26.08.2021 19:45
О значениях риск-параметров новых иностранных акций
Решением НКО НКЦ (АО) с 1 сентября 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 | MSCI-RM | MSCI Inc | 16% | 25% | 35% | 1 076 | 5 380 | Нет | Нет |
| 2 | KMI-RM | Kinder Morgan | 19% | 31% | 43% | 41 025 | 205 125 | Нет | Нет |
| 3 | FNKO-RM | Funko Inc | 29% | 46% | 65% | 33 219 | 166 095 | Нет | Нет |
| 4 | PBF-RM | PBF Energy Inc Company | 39% | 61% | 86% | 69 017 | 345 085 | Нет | Нет |
| 5 | CLF-RM | Cleveland-Cliffs | 40% | 63% | 89% | 27 455 | 137 275 | Нет | Нет |
| 6 | PINS-RM | Pinterest Inc | 20% | 31% | 44% | 12 029 | 60 145 | Нет | Нет |
| 7 | BILI-RM | Bilibili Inc | 26% | 41% | 57% | 8 486 | 42 430 | Нет | Нет |
| 8 | SEDG-RM | SolarEdge Technologies Inc | 26% | 41% | 58% | 2 401 | 12 005 | Нет | Нет |
| 9 | KLAC-RM | KLA Corp | 17% | 27% | 38% | 2 023 | 10 115 | Нет | Нет |
| 10 | LTHM-RM | Livent Corp | 29% | 46% | 65% | 26 654 | 133 270 | Нет | Нет |
| 11 | KEY-RM | KeyCorp | 19% | 29% | 41% | 32 407 | 162 035 | Нет | Нет |
| 12 | DVN-RM | Devon Energy Corp | 24% | 37% | 53% | 23 108 | 115 540 | Нет | Нет |
| 13 | RF-RM | Regions Financial Corp | 20% | 31% | 44% | 32 283 | 161 415 | Нет | Нет |
| 14 | AFL-RM | Aflac Inc | 16% | 25% | 35% | 11 831 | 59 155 | Нет | Нет |
| 15 | NVR-RM | NVR | 17% | 26% | 37% | 130 | 650 | Нет | Нет |
| 16 | ED-RM | Consolidated Edison | 13% | 20% | 28% | 8 977 | 44 885 | Нет | Нет |
| 17 | ROP-RM | Roper Technologies | 14% | 22% | 31% | 1 409 | 7 045 | Нет | Нет |
| 18 | DOV-RM | Dover Corp | 14% | 22% | 31% | 3 873 | 19 365 | Нет | Нет |
| 19 | TROW-RM | T Rowe Price Group Inc | 14% | 22% | 31% | 3 081 | 15 405 | Нет | Нет |
| 20 | AIZ-RM | ASSURANT INC | 15% | 23% | 32% | 4 003 | 20 015 | Нет | Нет |
| 21 | GWW-RM | WW Grainger | 15% | 23% | 33% | 1 550 | 7 750 | Нет | Нет |
| 22 | GPC-RM | Genuine Parts | 15% | 23% | 33% | 5 417 | 27 085 | Нет | Нет |
| 23 | ANSS-RM | ANSYS INC | 15% | 24% | 34% | 1 847 | 9 235 | Нет | Нет |
| 24 | CINF-RM | Cincinnati Financial Corp | 15% | 24% | 34% | 5 411 | 27 055 | Нет | Нет |
| 25 | CTAS-RM | Cintas Corporation | 15% | 24% | 34% | 1 723 | 8 615 | Нет | Нет |
| 26 | MKC-RM | McCormick & Company | 13% | 21% | 29% | 7 897 | 39 485 | Нет | Нет |
| 27 | ADP-RM | Automatic Data Processing Inc | 13% | 21% | 30% | 3 245 | 16 225 | Нет | Нет |
| 28 | JPM-RM | JPMorgan Chase & Co | 16% | 25% | 35% | 4 199 | 20 995 | Нет | Нет |
| 29 | WMB-RM | Williams Comp | 23% | 36% | 51% | 27 478 | 137 390 | Нет | Нет |
| 30 | SHW-RM | Sherwin-Williams | 14% | 22% | 31% | 2 232 | 11 160 | Нет | Нет |
| 31 | VFC-RM | VF Corp | 17% | 26% | 37% | 8 768 | 43 840 | Нет | Нет |
