27.09.2021 16:30
О значениях риск-параметров новых иностранных акций
Решением НКО НКЦ (АО) с 1 октября 2021 г. по новым иностранным акциям будут установлены следующие риск-параметры:
- Минимальный ограничительный уровень ставок обеспечения, лимиты концентрации, признаки запрета коротких продаж и приема в обеспечение:
| № | Торговый код | Ценная бумага | Минимальный ограничительный уровень Ставок рыночного риска, % | Лимит концентрации, шт. | Запрет коротких продаж | Прием в обеспечение | |||
|---|---|---|---|---|---|---|---|---|---|
| 1-ый уровень, S1_min | 2-ой уровень, S2_min | 3-ий уровень, S3_min | 1 уровень | 2 уровень | |||||
| 1 | AES-RM | The Aes Corp | 16% | 26% | 36% | 29 372 | 146 861 | Нет | Нет |
| 2 | CNP-RM | Centerpoint Energy Inc | 16% | 26% | 36% | 27 095 | 135 475 | Нет | Нет |
| 3 | HLT-RM | Hilton Inc | 18% | 29% | 41% | 5 081 | 25 409 | Нет | Нет |
| 4 | OTIS-RM | Otis Worldwide Corp | 18% | 29% | 41% | 8 113 | 40 566 | Нет | Нет |
| 5 | IR-RM | Ingersoll Rand Inc | 19% | 31% | 43% | 12 866 | 64 332 | Нет | Нет |
| 6 | MAR-RM | Marriot Int Cl A | 19% | 31% | 43% | 4 514 | 22 571 | Нет | Нет |
| 7 | HES-RM | Hess Corp | 22% | 35% | 50% | 9 138 | 45 692 | Нет | Нет |
| 8 | NOV-RM | Nov Inc | 22% | 35% | 50% | 53 124 | 265 620 | Нет | Нет |
| 9 | EXPE-RM | Expedia Group Inc | 23% | 37% | 52% | 4 003 | 20 015 | Нет | Нет |
| 10 | CARR-RM | Carrier Global Corp | 23% | 37% | 52% | 12 961 | 64 805 | Нет | Нет |
| 11 | BBWI-RM | Bath & Body Works, Inc | 28% | 45% | 63% | 10 216 | 51 082 | Нет | Нет |
| 12 | FANG-RM | Diamondback Energy | 30% | 48% | 68% | 7 760 | 38 801 | Нет | Нет |
| 13 | NI-RM | NiSource Inc | 13% | 21% | 30% | 28 675 | 143 375 | Нет | Нет |
| 14 | DUK-RM | Duke Energy Corp | 12% | 19% | 27% | 6 992 | 34 962 | Нет | Нет |
| 15 | CTVA-RM | Corteva Inc | 18% | 29% | 41% | 16 272 | 81 362 | Нет | Нет |
| 16 | PRU-RM | Prudential Financial Inc | 18% | 29% | 41% | 6 636 | 33 180 | Нет | Нет |
| 17 | UNM-RM | Unumprovident Corp | 20% | 32% | 45% | 28 286 | 141 431 | Нет | Нет |
| 18 | PXD-RM | Pioneer Natural Resources Company | 19% | 31% | 43% | 4 249 | 21 245 | Нет | Нет |
| 19 | TFC-RM | Truist Financial Corp | 17% | 27% | 39% | 11 870 | 59 352 | Нет | Нет |
| 20 | CFG-RM | Citizens Financial Group Inc/Ri | 25% | 40% | 56% | 15 191 | 75 958 | Нет | Нет |
| 21 | EXC-RM | Exelon Corp | 13% | 21% | 30% | 13 982 | 69 911 | Нет | Нет |
| 22 | XEL-RM | XCEL Energy Inc | 13% | 21% | 30% | 10 873 | 54 365 | Нет | Нет |
| 23 | ROST-RM | Ross Stores Inc | 17% | 27% | 39% | 5 935 | 29 678 | Нет | Нет |
| 24 | LEN-RM | Lennar Corp | 18% | 29% | 41% | 6 887 | 34 438 | Нет | Нет |
| 25 | NWL-RM | Newell Rubbermaid Inc | 19% | 31% | 43% | 29 086 | 145 434 | Нет | Нет |
| 26 | COF-RM | Capital One Financial Corp | 19% | 31% | 43% | 4 143 | 20 716 | Нет | Нет |
