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29.10.2021 11:32

Risk parameters change on Securities and Derivatives market

  1. CCP NCC is changing the following risk parameters on Securities market starting from November 02, 2021:
№ Ticker 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 PIKK PIK ordinary shares 33% 50% 75% 25% 31% 38%
2 RASP Raspadskaya ordinary shares 25% 31% 38% 20% 26% 33%
3 RUAL RUSAL ordinary shares 20% 26% 33% 17% 23% 30%
4 SGZH Segezha ordinary shares 33% 50% 75% 25% 31% 38%

 

№ Ticker Description Current concentration limits, number of securities New concentration limits, number of securities
LK_1 LK_2 LK_1 LK_2
1 RUAL RUSAL ordinary shares 2 580 000 12 900 000 4 295 510 21 477 550
2 FLOT Sovkomflot ordinary shares 295 802 1 479 010 192 060 960 300
3 HYDR Rushydro ordinary shares 92 351 969 461 759 845 70 167 094 350 835 469
4 LKOH Lukoil ordinary shares 256 818 1 284 090 198 121 990 606
5 MOEX Moscow Exchange ordinary shares 1 559 260 7 796 300 1 285 441 6 427 205
6 OZON Ozon Holdings PLC ORD SHS depository receipts 73 298 366 490 55 943 279 713
7 TGKD Kvadra ordinary shares 2 212 389 381 11 061 946 905 1 407 558 590 7 037 792 948
8 TRNFP Transneft preference shares 339 1 695 265 1 325
  1. CCP NCC is changing the following risk parameters on Derivatives market starting from 7:00 pm on November 01, 2021:
№ Underlying asset Futures contract Current minimum margin rates New minimum margin rates
MR1 MR2 MR3 MR1 MR2 MR3
1 PIKK PIK ordinary shares futures 33% 50% 75% 25% 31% 38%

 

№ Underlying asset Futures contract Current concentration limits, number of securities New concentration limits, number of securities
LK1 LK2 LK1 LK2
1 HYDR Rushydro ordinary shares futures 92 351 969 461 759 845 70 167 094 350 835 469
2 LKOH Lukoil ordinary shares futures 256 818 1 284 090 198 121 990 606
3 MOEX Moscow Exchange ordinary shares futures 1 559 260 7 796 300 1 285 441 6 427 205
4 OZON Ozon Holdings PLC ORD SHS depository receipts futures 73 298 366 490 55 943 279 713
5 TRNF Transneft preference shares futures 339 1 695 265 1 325
6 TRNS 0.1 of Transneft preference share value futures 3 390 16 950 2 650 13 250
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