08.10.2024 13:33
Risk parameters change on the Securities market
CCP NCC sets the following risk parameters on Securities market starting from 15 October, 2024:
- Minimum Initial Margin for the Market Risk
| Ticker | FROM 15.10.2024 | FROM 01.11.2024 | ||||
|---|---|---|---|---|---|---|
| S1_min | S1_min | S2_min | S3_min | S2_min | S3_min | |
| RU000A0JWHA4 | 30% | 40% | 60% | 50% | 60% | 80% |
| RU000A0JXTS9 | 30% | 40% | 60% | 50% | 60% | 80% |
| RU000A0JXU14 | 30% | 40% | 60% | 50% | 60% | 80% |
| RU000A0ZYYN4 | 30% | 40% | 60% | 50% | 60% | 80% |
| RU000A0ZZVE6 | 30% | 40% | 60% | 50% | 60% | 80% |
| RU000A1006S9 | 30% | 40% | 60% | 50% | 60% | 80% |
| RU000A102CK5 | 30% | 40% | 60% | 50% | 60% | 80% |
| RU000A102CL3 | 30% | 40% | 60% | 50% | 60% | 80% |
| RU000A1034K8 | 30% | 40% | 60% | 50% | 60% | 80% |
| XS0088543193 | 30% | 40% | 60% | 50% | 60% | 80% |
| XS0114288789 | 30% | 40% | 60% | 50% | 60% | 80% |
| XS0767473852 | 30% | 40% | 60% | 50% | 60% | 80% |
| XS0971721963 | 30% | 40% | 60% | 50% | 60% | 80% |
- Limit of collateral:
| Ticker | FROM 15.10.2024 | FROM 01.11.2024 | FROM 11.11.2024 |
|---|---|---|---|
| Limit of Collateral | |||
| RU000A0JWHA4 | 75% | 50% | 0% |
| RU000A0JXTS9 | 75% | 50% | 0% |
| RU000A0JXU14 | 75% | 50% | 0% |
| RU000A0ZYYN4 | 75% | 50% | 0% |
| RU000A0ZZVE6 | 75% | 50% | 0% |
| RU000A1006S9 | 75% | 50% | 0% |
| RU000A102CK5 | 75% | 50% | 0% |
| RU000A102CL3 | 75% | 50% | 0% |
| RU000A1034K8 | 75% | 50% | 0% |
| XS0088543193 | 75% | 50% | 0% |
| XS0114288789 | 75% | 50% | 0% |
| XS0767473852 | 75% | 50% | 0% |
| XS0971721963 | 75% | 50% | 0% |
Exclude replacement Eurobonds of the Russian Federation from collateral, stress collateral, Guarantee fund from 11 November, 2024.