09.12.2021 12:23
Risk parameters change on Securities market
CCP NCC is changing risk parameters on Securities market starting from December 15, 2021:
| № | Ticker | Current market risk rates, % | New market risk rates, % | ||||
|---|---|---|---|---|---|---|---|
| S1_min | S2_min | S3_min | S1_min | S2_min | S3_min | ||
| 1 | RU000A0JR5F7 | 16% | 19% | 22% | 7% | 10% | 13% |
| 2 | RU000A0JS3U0 | 100% | 100% | 100% | 40% | 43% | 46% |
| 3 | RU000A0JS5B5 | 100% | 100% | 100% | 40% | 43% | 46% |
| 4 | RU000A0JS6N8 | 10% | 13% | 16% | 20% | 23% | 26% |
| 5 | RU000A0JT7M7 | 10% | 13% | 16% | 20% | 23% | 26% |
| 6 | RU000A0JT874 | 11% | 14% | 17% | 22% | 25% | 28% |
| 7 | RU000A0JTVJ2 | 8% | 11% | 14% | 16% | 19% | 22% |
| 8 | RU000A0JU1Q8 | 11% | 14% | 17% | 22% | 25% | 28% |
| 9 | RU000A0JU6A1 | 14% | 17% | 100% | 28% | 31% | 34% |
| 10 | RU000A0JUAD7 | 8% | 11% | 14% | 16% | 19% | 22% |
| 11 | RU000A0JUU90 | 8% | 11% | 14% | 16% | 19% | 22% |
| 12 | RU000A0JUV08 | 12% | 15% | 18% | 24% | 27% | 30% |
| 13 | RU000A0JUW31 | 9% | 12% | 15% | 18% | 21% | 24% |
| 14 | RU000A0JUW72 | 9% | 12% | 15% | 18% | 21% | 24% |
| 15 | RU000A0JV0U1 | 12% | 15% | 18% | 24% | 27% | 30% |
| 16 | RU000A0JV3R1 | 100% | 100% | 100% | 40% | 43% | 46% |
| 17 | RU000A0JV805 | 100% | 100% | 100% | 40% | 43% | 46% |
| 18 | RU000A0JV987 | 14% | 17% | 100% | 28% | 31% | 34% |
| 19 | RU000A0JVWB3 | 13% | 16% | 19% | 26% | 29% | 32% |
| 20 | RU000A0JWJX2 | 14% | 17% | 20% | 28% | 31% | 34% |
| 21 | RU000A0JWPV3 | 100% | 100% | 100% | 40% | 43% | 46% |
| 22 | RU000A0JWUX9 | 7% | 10% | 13% | 14% | 17% | 20% |
| 23 | RU000A0JX2R1 | 8% | 11% | 14% | 16% | 19% | 22% |
| 24 | RU000A0JX413 | 100% | 100% | 100% | 34% | 37% | 40% |
| 25 | RU000A0JX5W4 | 10% | 13% | 16% | 20% | 23% | 26% |
| 26 | RU000A0JXP45 | 14% | 17% | 20% | 28% | 31% | 34% |
| 27 | RU000A0JXR68 | 100% | 100% | 100% | 28% | 31% | 34% |
| 28 | RU000A0JXRV7 | 12% | 15% | 18% | 24% | 27% | 30% |
| 29 | RU000A0ZYBM4 | 14% | 17% | 20% | 28% | 31% | 34% |
| 30 | RU000A0ZYEE5 | 8% | 11% | 14% | 16% | 19% | 22% |
| 31 | RU000A0ZYGB6 | 13% | 16% | 19% | 26% | 29% | 32% |
| 32 | RU000A0ZYRX7 | 7% | 10% | 13% | 14% | 17% | 20% |
| 33 | RU000A0ZYRY5 | 7% | 10% | 13% | 14% | 17% | 20% |
