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, %
№	Ticker	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
№	Ticker	LK1	LK2	New Ban on short selling
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%

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15.12.2021