| 27 | FITB-RM | Fifth Third Bancorp | 20% | 32% | 45% | 16 586 | 82 930 | Нет | Нет |
| 28 | DFS-RM | Discover Financial Services | 19% | 31% | 43% | 5 295 | 26 478 | Нет | Нет |
| 29 | ADI-RM | Analog Devices | 14% | 23% | 32% | 3 856 | 19 282 | Нет | Нет |
| 30 | SO-RM | Southern Company | 15% | 24% | 34% | 10 900 | 54 503 | Нет | Нет |
| 31 | D-RM | Dominion Resources | 13% | 21% | 30% | 9 231 | 46 157 | Нет | Нет |
| 32 | PHM-RM | Pultegroup | 19% | 31% | 43% | 14 497 | 72 487 | Нет | Нет |
| 33 | CSX-RM | CSX Corp | 15% | 24% | 34% | 22 632 | 113 163 | Нет | Нет |
| 34 | BWA-RM | Borgwarner Inc | 16% | 26% | 36% | 15 708 | 78 540 | Нет | Нет |
| 35 | DXC-RM | Dxc Technology Company | 28% | 45% | 63% | 19 710 | 98 552 | Нет | Нет |
| 36 | EOG-RM | Eog Resources | 21% | 34% | 47% | 8 815 | 44 077 | Нет | Нет |
| 37 | AIG-RM | American International Group | 21% | 34% | 47% | 12 561 | 62 806 | Нет | Нет |
| 38 | ICE-RM | Intercontinental Exchange | 14% | 23% | 32% | 5 749 | 28 749 | Нет | Нет |
| 39 | CTSH-RM | Cognizant Tech Sol | 17% | 27% | 39% | 8 869 | 44 349 | Нет | Нет |
| 40 | PGR-RM | Progressive Corp | 13% | 21% | 30% | 7 519 | 37 597 | Нет | Нет |
| 41 | IPG-RM | Interpublic Group of Companies | 17% | 27% | 39% | 17 708 | 88 540 | Нет | Нет |
| 42 | VLO-RM | Valero Energy Corp | 24% | 38% | 54% | 10 180 | 50 901 | Нет | Нет |
| 43 | DLTR-RM | Dollar Tree Inc | 22% | 35% | 50% | 8 143 | 40 719 | Нет | Нет |
| 44 | IP-RM | International Paper Company | 15% | 24% | 34% | 12 085 | 60 425 | Нет | Нет |
| 45 | FIS-RM | Fidelity National Information Services | 15% | 24% | 34% | 5 641 | 28 209 | Нет | Нет |
| 46 | FAST-RM | Fastenal Company | 15% | 24% | 34% | 12 726 | 63 631 | Нет | Нет |
| 47 | CAG-RM | Conagra Brands Inc | 16% | 26% | 36% | 20 644 | 103 221 | Нет | Нет |
| 48 | IFF-RM | International Flavors & Fragrances | 18% | 29% | 41% | 5 190 | 25 953 | Нет | Нет |
| 49 | PPL-RM | PPL Corp | 15% | 24% | 34% | 24 225 | 121 127 | Нет | Нет |
| 50 | PEG-RM | Public Service Enterprise Group Inc | 13% | 21% | 30% | 11 342 | 56 712 | Нет | Нет |
| 51 | TPR-RM | Tapestry Inc | 23% | 37% | 52% | 17 447 | 87 238 | Нет | Нет |
| 52 | CMS-RM | Cms Energy Corp | 13% | 21% | 30% | 11 331 | 56 656 | Нет | Нет |
| 53 | CNC-RM | Centene Corp | 18% | 29% | 41% | 10 959 | 54 798 | Нет | Нет |
| 54 | COG-RM | Cabot Oil & Gas Corp | 18% | 29% | 41% | 33 849 | 169 245 | Нет | Нет |
| 55 | HIG-RM | Hartford Financial Services Group | 23% | 37% | 52% | 9 920 | 49 602 | Нет | Нет |
| 56 | DHR-RM | Danaher Corp | 13% | 21% | 30% | 2 121 | 10 608 | Нет | Нет |
| 57 | XLNX-RM | Xilinx Inc | 19% | 31% | 43% | 4 378 | 21 892 | Нет | Нет |
| 58 | BAX-RM | Baxter International Inc | 14% | 23% | 32% | 8 515 | 42 578 | Нет | Нет |
| 59 | SWKS-RM | Skyworks Solutions | 20% | 32% | 45% | 3 987 | 19 938 | Нет | Нет |