| 34 | RU000A0ZYU21 | 13% | 16% | 19% | 26% | 29% | 32% |
| 35 | RU000A0ZYWB3 | 7% | 10% | 13% | 14% | 17% | 20% |
| 36 | RU000A0ZYXJ4 | 8% | 11% | 14% | 16% | 19% | 22% |
| 37 | RU000A0ZZPZ3 | 9% | 12% | 15% | 18% | 21% | 24% |
| 38 | RU000A0ZZQU2 | 13% | 16% | 19% | 26% | 29% | 32% |
| 39 | RU000A0ZZUL3 | 14% | 17% | 100% | 28% | 31% | 34% |
| 40 | RU000A0ZZVQ0 | 100% | 100% | 100% | 56% | 59% | 62% |
| 41 | RU000A0ZZXM5 | 8% | 11% | 14% | 16% | 19% | 22% |
| 42 | RU000A0ZZZ66 | 8% | 11% | 14% | 16% | 19% | 22% |
| 43 | RU000A1002E8 | 10% | 13% | 16% | 20% | 23% | 26% |
| 44 | RU000A1003R8 | 14% | 17% | 100% | 28% | 31% | 34% |
| 45 | RU000A1007E7 | 12% | 15% | 100% | 24% | 27% | 30% |
| 46 | RU000A100832 | 12% | 15% | 100% | 24% | 27% | 30% |
| 47 | RU000A1008Q9 | 100% | 100% | 100% | 13% | 16% | 19% |
| 48 | RU000A100AF3 | 8% | 11% | 14% | 16% | 19% | 22% |
| 49 | RU000A100HH4 | 14% | 17% | 20% | 28% | 31% | 34% |
| 50 | RU000A100JB3 | 14% | 17% | 100% | 28% | 31% | 34% |
| 51 | RU000A100PQ8 | 8% | 11% | 14% | 16% | 19% | 22% |
| 52 | RU000A100VR4 | 13% | 16% | 19% | 26% | 29% | 32% |
| 53 | RU000A101129 | 9% | 12% | 15% | 18% | 21% | 24% |
| 54 | RU000A1011R1 | 13% | 16% | 19% | 26% | 29% | 32% |
| 55 | RU000A101350 | 14% | 17% | 20% | 28% | 31% | 34% |
| 56 | RU000A101TK1 | 8% | 11% | 14% | 16% | 19% | 22% |
| 57 | RU000A101Z74 | 14% | 17% | 20% | 28% | 31% | 34% |
| 58 | RU000A102788 | 7% | 10% | 13% | 14% | 17% | 20% |
| 59 | RU000A102A07 | 14% | 17% | 20% | 28% | 31% | 34% |
| 60 | RU000A102DB2 | 14% | 17% | 20% | 28% | 31% | 34% |
| 61 | RU000A102GJ8 | 14% | 17% | 20% | 28% | 31% | 34% |
| 62 | RU000A102JZ8 | 14% | 17% | 20% | 28% | 31% | 34% |
| 63 | RU000A102S80 | 14% | 17% | 20% | 28% | 31% | 34% |
| 64 | RU000A1032H8 | 100% | 100% | 100% | 14% | 17% | 20% |
| 65 | RU000A1036E6 | 14% | 17% | 20% | 28% | 31% | 34% |
| 66 | RU000A1037F1 | 14% | 17% | 20% | 28% | 31% | 34% |
| 67 | RU000A103DS4 | 100% | 100% | 100% | 14% | 17% | 20% |
| 68 | RU000A103GX7 | 14% | 17% | 20% | 28% | 31% | 34% |
| 69 | RU000A103KG4 | 15% | 18% | 21% | 30% | 33% | 36% |
| 70 | RU000A103N84 | 100% | 100% | 100% | 26% | 29% | 32% |
| 71 | RU000A103RS4 | 12% | 15% | 18% | 24% | 27% | 30% |