| 32 | APD-RM | Air Products & Chemicals | 15% | 23% | 32% | 2 510 | 12 550 | Нет | Нет |
| 33 | LEG-RM | Leggett & Platt | 18% | 28% | 40% | 13 728 | 68 640 | Нет | Нет |
| 34 | TDY-RM | Teledyne Technologies | 16% | 25% | 35% | 1 475 | 7 375 | Нет | Нет |
| 35 | GD-RM | General Dynamics | 13% | 20% | 28% | 3 390 | 16 950 | Нет | Нет |
| 36 | ITW-RM | Illinois Tool Works | 13% | 20% | 29% | 2 930 | 14 650 | Нет | Нет |
| 37 | MO-RM | Altria Group | 13% | 21% | 29% | 13 889 | 69 445 | Нет | Нет |
| 38 | BDX-RM | Becton Dickinson and Co | 13% | 21% | 30% | 2 736 | 13 680 | Нет | Нет |
| 39 | EXPD-RM | Expeditors International | 13% | 20% | 28% | 5 443 | 27 215 | Нет | Нет |
| 40 | CAH-RM | Cardinal Health | 16% | 25% | 35% | 13 051 | 65 255 | Нет | Нет |
| 41 | J-RM | JACOBS ENGINEERING GROUP INC | 15% | 24% | 34% | 4 991 | 24 955 | Нет | Нет |
| 42 | REGI-RM | Renewable Energy Group | 24% | 38% | 54% | 13 199 | 65 995 | Нет | Нет |
| 43 | HBAN-RM | Huntington Bancshares Inc/OH | 19% | 30% | 43% | 43 174 | 215 870 | Нет | Нет |
| 44 | ADM-RM | Archer Daniels Midland | 14% | 21% | 30% | 11 205 | 56 025 | Нет | Нет |
| 45 | FFIV-RM | F5 NETWORKS INC | 17% | 27% | 38% | 3 282 | 16 410 | Нет | Нет |
| 46 | TSM-RM | Taiwan Semiconductor Manufacturing | 14% | 23% | 32% | 5 774 | 28 870 | Нет | Нет |
| 47 | WBA-RM | Walgreens Boots Alliance | 18% | 28% | 39% | 13 889 | 69 445 | Нет | Нет |
| 48 | PBCT-RM | People's United Financial Inc | 25% | 39% | 55% | 41 000 | 205 000 | Нет | Нет |
| 49 | PPG-RM | PPG Industries | 15% | 23% | 33% | 4 135 | 20 675 | Нет | Нет |
| 50 | WST-RM | West Pharmaceutical Services I | 15% | 23% | 33% | 1 520 | 7 600 | Нет | Нет |
| 51 | AOS-RM | A O Smith Corp | 14% | 22% | 31% | 9 352 | 46 760 | Нет | Нет |
| 52 | HOOD-RM | Robinhood Markets, Inc. | 100% | 100% | 100% | 13 795 | 68 975 | Нет | Нет |
| 53 | BEN-RM | Franklin Resources Inc | 17% | 27% | 39% | 20 764 | 103 820 | Нет | Нет |
| 54 | ALB-RM | Albemarle Corp | 21% | 33% | 46% | 2 885 | 14 425 | Нет | Нет |
| 55 | PAYC-RM | PAYCOM SOFTWARE INC | 21% | 33% | 47% | 1 396 | 6 980 | Нет | Нет |
| 56 | KMB-RM | Kimberly-Clark Corp | 13% | 21% | 29% | 4 978 | 24 890 | Нет | Нет |
| 57 | VMC-RM | Vulcan Materials | 16% | 26% | 36% | 3 564 | 17 820 | Нет | Нет |
| 58 | HRL-RM | Hormel Foods | 13% | 21% | 30% | 14 899 | 74 495 | Нет | Нет |
| 59 | ENPH-RM | Enphase Energy Inc | 42% | 67% | 95% | 3 908 | 19 540 | Нет | Нет |
| 60 | NWS-RM | News Corp | 18% | 28% | 40% | 30 726 | 153 630 | Нет | Нет |
| 61 | CLX-RM | Clorox Company | 15% | 23% | 33% | 4 099 | 20 495 | Нет | Нет |
| 62 | TYL-RM | TYLER TECHNOLOGIES INC | 16% | 25% | 35% | 1 420 | 7 100 | Нет | Нет |
| 63 | ABMD-RM | ABIOMED INC | 22% | 36% | 50% | 1 887 | 9 435 | Нет | Нет |