| 60 | DAL-RM | Delta Air Lines Inc | 100% | 100% | 100% | 15 816 | 79 082 | Нет | Нет |
| 61 | WYNN-RM | Wynn Resorts Ltd | 100% | 100% | 100% | 8 307 | 41 535 | Нет | Нет |
| 62 | LYV-RM | Live Nation Entertainment | 100% | 100% | 100% | 7 423 | 37 119 | Нет | Нет |
| 63 | GIS-RM | General Mills | 13% | 21% | 30% | 11 372 | 56 862 | Нет | Нет |
| 64 | BBY-RM | Best Buy Company | 22% | 35% | 50% | 6 573 | 32 866 | Нет | Нет |
| 65 | FTV-RM | Fortive Corp | 17% | 27% | 39% | 9 397 | 46 989 | Нет | Нет |
| 66 | TAP-RM | Molson Coors Brewing Company | 17% | 27% | 39% | 14 803 | 74 015 | Нет | Нет |
| 67 | HOLX-RM | Hologic Inc | 17% | 27% | 39% | 9 002 | 45 011 | Нет | Нет |
| 68 | EW-RM | Edwards Lifesciences Corp | 17% | 27% | 39% | 5 734 | 28 670 | Нет | Нет |
| 69 | SYF-RM | Synchrony Financial | 28% | 45% | 63% | 13 706 | 68 533 | Нет | Нет |
| 70 | ETSY-RM | Etsy Inc | 28% | 45% | 63% | 3 089 | 15 447 | Нет | Нет |
| 71 | CERN-RM | Cerner Corp | 15% | 24% | 34% | 9 433 | 47 169 | Нет | Нет |
| 72 | HWM-RM | Howmet Aerospace Inc | 29% | 46% | 65% | 21 835 | 109 179 | Нет | Нет |
| 73 | JNPR-RM | Juniper Networks | 16% | 26% | 36% | 24 132 | 120 660 | Нет | Нет |
| 74 | HBI-RM | Hanesbrands Inc | 34% | 54% | 77% | 36 876 | 184 383 | Нет | Нет |
| 75 | NRG-RM | NRG Energy | 34% | 54% | 77% | 16 026 | 80 131 | Нет | Нет |
| 76 | DISH-RM | Dish Network Corp | 37% | 59% | 83% | 15 896 | 79 483 | Нет | Нет |
| 77 | PENN-RM | Penn Natl Gaming Inc | 63% | 80% | 95% | 9 092 | 45 462 | Нет | Нет |
| 78 | CZR-RM | Caesars Entertainment Inc | 55% | 80% | 95% | 6 128 | 30 640 | Нет | Нет |
| 79 | FE-RM | Firstenergy Corp | 14% | 23% | 32% | 18 693 | 93 468 | Нет | Нет |
| 80 | AEP-RM | American Electric Power Company | 13% | 21% | 30% | 8 391 | 41 955 | Нет | Нет |
- Сценарии, используемые в целях расчета обеспечения под стресс:
| № | Торговый код | Ценная бумага | Scen_UP | Scen_DOWN |
|---|---|---|---|---|
| 1 | AES-RM | The Aes Corp | 9% | 7% |
| 2 | CNP-RM | Centerpoint Energy Inc | 10% | 8% |
| 3 | HLT-RM | Hilton Inc | 8% | 6% |
| 4 | OTIS-RM | Otis Worldwide Corp | 7% | 5% |
| 5 | IR-RM | Ingersoll Rand Inc | 10% | 8% |
| 6 | MAR-RM | Marriot Int Cl A | 9% | 7% |
| 7 | HES-RM | Hess Corp | 8% | 6% |
| 8 | NOV-RM | Nov Inc | 9% | 7% |
| 9 | EXPE-RM | Expedia Group Inc | 12% | 10% |
| 10 | CARR-RM | Carrier Global Corp | 13% | 11% |
| 11 | BBWI-RM | Bath & Body Works, Inc | 8% | 6% |
| 12 | FANG-RM | Diamondback Energy | 7% | 5% |
| 13 | NI-RM | NiSource Inc | 10% | 8% |
| 14 | DUK-RM | Duke Energy Corp | 10% | 8% |
| 15 | CTVA-RM | Corteva Inc | 9% | 7% |
| 16 | PRU-RM | Prudential Financial Inc | 10% | 8% |
| 17 | UNM-RM | Unumprovident Corp | 10% | 8% |
| 18 | PXD-RM | Pioneer Natural Resources Company | 11% | 9% |
| 19 | TFC-RM | Truist Financial Corp | 10% | 8% |
| 20 | CFG-RM | Citizens Financial Group Inc/Ri | 5% | 3% |
| 21 | EXC-RM | Exelon Corp | 10% | 8% |