| 72 | RU000A103YE0 | 8% | 11% | 14% | 16% | 19% | 22% |
| 73 | XS2346922755 | 100% | 100% | 100% | 36% | 39% | 42% |
| 74 | XS2393505008 | 100% | 100% | 100% | 38% | 41% | 44% |
| 75 | XS2396900685 | 100% | 100% | 100% | 44% | 47% | 50% |
| 76 | XS2401571448 | 100% | 100% | 100% | 40% | 43% | 46% |
| 77 | XS2401571521 | 100% | 100% | 100% | 52% | 55% | 58% |
| № | Ticker | New concentration limits, number of securities | New Ban on short selling | |
|---|---|---|---|---|
| LK1 | LK2 | |||
| 1 | RU000A0JS3U0 | 200 000 | 1 000 000 | No |
| 2 | RU000A0JS5B5 | 100 000 | 500 000 | No |
| 3 | RU000A0JV3R1 | 100 000 | 500 000 | No |
| 4 | RU000A0JV805 | 200 000 | 1 000 000 | No |
| 5 | RU000A0JWPV3 | 100 000 | 500 000 | No |
| 6 | RU000A0JX413 | 400 000 | 2 000 000 | No |
| 7 | RU000A0JXR68 | 300 000 | 1 500 000 | No |
| 8 | RU000A0ZZVQ0 | 398 000 | 1 990 000 | No |
| 9 | RU000A1008Q9 | 400 000 | 2 000 000 | No |
| 10 | RU000A1032H8 | 237 872 | 1 189 358 | No |
| 11 | RU000A103DS4 | 200 000 | 1 000 000 | No |
| 12 | RU000A103N84 | 300 000 | 1 500 000 | No |
| 13 | XS2346922755 | 10 000 | 50 000 | No |
| 14 | XS2393505008 | 10 000 | 50 000 | No |
| 15 | XS2396900685 | 14 000 | 70 000 | No |
| 16 | XS2401571448 | 23 000 | 115 000 | No |
| 17 | XS2401571521 | 23 000 | 115 000 | No |
| № | Ticker | New Collateral Flag |
|---|---|---|
| 1 | RU000A0JQAM6 | Yes |
| 2 | RU000A0JS3U0 | Yes |
| 3 | RU000A0JS5A7 | Yes |
| 4 | RU000A0JS5B5 | Yes |
| 5 | RU000A0JS5L4 | Yes |
| 6 | RU000A0JS6N8 | Yes |
| 7 | RU000A0JT7M7 | Yes |
| 8 | RU000A0JT874 | Yes |
| 9 | RU000A0JTMG7 | Yes |
| 10 | RU000A0JTMK9 | Yes |
| 11 | RU000A0JTVJ2 | Yes |
| 12 | RU000A0JTYL2 | Yes |
| 13 | RU000A0JTYM0 | Yes |
| 14 | RU000A0JTYN8 | Yes |
| 15 | RU000A0JU1Q8 | Yes |
| 16 | RU000A0JU6A1 | Yes |
| 17 | RU000A0JUAD7 | Yes |
| 18 | RU000A0JUU90 | Yes |
| 19 | RU000A0JUV08 | Yes |
| 20 | RU000A0JUW31 | Yes |
| 21 | RU000A0JUW72 | Yes |
| 22 | RU000A0JV0U1 | Yes |
| 23 | RU000A0JV3R1 | Yes |
| 24 | RU000A0JV805 | Yes |
| 25 | RU000A0JV987 | Yes |
| 26 | RU000A0JVFC6 | Yes |
| 27 | RU000A0JVUY9 | Yes |
| 28 | RU000A0JVWA5 | Yes |
| 29 | RU000A0JVWB3 | Yes |
| 30 | RU000A0JWGS8 | Yes |
| 31 | RU000A0JWPV3 | Yes |
| 32 | RU000A0JWUB5 | Yes |