| 64 | QDEL-RM | Quidel Corporation | 34% | 54% | 76% | 5 569 | 27 845 | Нет | Нет |
| 65 | SYY-RM | Sysco | 32% | 50% | 71% | 8 537 | 42 685 | Нет | Нет |
| 66 | BFB-RM | Brown Forman Corp | 13% | 21% | 30% | 9 737 | 48 685 | Нет | Нет |
| 67 | FSLR-RM | First Solar Inc | 24% | 37% | 53% | 7 216 | 36 080 | Нет | Нет |
| 68 | OSUR-RM | OraSure Technologies Inc | 40% | 63% | 89% | 63 088 | 315 440 | Нет | Нет |
| 69 | BYND-RM | Beyond Meat Inc | 100% | 100% | 100% | 5 524 | 27 620 | Нет | Нет |
| 70 | TDOC-RM | Teladoc Inc | 44% | 70% | 99% | 4 671 | 23 355 | Нет | Нет |
| 71 | FSLY-RM | Fastly Inc | 100% | 100% | 100% | 15 249 | 76 245 | Нет | Нет |
| 72 | SRPT-RM | Sarepta Therapeutics Inc | 100% | 100% | 100% | 8 452 | 42 260 | Нет | Нет |
| 73 | ACAD-RM | ACADIA Pharmaceuticals Inc | 100% | 100% | 100% | 39 329 | 196 645 | Нет | Нет |
| 74 | PLUG-RM | Plug Power Inc | 100% | 100% | 100% | 25 584 | 127 920 | Нет | Нет |
| 75 | HRTX-RM | Heron Therapeuti | 100% | 100% | 100% | 58 048 | 290 240 | Нет | Нет |
| 76 | ATO-RM | Atmos Energy Corp | 12% | 19% | 27% | 6 931 | 34 655 | Нет | Нет |
| 77 | XPEV-RM | Xpeng Inc | 100% | 100% | 100% | 16 532 | 82 660 | Нет | Нет |
- Сценарии, используемые в целях расчета обеспечения под стресс:
| № | Торговый код | Ценная бумага | Scen_UP | Scen_DOWN |
|---|---|---|---|---|
| 1 | MSCI-RM | MSCI Inc | 7.00% | 5.00% |
| 2 | KMI-RM | Kinder Morgan | 8.00% | 6.00% |
| 3 | FNKO-RM | Funko Inc | 11.00% | 9.00% |
| 4 | PBF-RM | PBF Energy Inc Company | 0.00% | 0.00% |
| 5 | CLF-RM | Cleveland-Cliffs | 0.00% | 0.00% |
| 6 | PINS-RM | Pinterest Inc | 20.00% | 18.00% |
| 7 | BILI-RM | Bilibili Inc | 7.00% | 5.00% |
| 8 | SEDG-RM | SolarEdge Technologies Inc | 11.00% | 9.00% |
| 9 | KLAC-RM | KLA Corp | 9.00% | 7.00% |
| 10 | LTHM-RM | Livent Corp | 8.00% | 6.00% |
| 11 | KEY-RM | KeyCorp | 9.00% | 7.00% |
| 12 | DVN-RM | Devon Energy Corp | 9.00% | 7.00% |
| 13 | RF-RM | Regions Financial Corp | 8.00% | 6.00% |
| 14 | AFL-RM | Aflac Inc | 11.00% | 9.00% |
| 15 | NVR-RM | NVR | 11.00% | 9.00% |
| 16 | ED-RM | Consolidated Edison | 9.00% | 7.00% |
| 17 | ROP-RM | Roper Technologies | 8.00% | 6.00% |
| 18 | DOV-RM | Dover Corp | 10.00% | 8.00% |
| 19 | TROW-RM | T Rowe Price Group Inc | 10.00% | 8.00% |
| 20 | AIZ-RM | ASSURANT INC | 8.00% | 6.00% |
| 21 | GWW-RM | WW Grainger | 10.00% | 8.00% |
| 22 | GPC-RM | Genuine Parts | 9.00% | 7.00% |
| 23 | ANSS-RM | ANSYS INC | 7.00% | 5.00% |
| 24 | CINF-RM | Cincinnati Financial Corp | 8.00% | 6.00% |
| 25 | CTAS-RM | Cintas Corporation | 8.00% | 6.00% |
| 26 | MKC-RM | McCormick & Company | 8.00% | 6.00% |
| 27 | ADP-RM | Automatic Data Processing Inc | 8.00% | 6.00% |
