23.04.2021 14:58

Risk parameters change on Securities market and Derivatives market

CCP NCC is changing the following risk parameters on the Securities market and the Derivatives market starting from May 11, 2021.

Securities market

№	Ticker	New market risk rates, %			Current market risk rates, %			New concentration limits, number of securities		Current concentration limits, number of securities
№	Ticker	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min	LK1	LK2	LK1	LK2
1	SBER	14%	20%	27%	17%	21%	28%	12 316 650	61 583 250	18 217 800	91 089 000
2	GMKN	14%	20%	27%	17%	21%	28%	61 604	308 020	89 200	446 000
3	GAZP	14%	20%	27%	17%	21%	28%	8 781 586	43 907 930	9 686 739	48 433 695
4	LKOH	14%	20%	27%	17%	21%	28%	256 818	1 284 090	315 000	1 575 000
5	ROSN	14%	20%	27%	17%	21%	28%	1 419 670	7 098 350	1 303 242	6 516 210
6	YNDX	14%	20%	27%	17%	22%	32%	202 335	1 011 675	359 100	1 795 500
7	TATN	14%	20%	27%	17%	24%	37%	889 997	4 449 985	996 400	4 982 000
8	MGNT	14%	20%	27%	17%	24%	38%	86 383	431 915	103 100	515 500
9	POLY	14%	20%	27%	28%	38%	59%	297 244	1 486 220	262 500	1 312 500
10	NVTK	14%	20%	27%	17%	23%	34%	224 365	1 121 825	276 300	1 381 500
11	PLZL	14%	20%	27%	35%	49%	78%	28 441	142 205	60 400	302 000
12	ALRS	14%	20%	27%	17%	23%	34%	3 016 546	15 082 730	3 796 908	18 984 540
13	NLMK	14%	20%	27%	17%	24%	38%	1 000 635	5 003 175	1 194 300	5 971 500
14	CHMF	14%	20%	27%	17%	23%	36%	167 953	839 765	243 000	1 215 000
15	MAGN	14%	20%	27%	17%	23%	34%	3 348 359	16 741 795	2 836 465	14 182 325
16	MOEX	14%	20%	27%	17%	23%	31%	1 559 260	7 796 300	2 370 912	11 854 560
17	AFKS	29%	35%	42%	35%	49%	78%	5 975 432	29 877 160	9 215 200	46 076 000
18	SBERP	14%	20%	27%	17%	20%	27%	1 374 855	6 874 275	1 635 750	8 178 750
19	SNGS	14%	20%	27%	17%	23%	34%	7 118 828	35 594 140	8 997 900	44 989 500
20	MTSS	14%	20%	27%	17%	23%	34%	638 111	3 190 555	1 057 900	5 289 500
21	SNGSP	14%	20%	27%	17%	21%	28%	6 405 688	32 028 440	5 534 997	27 674 985
22	AFLT	14%	20%	27%	17%	23%	34%	3 816 618	19 083 090	5 114 300	25 571 500
23	VTBR	14%	20%	27%	17%	21%	28%	4 467 654 007	22 338 270 035	10 324 287 576	51 621 437 881
24	IRAO	16%	22%	29%	31%	44%	69%	40 501 069	202 505 345	62 918 300	314 591 500
25	RUAL	50%	75%	95%	35%	49%	78%	2 659 447	13 297 235	840 000	4 200 000
26	SIBN	17%	23%	30%	35%	49%	78%	274 725	1 373 625	450 200	2 251 000
27	TATNP	17%	23%	30%	35%	49%	78%	175 745	878 725	173 000	865 000
28	HYDR	17%	23%	30%	17%	23%	36%	121 991 354	609 956 770	246 923 000	1 234 615 000
29	PHOR	17%	23%	30%	35%	49%	78%	12 768	63 840	16 400	82 000
30	CBOM	33%	50%	75%	36%	51%	80%	10 142 774	50 713 870	13 149 600	65 748 000
31	DSKY	50%	75%	95%	50%	71%	95%	547 261	2 736 305	1 048 300	5 241 500
32	RTKM	20%	26%	33%	20%	30%	42%	455 878	2 279 390	696 186	3 480 930
33	MVID	20%	26%	33%	50%	71%	95%	53 225	266 125	57 900	289 500
34	RSTI	17%	23%	30%	18%	27%	44%	37 214 727	186 073 635	106 465 544	532 327 720
35	UPRO	20%	26%	33%	35%	50%	60%	12 926 153	64 630 765	18 342 900	91 714 500
36	FEES	17%	23%	30%	18%	27%	44%	249 707 474	1 248 537 370	531 002 900	2 655 014 500
37	TRNFP	20%	26%	33%	17%	23%	36%	339	1 695	772	3 860
38	MTLR	70%	80%	95%	70%	80%	90%	336 421	1 682 105	370 960	1 854 800