| 33 | RU000A0JWUX9 | Yes |
| 34 | RU000A0JX413 | Yes |
| 35 | RU000A0JX5W4 | Yes |
| 36 | RU000A0JXP45 | Yes |
| 37 | RU000A0JXR68 | Yes |
| 38 | RU000A0JXRV7 | Yes |
| 39 | RU000A0ZYBM4 | Yes |
| 40 | RU000A0ZYEE5 | Yes |
| 41 | RU000A0ZYGB6 | Yes |
| 42 | RU000A0ZYRX7 | Yes |
| 43 | RU000A0ZYRY5 | Yes |
| 44 | RU000A0ZYU21 | Yes |
| 45 | RU000A0ZYWB3 | Yes |
| 46 | RU000A0ZYXJ4 | Yes |
| 47 | RU000A0ZZPZ3 | Yes |
| 48 | RU000A0ZZQU2 | Yes |
| 49 | RU000A0ZZUL3 | Yes |
| 50 | RU000A0ZZVQ0 | Yes |
| 51 | RU000A0ZZXM5 | Yes |
| 52 | RU000A0ZZZ66 | Yes |
| 53 | RU000A1002E8 | Yes |
| 54 | RU000A1003R8 | Yes |
| 55 | RU000A1007E7 | Yes |
| 56 | RU000A100832 | Yes |
| 57 | RU000A1008Q9 | Yes |
| 58 | RU000A100AF3 | Yes |
| 59 | RU000A100HH4 | Yes |
| 60 | RU000A100JB3 | Yes |
| 61 | RU000A100PQ8 | Yes |
| 62 | RU000A100VR4 | Yes |
| 63 | RU000A101129 | Yes |
| 64 | RU000A1011R1 | Yes |
| 65 | RU000A101350 | Yes |
| 66 | RU000A101TK1 | Yes |
| 67 | RU000A101Z74 | Yes |
| 68 | RU000A102788 | Yes |
| 69 | RU000A102A07 | Yes |
| 70 | RU000A102DB2 | Yes |
| 71 | RU000A102FQ5 | Yes |
| 72 | RU000A102GJ8 | Yes |
| 73 | RU000A102JZ8 | Yes |
| 74 | RU000A102RQ0 | Yes |
| 75 | RU000A102RR8 | Yes |
| 76 | RU000A102S80 | Yes |
| 77 | RU000A1032H8 | Yes |
| 78 | RU000A103661 | Yes |
| 79 | RU000A1036E6 | Yes |
| 80 | RU000A1037F1 | Yes |
| 81 | RU000A1038U8 | Yes |
| 82 | RU000A1039K7 | Yes |
| 83 | RU000A103BE8 | Yes |
| 84 | RU000A103DS4 | Yes |
| 85 | RU000A103DU0 | Yes |
| 86 | RU000A103EN3 | Yes |
| 87 | RU000A103G59 | Yes |
| 88 | RU000A103G75 | Yes |
| 89 | RU000A103GX7 | Yes |
| 90 | RU000A103H66 | Yes |
| 91 | RU000A103KG4 | Yes |
| 92 | RU000A103N84 | Yes |
| 93 | RU000A103RS4 | Yes |
| 94 | RU000A103T21 | Yes |
| 95 | RU000A103T39 | Yes |
| 96 | RU000A103T47 | Yes |
| 97 | RU000A103T54 | Yes |
| 98 | RU000A103T62 | Yes |
| 99 | RU000A103T70 | Yes |
| 100 | RU000A103T88 | Yes |
| 101 | RU000A103T96 | Yes |
| 102 | RU000A103TA8 | Yes |
| 103 | RU000A103TB6 | Yes |
| 104 | RU000A103TC4 | Yes |
| 105 | RU000A103YE0 | Yes |
| 106 | RU000A103YM3 | Yes |
| 107 | RU000A103YS0 | Yes |
| 108 | RU000A1040J7 | Yes |
| 109 | RU000A1040Y6 | Yes |
| 110 | RU000A104123 | Yes |
| 111 | XS2346922755 | Yes |