| 22 | XEL-RM | XCEL Energy Inc | 8% | 6% |
| 23 | ROST-RM | Ross Stores Inc | 10% | 8% |
| 24 | LEN-RM | Lennar Corp | 12% | 10% |
| 25 | NWL-RM | Newell Rubbermaid Inc | 11% | 9% |
| 26 | COF-RM | Capital One Financial Corp | 10% | 8% |
| 27 | FITB-RM | Fifth Third Bancorp | 9% | 7% |
| 28 | DFS-RM | Discover Financial Services | 13% | 11% |
| 29 | ADI-RM | Analog Devices | 9% | 7% |
| 30 | SO-RM | Southern Company | 8% | 6% |
| 31 | D-RM | Dominion Resources | 10% | 8% |
| 32 | PHM-RM | Pultegroup | 13% | 11% |
| 33 | CSX-RM | CSX Corp | 9% | 7% |
| 34 | BWA-RM | Borgwarner Inc | 9% | 7% |
| 35 | DXC-RM | Dxc Technology Company | 11% | 9% |
| 36 | EOG-RM | Eog Resources | 8% | 6% |
| 37 | AIG-RM | American International Group | 8% | 6% |
| 38 | ICE-RM | Intercontinental Exchange | 8% | 6% |
| 39 | CTSH-RM | Cognizant Tech Sol | 8% | 6% |
| 40 | PGR-RM | Progressive Corp | 8% | 6% |
| 41 | IPG-RM | Interpublic Group of Companies | 9% | 7% |
| 42 | VLO-RM | Valero Energy Corp | 7% | 5% |
| 43 | DLTR-RM | Dollar Tree Inc | 5% | 3% |
| 44 | IP-RM | International Paper Company | 9% | 7% |
| 45 | FIS-RM | Fidelity National Information Services | 8% | 6% |
| 46 | FAST-RM | Fastenal Company | 9% | 7% |
| 47 | CAG-RM | Conagra Brands Inc | 10% | 8% |
| 48 | IFF-RM | International Flavors & Fragrances | 7% | 5% |
| 49 | PPL-RM | PPL Corp | 9% | 7% |
| 50 | PEG-RM | Public Service Enterprise Group Inc | 9% | 7% |
| 51 | TPR-RM | Tapestry Inc | 9% | 7% |
| 52 | CMS-RM | Cms Energy Corp | 9% | 7% |
| 53 | CNC-RM | Centene Corp | 10% | 8% |
| 54 | COG-RM | Cabot Oil & Gas Corp | 9% | 7% |
| 55 | HIG-RM | Hartford Financial Services Group | 5% | 3% |
| 56 | DHR-RM | Danaher Corp | 8% | 6% |
| 57 | XLNX-RM | Xilinx Inc | 7% | 5% |
| 58 | BAX-RM | Baxter International Inc | 8% | 6% |
| 59 | SWKS-RM | Skyworks Solutions | 8% | 6% |
| 60 | DAL-RM | Delta Air Lines Inc | 0% | 0% |
| 61 | WYNN-RM | Wynn Resorts Ltd | 0% | 0% |
| 62 | LYV-RM | Live Nation Entertainment | 0% | 0% |
| 63 | GIS-RM | General Mills | 9% | 7% |
| 64 | BBY-RM | Best Buy Company | 9% | 7% |
| 65 | FTV-RM | Fortive Corp | 7% | 5% |
| 66 | TAP-RM | Molson Coors Brewing Company | 8% | 6% |
| 67 | HOLX-RM | Hologic Inc | 8% | 6% |
| 68 | EW-RM | Edwards Lifesciences Corp | 10% | 8% |
| 69 | SYF-RM | Synchrony Financial | 4% | 2% |
| 70 | ETSY-RM | Etsy Inc | 12% | 10% |
| 71 | CERN-RM | Cerner Corp | 7% | 5% |
| 72 | HWM-RM | Howmet Aerospace Inc | 6% | 4% |
| 73 | JNPR-RM | Juniper Networks | 8% | 6% |
| 74 | HBI-RM | Hanesbrands Inc | 0% | 0% |
| 75 | NRG-RM | NRG Energy | 0% | 0% |
| 76 | DISH-RM | Dish Network Corp | 0% | 0% |
| 77 | PENN-RM | Penn Natl Gaming Inc | 0% | 0% |
| 78 | CZR-RM | Caesars Entertainment Inc | 0% | 0% |
| 79 | FE-RM | Firstenergy Corp | 10% | 8% |
| 80 | AEP-RM | American Electric Power Company | 9% | 7% |