stress scenario DOWN, % | |
|---|---|---|---|---|---|---|
| 1 | RU000A0ZZZ09 | 0.0 | 0.0 | 1.0 | 1.0 | |
| 2 | RU000A0JXRM6 | 0.0 | 0.0 | 2.0 | 2.0 | |
| 3 | RU000A0ZZZ58 | 0.0 | 0.0 | 2.0 | 2.0 | |
| 4 | RU000A1016B4 | 0.0 | 0.0 | 1.0 | 1.0 | |
| 5 | RU000A1018T2 | 0.0 | 0.0 | 1.0 | 1.0 | |
| 6 | RU000A101U95 | 0.0 | 0.0 | 1.0 | 1.0 | |
| 7 | RU000A102AP8 | 0.0 | 0.0 | 1.0 | 1.0 | |
| 8 | RU000A102K13 | 0.0 | 0.0 | 1.0 | 1.0 | |
| 9 | RU000A102L53 | 0.0 | 0.0 | 1.0 | 1.0 | |
| 10 | RU000A102L87 | 0.0 | 0.0 | 1.0 | 1.0 |