| 112 | XS2393505008 | Yes |
| 113 | XS2396900685 | Yes |
| 114 | XS2400040973 | Yes |
| 115 | XS2401571448 | Yes |
| 116 | XS2401571521 | Yes |
| № | Ticker | Current stress scenario UP | Current stress scenario DOWN | New stress scenario UP | New stress scenario DOWN |
|---|---|---|---|---|---|
| 1 | RU000A0JR5F7 | 0.00% | 0.00% | 1.50% | 1.50% |
| 2 | RU000A0JS3U0 | 0.00% | 0.00% | 1.50% | 1.50% |
| 3 | RU000A0JS5B5 | 0.00% | 0.00% | 1.50% | 1.50% |
| 4 | RU000A0JS6N8 | 2.25% | 2.25% | 0.00% | 0.00% |
| 5 | RU000A0JT7M7 | 2.25% | 2.25% | 0.00% | 0.00% |
| 6 | RU000A0JT874 | 1.50% | 1.50% | 0.00% | 0.00% |
| 7 | RU000A0JTVJ2 | 1.50% | 1.50% | 0.00% | 0.00% |
| 8 | RU000A0JU1Q8 | 1.50% | 1.50% | 0.00% | 0.00% |
| 9 | RU000A0JU6A1 | 3.75% | 3.75% | 0.00% | 0.00% |
| 10 | RU000A0JUAD7 | 2.25% | 2.25% | 0.00% | 0.00% |
| 11 | RU000A0JUU90 | 1.50% | 1.50% | 0.00% | 0.00% |
| 12 | RU000A0JUV08 | 1.50% | 1.50% | 0.00% | 0.00% |
| 13 | RU000A0JUW31 | 2.25% | 2.25% | 0.00% | 0.00% |
| 14 | RU000A0JUW72 | 2.25% | 2.25% | 0.00% | 0.00% |
| 15 | RU000A0JV0U1 | 2.25% | 2.25% | 0.00% | 0.00% |
| 16 | RU000A0JV3R1 | 0.00% | 0.00% | 1.50% | 1.50% |
| 17 | RU000A0JV805 | 0.00% | 0.00% | 2.25% | 2.25% |
| 18 | RU000A0JV987 | 3.75% | 3.75% | 0.00% | 0.00% |
| 19 | RU000A0JVWB3 | 3.75% | 3.75% | 0.00% | 0.00% |
| 20 | RU000A0JWJX2 | 3.75% | 3.75% | 0.00% | 0.00% |
| 21 | RU000A0JWPV3 | 0.00% | 0.00% | 1.50% | 1.50% |
| 22 | RU000A0JWUX9 | 1.50% | 1.50% | 0.00% | 0.00% |
| 23 | RU000A0JX2R1 | 1.50% | 1.50% | 0.00% | 0.00% |
| 24 | RU000A0JX413 | 0.00% | 0.00% | 0.00% | 0.00% |
| 25 | RU000A0JX5W4 | 2.25% | 2.25% | 0.00% | 0.00% |
| 26 | RU000A0JXP45 | 3.75% | 3.75% | 0.00% | 0.00% |
| 27 | RU000A0JXR68 | 0.00% | 0.00% | 0.00% | 0.00% |
| 28 | RU000A0JXRV7 | 2.25% | 2.25% | 0.00% | 0.00% |
| 29 | RU000A0ZYBM4 | 3.75% | 3.75% | 0.00% | 0.00% |
| 30 | RU000A0ZYEE5 | 1.50% | 1.50% | 0.00% | 0.00% |
| 31 | RU000A0ZYGB6 | 3.75% | 3.75% | 0.00% | 0.00% |
| 32 | RU000A0ZYRX7 | 1.50% | 1.50% | 0.00% | 0.00% |
| 33 | RU000A0ZYRY5 | 1.50% | 1.50% | 0.00% | 0.00% |
| 34 | RU000A0ZYU21 | 3.75% | 3.75% | 0.00% | 0.00% |
| 35 | RU000A0ZYWB3 | 1.50% | 1.50% | 0.00% | 0.00% |
| 36 | RU000A0ZYXJ4 | 1.50% | 1.50% | 0.00% | 0.00% |
