18.10.2017 18:43
Risk Parameters Change
NCC Clearing Bank is changing Securities market risk parameters starting from October 19, 2017 according to the tables below.
| Spread ID | Interproduct spread |
|---|---|
| AIZK_ALL | 47% |
| AIZK_1 | 47% |
| AIZK_2 | 71% |
| ALL_OFZ | 43% |
| OFZ 1 | 57% |
| OFZ 1-2 | 42% |
| OFZ 2 | 48% |
| OFZ 3 | 61% |
| DELTA_ALL | 50% |
| DELTA_1 | 50% |
| DELTA_2 | 60% |
| FEES_ALL | 68% |
| FEES_1 | 59% |
| FEES_2 | 72% |
| RSHB_ALL | 47% |
| RSHB_1 | 47% |
| RSHB_2 | 63% |
| RZD_ALL | 54% |
| RZD_1 | 55% |
| RZD_2 | 69% |
| VEB_ALL | 58% |
| VEB_1 | 58% |
| VEB_2 | 72% |
Interproduct spreads groups:
| Spread ID | Ticker |
|---|---|
| AIZK_1 | RU000A0JTDX1 |
| AIZK_1 | RU000A0JPJE6 |
| AIZK_1 | RU000A0JUKX4 |
| AIZK_1 | RU000A0JTW83 |
| AIZK_1 | RU000A0JVCJ8 |
| AIZK_2 | RU000A0JR5F7 |
| AIZK_2 | RU000A0JR6S8 |
| AIZK_2 | RU000A0JS488 |
| AIZK_2 | RU000A0JQXG0 |
| AIZK_ALL | AIZK_1 |
| AIZK_ALL | AIZK_2 |
| ALL_OFZ | OFZ 1-2 |
| ALL_OFZ | OFZ 3 |
| DELTA_1 | RU000A0JTF43 |
| DELTA_1 | RU000A0JU0A4 |
| DELTA_1 | RU000A0JVTA1 |
| DELTA_1 | RU000A0JU4X8 |
| DELTA_1 | RU000A0JV7T8 |
| DELTA_1 | RU000A0JVNB2 |
| DELTA_2 | RU000A0JUJG1 |
| DELTA_2 | RU000A0JUV81 |
| DELTA_2 | RU000A0JWBN0 |
| DELTA_2 | RU000A0JVUY9 |
| DELTA_2 | RU000A0JWGS8 |
| DELTA_2 | RU000A0JUW23 |
| DELTA_2 | RU000A0JWNB0 |
| DELTA_2 | RU000A0JWUB5 |
| DELTA_2 | RU000A0JS6M0 |
| DELTA_ALL | DELTA_1 |
| DELTA_ALL | DELTA_2 |
| FEES_1 | RU000A0JRUS9 |
| FEES_1 | RU000A0JS7H8 |
| FEES_1 | RU000A0JRZK5 |
| FEES_1 | RU000A0JT2K2 |
| FEES_1 | RU000A0JTKA4 |
| FEES_2 | RU000A0JR217 |
| FEES_2 | RU000A0JR209 |
| FEES_2 | RU000A0JR1Y7 |
| FEES_2 | RU000A0JR1Z4 |
| FEES_2 | RU000A0JR3L0 |
| FEES_2 | RU000A0JR3M8 |
| FEES_2 | RU000A0JRL96 |
| FEES_ALL | FEES_1 |
| FEES_ALL | FEES_2 |
| OFZ 1 | SU25081RMFS9 |
| OFZ 1 | SU26204RMFS6 |
| OFZ 1 | SU46005RMFS3 |
| OFZ 1 | SU46021RMFS0 |
| OFZ 1 | SU46014RMFS5 |
| OFZ 1 | SU46019RMFS4 |
| OFZ 1-2 | OFZ 1 |
| OFZ 1-2 | OFZ 2 |
| OFZ 2 | SU26205RMFS3 |
| OFZ 2 | SU26208RMFS7 |
| OFZ 2 | SU26216RMFS0 |
| OFZ 2 | SU26210RMFS3 |
| OFZ 2 | SU26214RMFS5 |
| OFZ 3 | SU26215RMFS2 |
| OFZ 3 | SU26217RMFS8 |
| OFZ 3 | SU25083RMFS5 |
| OFZ 3 | SU26209RMFS5 |
| OFZ 3 | SU26211RMFS1 |
| OFZ 3 | SU26207RMFS9 |
| OFZ 3 | SU26219RMFS4 |
| OFZ 3 | SU26220RMFS2 |
| OFZ 3 | SU26218RMFS6 |
| OFZ 3 | SU26212RMFS9 |
| OFZ 3 | SU26221RMFS0 |
| RSHB_1 | RU000A0JQ1H3 |
| RSHB_1 | RU000A0JQK72 |
| RSHB_1 | RU000A0JQK64 |
| RSHB_1 | RU000A0JRLE8 |
| RSHB_1 | RU000A0JRMB2 |
| RSHB_1 | RU000A0JPTE5 |
| RSHB_1 | RU000A0JRMC0 |
| RSHB_1 | RU000A0JUAD7 |
| RSHB_1 | RU000A0JPMT8 |
| RSHB_1 | RU000A0JU1Q8 |
| RSHB_1 | RU000A0JT7M7 |
| RSHB_1 | RU000A0JS6N8 |
| RSHB_1 | RU000A0JTVJ2 |
| RSHB_1 | RU000A0JU6A1 |
| RSHB_2 | RU000A0JT874 |
| RSHB_2 | RU000A0JV987 |
| RSHB_2 | RU000A0JUW31 |
| RSHB_2 | RU000A0JUW72 |
| RSHB_2 | RU000A0JQS74 |
| RSHB_2 | RU000A0JQS09 |
| RSHB_2 | RU000A0JRVN8 |
| RSHB_2 | RU000A0JXMQ8 |
| RSHB_ALL | RSHB_1 |
| RSHB_ALL | RSHB_2 |
| RZD_1 | RU000A0JQ7W9 |
| RZD_1 | RU000A0JQ7Z2 |
| RZD_2 | RU000A0JQ7X7 |
| RZD_2 | RU000A0JTU85 |
| RZD_2 | RU000A0JVW71 |
| RZD_2 | RU000A0JWC82 |
| RZD_2 | RU000A0JX1S1 |
| RZD_ALL | RZD_2 |
| RZD_ALL | RZD_1 |
| VEB_1 | RU000A0JU6K0 |
| VEB_1 | RU000A0JS4Z7 |
| VEB_1 | RU000A0JUD83 |
| VEB_1 | RU000A0JWG96 |
| VEB_1 | RU000A0JT403 |
| VEB_2 | RU000A0JR3G0 |
| VEB_2 | RU000A0JRTN2 |
| VEB_2 | RU000A0JRCX7 |
| VEB_2 | RU000A0JR3H8 |
| VEB_2 | RU000A0JVQA7 |
| VEB_2 | RU000A0JT6B2 |
| VEB_ALL | VEB_1 |
| VEB_ALL | VEB_2 |