39	PIKK	50%	75%	95%	35%	49%	78%	27 305	136 525	34 668	173 340
40	RASP	25%	31%	38%	50%	60%	70%	73 780	368 900	130 100	650 500
41	LSRG	50%	75%	95%	50%	71%	95%	26 891	134 455	29 100	145 500
42	BANEP	25%	31%	38%	35%	49%	78%	17 752	88 760	23 200	116 000
43	TRMK	70%	80%	95%	50%	71%	95%	108 696	543 480	273 600	1 368 000
44	ENRU	25%	31%	38%	35%	49%	78%	17 752 454	88 762 270	10 005 303	50 026 515
45	OGKB	33%	50%	75%	35%	49%	78%	14 372 600	71 863 000	48 326 700	241 633 500
46	UWGN	70%	80%	95%	50%	71%	95%	91 241	456 205	48 400	242 000
47	NMTP	33%	50%	75%	50%	71%	95%	1 336 388	6 681 940	1 440 619	7 203 095
48	GCHE	50%	75%	95%	50%	71%	95%	4 524	22 620	5 300	26 500
49	TGKA	33%	50%	75%	35%	49%	78%	833 333 333	4 166 666 665	1 577 967 300	7 889 836 500
50	MTLRP	70%	80%	95%	70%	80%	90%	125 549	627 745	152 500	762 500
51	RTKMP	33%	50%	75%	35%	49%	78%	111 111	555 555	176 302	881 510
52	BSPB	33%	50%	75%	35%	49%	78%	155 618	778 090	233 600	1 168 000
53	VSMO	33%	50%	75%	50%	71%	95%	407	2 035	626	3 130
54	LSNGP	33%	50%	75%	50%	71%	95%	62 035	310 175	65 700	328 500
55	MSNG	33%	50%	75%	35%	49%	78%	4 394 639	21 973 195	7 154 920	35 774 600
56	BANE	33%	50%	75%	35%	49%	78%	6 250	31 250	6 000	30 000
57	MRKP	33%	50%	75%	50%	71%	95%	39 154 268	195 771 340	45 351 500	226 757 500
58	SELG	33%	50%	75%	50%	71%	95%	224 115	1 120 575	333 600	1 668 000
59	NKNCP	33%	50%	75%	50%	71%	95%	133 869	669 345	117 000	585 000
60	AKRN	33%	50%	75%	50%	71%	95%	1 639	8 195	3 010	15 050
61	MSRS	50%	75%	95%	50%	71%	95%	8 467 401	42 337 005	8 549 000	42 745 000
62	MRKC	50%	75%	95%	50%	71%	95%	25 601 639	128 008 195	33 700 700	168 503 500
63	APTK	70%	80%	95%	70%	80%	95%	733 676	3 668 380	735 600	3 678 000
64	SVAV	70%	80%	95%	70%	80%	95%	41 408	207 040	34 500	172 500
65	LSNG	50%	75%	95%	50%	71%	95%	1 697 793	8 488 965	1 861 120	9 305 600
66	KZOS	50%	75%	95%	70%	80%	95%	116 009	580 045	122 000	610 000
67	TGKD	50%	75%	95%	50%	71%	95%	2 212 389 381	11 061 946 905	2 710 027 100	13 550 135 500
68	RSTIP	50%	75%	95%	50%	71%	95%	4 889 976	24 449 880	4 525 214	22 626 070
69	UNAC	50%	75%	95%	35%	49%	78%	17 361 111	86 805 555	23 730 400	118 652 000
70	NKNC	50%	75%	95%	70%	80%	95%	114 155	570 775	112 400	562 000
71	TGKB	50%	75%	95%	70%	80%	95%	2 421 307 506	12 106 537 530	2 481 389 600	12 406 948 000
72	MRKV	50%	75%	95%	50%	71%	95%	157 109 191	785 545 955	143 857 983	719 289 915
73	IRGZ	70%	80%	95%	50%	71%	95%	892 857	4 464 285	862 300	4 311 500
74	FLOT	20%	26%	33%	35%	55%	78%	295 802	1 479 010	453 700	2 268 500
75	GLTR	25%	31%	38%	35%	55%	78%	33 096	165 480	22 500	112 500
76	HHRU	70%	80%	95%	50%	71%	95%	3 539	17 695	15 800	79 000
77	MAIL	14%	20%	27%	35%	49%	78%	131 515	657 575	83 900	419 500
78	OZON	70%	80%	95%	70%	80%	95%	33 995	169 975	107 200	536 000
79	POGR	50%	75%	95%	50%	71%	95%	1 485 627	7 428 135	5 800 200	29 001 000
80	TCSG	21%	27%	34%	35%	49%	78%	45 257	226 285	45 000	225 000
81	FIVE	14%	20%	27%	35%	49%	78%	62 854	314 270	49 100	245 500
82	QIWI	50%	75%	95%	35%	49%	78%	34 583	172 915	12 700	63 500
83	AGRO	50%	75%	95%	50%	71%	95%	20 401	102 005	16 483	82 415
84	LNTA	50%	75%	95%	50%	60%	70%	77 803	389 015	151 200	756 000
85	ETLN	70%	80%	95%	50%	71%	95%	78 852	394 260	88 900	444 500

