01.10.2020 12:11
Risk parameters change on Securities, Derivatives, FX and precious metals market
CCP NCC sets the following risk parameters
1. on Securities market starting from October 6, 2020:
№ | Underlying | Current concentration limits, pc. | New concentration limits, pc. | ||
---|---|---|---|---|---|
1st level | 2nd level | 1st level | 2nd level | ||
1 | SBER | 19 079 658 | 57 409 190 | 18 217 800 | 91 089 000 |
2 | GMKN | 40 908 | 204 540 | 89 200 | 446 000 |
3 | YNDX | 11 329 | 56 645 | 359 100 | 1 795 500 |
4 | LKOH | 162 387 | 811 935 | 315 000 | 1 575 000 |
5 | PLZL | 2 232 | 11 160 | 60 400 | 302 000 |
6 | MGNT | 29 067 | 145 335 | 103 100 | 515 500 |
7 | TATN | 395 105 | 1 975 525 | 996 400 | 4 982 000 |
8 | AFLT | 734 224 | 3 671 120 | 5 114 300 | 25 571 500 |
9 | POLY | 28 799 | 143 995 | 262 500 | 1 312 500 |
10 | MTSS | 481 130 | 2 405 650 | 1 057 900 | 5 289 500 |
11 | IRAO | 33 215 142 | 166 075 710 | 62 918 300 | 314 591 500 |
12 | SBERP | 1 035 408 | 5 177 040 | 1 635 750 | 8 178 750 |
13 | VTBR | 2 538 680 697 | 12 693 403 485 | 10 324 287 576 | 51 621 437 881 |
14 | SNGS | 3 004 592 | 15 022 960 | 8 997 900 | 44 989 500 |
15 | NVTK | 201 480 | 1 007 400 | 276 300 | 1 381 500 |
16 | CHMF | 160 799 | 803 995 | 243 000 | 1 215 000 |
17 | NLMK | 1 007 496 | 5 037 480 | 1 194 300 | 5 971 500 |
18 | POGR | 1 265 000 | 6 325 000 | 5 800 200 | 29 001 000 |
19 | HYDR | 191 286 365 | 956 431 825 | 246 923 000 | 1 234 615 000 |
20 | AFKS | 5 617 556 | 28 087 780 | 9 215 200 | 46 076 000 |
21 | 9 700 | 48 500 | 83 900 | 419 500 | |
22 | SIBN | 51 780 | 258 900 | 450 200 | 2 251 000 |
23 | FIVE | 29 500 | 147 500 | 49 100 | 245 500 |
24 | DSKY | 118 828 | 594 140 | 1 048 300 | 5 241 500 |
25 | FEES | 1 589 223 344 | 7 946 116 720 | 531 002 900 | 2 655 014 500 |
26 | TCSG | 17 100 | 85 500 | 45 000 | 225 000 |
27 | TATNP | 39 781 | 198 905 | 173 000 | 865 000 |
28 | CBOM | 2 263 109 | 11 315 545 | 13 149 600 | 65 748 000 |
29 | UPRO | 7 327 755 | 36 638 775 | 18 342 900 | 91 714 500 |
30 | PHOR | 11 336 | 56 680 | 16 400 | 82 000 |
31 | MVID | 168 106 | 840 530 | 57 900 | 289 500 |
32 | OGKB | 28 291 808 | 141 459 040 | 48 326 700 | 241 633 500 |
33 | LNTA | 27 041 | 135 205 | 151 200 | 756 000 |
34 | BANEP | 10 630 | 53 150 | 23 200 | 116 000 |
35 | LSRG | 11 177 | 55 885 | 29 100 | 145 500 |
36 | TRMK | 171 608 | 858 040 | 273 600 | 1 368 000 |
37 | TGKA | 767 271 276 | 3 836 356 380 | 1 577 967 300 | 7 889 836 500 |
38 | RASP | 1 097 692 | 5 488 460 | 130 100 | 650 500 |
39 | SELG | 1 083 999 | 5 419 995 | 333 600 | 1 668 000 |
40 | ETLN | 71 000 | 364 600 | 88 900 | 444 500 |
41 | MTLRP | 120 208 | 601 040 | 152 500 | 762 500 |
42 | NKNCP | 434 633 | 2 173 165 | 117 000 | 585 000 |
43 | LSNGP | 58 771 | 293 855 | 65 700 | 328 500 |
44 | BSPB | 156 701 | 783 505 | 233 600 | 1 168 000 |
45 | BANE | 3 107 | 15 535 | 6 000 | 30 000 |
46 | APTK | 1 431 434 | 7 157 170 | 735 600 | 3 678 000 |
47 | MRKP | 56 367 562 | 281 837 810 | 45 351 500 | 226 757 500 |
48 | TGKB | 5 783 355 503 | 28 916 777 515 | 2 481 389 600 | 12 406 948 000 |
49 | NKNC | 195 034 | 975 170 | 112 400 | 562 000 |
50 | GCHE | 8 870 | 44 350 | 5 300 | 26 500 |
51 | MRKC | 23 268 260 | 116 341 300 | 33 700 700 | 168 503 500 |
52 | MSRS | 10 167 975 | 50 839 875 | 8 549 000 | 42 745 000 |
53 | SVAV | 18 027 | 90 135 | 34 500 | 172 500 |
54 | UNAC | 13 376 012 | 66 880 060 | 23 730 400 | 118 652 000 |
55 | MSTT | 89 094 | 445 470 | 61 900 | 309 500 |
56 | KZOS | 152 287 | 761 435 | 122 000 | 610 000 |
57 | IRGZ | 528 541 | 2 642 705 | 862 300 | 4 311 500 |
58 | TGKD | 3 397 316 120 | 16 986 580 600 | 2 710 027 100 | 13 550 135 500 |
59 | UWGN | 13 743 | 68 715 | 48 400 | 242 000 |
2. on Derivatives market starting from 7:00 pm on October 5, 2020:
№ | Underlying | Futures contract | Current market risk rates | New Market risk rates | ||||
MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | |||
1 | GOLD | on Gold | 10% | 13% | 18% | 6% | 9% | 14% |
2 | SILV | on Silver | 16% | 21% | 29% | 14% | 19% | 27% |
3 | GLD | Deliverable futures contract on gold | 12% | 18% | 25% | 8% | 14% | 21% |
4 | SLV | Deliverable futures contract on silver | 18% | 24% | 31% | 16% | 22% | 29% |
3. on FX and precious metals market starting from October 6, 2020:
№ | Underlying | Description | Current market risk rates | New market risk rates | ||||
---|---|---|---|---|---|---|---|---|
S_1_min | S_2_min | S_3_min | S_1_min | S_2_min | S_3_min | |||
1 | GLD | Gold | 12% | 18% | 25% | 8% | 14% | 21% |
2 | SLV | Silver | 18% | 24% | 31% | 16% | 22% | 29% |
3 | HKD | Hong Kong dollar | 30% | 32% | 34% | 6% | 8% | 10% |
Asset | Description | New attribute for ban on short selling | New eligible collateral | |
---|---|---|---|---|
HKD | Hong Kong dollar | No | Yes |
Hong Kong dollars will be included into inter-product spread groups.
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