| 28 | JPM-RM | JPMorgan Chase & Co | 9.00% | 7.00% |
| 29 | WMB-RM | Williams Comp | 11.00% | 9.00% |
| 30 | SHW-RM | Sherwin-Williams | 9.00% | 7.00% |
| 31 | VFC-RM | VF Corp | 9.00% | 7.00% |
| 32 | APD-RM | Air Products & Chemicals | 7.00% | 5.00% |
| 33 | LEG-RM | Leggett & Platt | 9.00% | 7.00% |
| 34 | TDY-RM | Teledyne Technologies | 9.00% | 7.00% |
| 35 | GD-RM | General Dynamics | 9.00% | 7.00% |
| 36 | ITW-RM | Illinois Tool Works | 9.00% | 7.00% |
| 37 | MO-RM | Altria Group | 8.00% | 6.00% |
| 38 | BDX-RM | Becton Dickinson and Co | 7.00% | 5.00% |
| 39 | EXPD-RM | Expeditors International | 9.00% | 7.00% |
| 40 | CAH-RM | Cardinal Health | 8.00% | 6.00% |
| 41 | J-RM | JACOBS ENGINEERING GROUP INC | 8.00% | 6.00% |
| 42 | REGI-RM | Renewable Energy Group | 13.00% | 11.00% |
| 43 | HBAN-RM | Huntington Bancshares Inc/OH | 7.00% | 5.00% |
| 44 | ADM-RM | Archer Daniels Midland | 8.00% | 6.00% |
| 45 | FFIV-RM | F5 NETWORKS INC | 7.00% | 5.00% |
| 46 | TSM-RM | Taiwan Semiconductor Manufacturing | 7.00% | 5.00% |
| 47 | WBA-RM | Walgreens Boots Alliance | 6.00% | 4.00% |
| 48 | PBCT-RM | People's United Financial Inc | 1.00% | 0.00% |
| 49 | PPG-RM | PPG Industries | 8.00% | 6.00% |
| 50 | WST-RM | West Pharmaceutical Services I | 8.00% | 6.00% |
| 51 | AOS-RM | A O Smith Corp | 8.00% | 6.00% |
| 52 | HOOD-RM | Robinhood Markets, Inc. | 0.00% | 0.00% |
| 53 | BEN-RM | Franklin Resources Inc | 8.00% | 6.00% |
| 54 | ALB-RM | Albemarle Corp | 6.00% | 4.00% |
| 55 | PAYC-RM | PAYCOM SOFTWARE INC | 10.00% | 8.00% |
| 56 | KMB-RM | Kimberly-Clark Corp | 7.00% | 5.00% |
| 57 | VMC-RM | Vulcan Materials | 10.00% | 8.00% |
| 58 | HRL-RM | Hormel Foods | 7.00% | 5.00% |
| 59 | ENPH-RM | Enphase Energy Inc | 4.00% | 2.00% |
| 60 | NWS-RM | News Corp | 7.00% | 5.00% |
| 61 | CLX-RM | Clorox Company | 6.00% | 4.00% |
| 62 | TYL-RM | TYLER TECHNOLOGIES INC | 9.00% | 7.00% |
| 63 | ABMD-RM | ABIOMED INC | 13.00% | 11.00% |
| 64 | QDEL-RM | Quidel Corporation | 2.00% | 0.00% |
| 65 | SYY-RM | Sysco | 0.00% | 0.00% |
| 66 | BFB-RM | Brown Forman Corp | 9.00% | 7.00% |
| 67 | FSLR-RM | First Solar Inc | 9.00% | 7.00% |
| 68 | OSUR-RM | OraSure Technologies Inc | 0.00% | 0.00% |
| 69 | BYND-RM | Beyond Meat Inc | 0.00% | 0.00% |
| 70 | TDOC-RM | Teladoc Inc | 0.00% | 0.00% |
| 71 | FSLY-RM | Fastly Inc | 0.00% | 0.00% |
| 72 | SRPT-RM | Sarepta Therapeutics Inc | 0.00% | 0.00% |
| 73 | ACAD-RM | ACADIA Pharmaceuticals Inc | 0.00% | 0.00% |
| 74 | PLUG-RM | Plug Power Inc | 0.00% | 0.00% |
| 75 | HRTX-RM | Heron Therapeuti | 0.00% | 0.00% |
| 76 | ATO-RM | Atmos Energy Corp | 9.00% | 7.00% |
| 77 | XPEV-RM | Xpeng Inc | 0.00% | 0.00% |