Derivatives market

№	Ticker	New market risk rates, %			Current market risk rates, %			New concentration limits, number of securities		Current concentration limits, number of securities
№	Ticker	S_1_min	S_2_min	S_3_min	S_1_min	S_2_min	S_3_min	LK1	LK2	LK1	LK2
1	AFKS	29%	35%	42%	35%	49%	78%	5 975 432	29 877 160	9 215 200	46 076 000
2	AFLT	14%	20%	27%	17%	23%	34%	3 816 618	19 083 090	5 114 300	25 571 500
3	ALRS	14%	20%	27%	17%	23%	34%	3 016 546	15 082 730	3 796 908	18 984 540
4	CHMF	14%	20%	27%	17%	23%	36%	167 953	839 765	243 000	1 215 000
5	FEES	17%	23%	30%	18%	27%	44%	249 707 474	1 248 537 370	531 002 900	2 655 014 500
6	FIVE	14%	20%	27%	35%	49%	78%	62 854	314 270	49 100	245 500
7	GAZR	14%	20%	27%	17%	21%	28%	8 781 586	43 907 930	9 686 739	48 433 695
8	GMKN	14%	20%	27%	17%	21%	28%	61 604	308 020	89 200	446 000
9	HYDR	17%	23%	30%	17%	23%	36%	121 991 354	609 956 770	246 923 000	1 234 615 000
10	IRAO	16%	22%	29%	31%	44%	69%	40 501 069	202 505 345	62 918 300	314 591 500
11	LKOH	14%	20%	27%	17%	21%	28%	256 818	1 284 090	315 000	1 575 000
12	MAGN	14%	20%	27%	17%	23%	34%	3 348 359	16 741 795	2 836 465	14 182 325
13	MAIL	14%	20%	27%	35%	49%	78%	131 515	657 575	83 900	419 500
14	MGNT	14%	20%	27%	17%	24%	38%	86 383	431 915	103 100	515 500
15	MOEX	14%	20%	27%	17%	23%	31%	1 559 260	7 796 300	2 370 912	11 854 560
16	MTSI	14%	20%	27%	17%	23%	34%	638 111	3 190 555	1 057 900	5 289 500
17	NLMK	14%	20%	27%	17%	24%	38%	1 000 635	5 003 175	1 194 300	5 971 500
18	NOTK	14%	20%	27%	17%	23%	34%	224 365	1 121 825	276 300	1 381 500
19	OZON	70%	80%	95%	70%	80%	95%	33 995	169 975	107 200	536 000
20	PLZL	14%	20%	27%	35%	49%	78%	28 441	142 205	60 400	302 000
21	POLY	14%	20%	27%	28%	38%	59%	297 244	1 486 220	262 500	1 312 500
22	ROSN	14%	20%	27%	17%	21%	28%	1 419 670	7 098 350	1 303 242	6 516 210
23	RTKM	20%	26%	33%	20%	30%	42%	455 878	2 279 390	696 186	3 480 930
24	SBPR	14%	20%	27%	17%	20%	27%	1 374 855	6 874 275	1 635 750	8 178 750
25	SBRF	14%	20%	27%	17%	21%	28%	12 316 650	61 583 250	18 217 800	91 089 000
26	SNGP	14%	20%	27%	17%	21%	28%	6 405 688	32 028 440	5 534 997	27 674 985
27	SNGR	14%	20%	27%	17%	23%	34%	7 118 828	35 594 140	8 997 900	44 989 500
28	TATN	14%	20%	27%	17%	24%	37%	889 997	4 449 985	996 400	4 982 000
29	TCSI	21%	27%	34%	35%	49%	78%	45 257	226 285	45 000	225 000
30	TRNF	20%	26%	33%	17%	23%	36%	339	1 695	772	3 860
31	TRNS	20%	26%	33%	17%	23%	36%	3 390	16 950	7 720	38 600
32	VTBR	14%	20%	27%	17%	21%	28%	4 467 654 007	22 338 270 035	10 324 287 576	51 621 437 881
33	YNDF	14%	20%	27%	17%	22%	32%	202 335	1 011 675	359 100	1 795 500

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11.05.2021