| 37 | RU000A0ZZPZ3 | 2.25% | 2.25% | 0.00% | 0.00% |
| 38 | RU000A0ZZQU2 | 2.25% | 2.25% | 0.00% | 0.00% |
| 39 | RU000A0ZZUL3 | 3.75% | 3.75% | 0.00% | 0.00% |
| 40 | RU000A0ZZVQ0 | 0.00% | 0.00% | 0.00% | 0.00% |
| 41 | RU000A0ZZXM5 | 1.50% | 1.50% | 0.00% | 0.00% |
| 42 | RU000A0ZZZ66 | 1.50% | 1.50% | 0.00% | 0.00% |
| 43 | RU000A1002E8 | 2.25% | 2.25% | 0.00% | 0.00% |
| 44 | RU000A1003R8 | 3.75% | 3.75% | 0.00% | 0.00% |
| 45 | RU000A1007E7 | 2.25% | 2.25% | 0.00% | 0.00% |
| 46 | RU000A100832 | 2.25% | 2.25% | 0.00% | 0.00% |
| 47 | RU000A1008Q9 | 0.00% | 0.00% | 2.25% | 2.25% |
| 48 | RU000A100AF3 | 1.50% | 1.50% | 0.00% | 0.00% |
| 49 | RU000A100HH4 | 5.50% | 5.50% | 0.00% | 0.00% |
| 50 | RU000A100JB3 | 5.50% | 5.50% | 0.00% | 0.00% |
| 51 | RU000A100PQ8 | 1.50% | 1.50% | 0.00% | 0.00% |
| 52 | RU000A100VR4 | 2.25% | 2.25% | 0.00% | 0.00% |
| 53 | RU000A101129 | 2.25% | 2.25% | 0.00% | 0.00% |
| 54 | RU000A1011R1 | 3.75% | 3.75% | 0.00% | 0.00% |
| 55 | RU000A101350 | 3.75% | 3.75% | 0.00% | 0.00% |
| 56 | RU000A101TK1 | 1.50% | 1.50% | 0.00% | 0.00% |
| 57 | RU000A101Z74 | 3.75% | 3.75% | 0.00% | 0.00% |
| 58 | RU000A102788 | 1.50% | 1.50% | 0.00% | 0.00% |
| 59 | RU000A102A07 | 5.00% | 5.00% | 0.00% | 0.00% |
| 60 | RU000A102DB2 | 5.50% | 5.50% | 0.00% | 0.00% |
| 61 | RU000A102GJ8 | 3.80% | 3.80% | 0.00% | 0.00% |
| 62 | RU000A102JZ8 | 0.00% | 0.00% | 0.00% | 0.00% |
| 63 | RU000A102S80 | 0.00% | 0.00% | 0.00% | 0.00% |
| 64 | RU000A1032H8 | 0.00% | 0.00% | 0.00% | 0.00% |
| 65 | RU000A1036E6 | 3.75% | 3.75% | 0.00% | 0.00% |
| 66 | RU000A1037F1 | 3.75% | 3.75% | 0.00% | 0.00% |
| 67 | RU000A103DS4 | 0.00% | 0.00% | 5.50% | 5.50% |
| 68 | RU000A103GX7 | 3.75% | 3.75% | 0.00% | 0.00% |
| 69 | RU000A103KG4 | 5.50% | 5.50% | 0.00% | 0.00% |
| 70 | RU000A103N84 | 0.00% | 0.00% | 0.00% | 0.00% |
| 71 | RU000A103RS4 | 2.25% | 2.25% | 0.00% | 0.00% |
| 72 | RU000A103YE0 | 1.50% | 1.50% | 0.00% | 0.00% |
| 73 | XS2346922755 | 0.00% | 0.00% | 0.00% | 0.00% |
| 74 | XS2393505008 | 0.00% | 0.00% | 0.00% | 0.00% |
| 75 | XS2396900685 | 0.00% | 0.00% | 0.00% | 0.00% |
| 76 | XS2401571448 | 0.00% | 0.00% | 0.00% | 0.00% |
| 77 | XS2401571521 | 0.00% | 0.00% | 0.00% | 0.00% |