13.01.2022 16:53
Об изменении риск-параметров иностранных акций
Решением НКО НКЦ (АО) с 20 января 2022 г. по иностранным акциям будут установлены следующие риск-параметры:
- Минимальный ограничительный уровень ставок обеспечения:
| № | Торговый код | Ценная бумага | Действующие минимальные ограничительные уровни ставок рыночного риска |
Новые минимальные ограничительные уровни ставок рыночного риска |
||||
|---|---|---|---|---|---|---|---|---|
| 1-ый уровень, S1_min | 2-ой уровень, S2_min | 3-ий уровень, S3_min | 1-ый уровень, S1_min | 2-ой уровень, S2_min | 3-ий уровень, S3_min | |||
| 1 | SPCE-RM | Virgin Galactic Holdings | 50% | 65% | 90% | 70% | 80% | 90% |
| 2 | NIO-RM | Nio Inc. | 53% | 80% | 95% | 80% | 90% | 100% |
| 3 | LVS-RM | Las Vegas Sands Corp. | 19% | 31% | 43% | 57% | 80% | 95% |
| 4 | F-RM | Ford Motor Company | 17% | 27% | 39% | 36% | 56% | 79% |
| 5 | CAH-RM | Cardinal Health Ord Shs | 16% | 25% | 35% | 28% | 44% | 62% |
| 6 | MOMO-RM | Hello Group Inc. | 26% | 42% | 59% | 38% | 60% | 85% |
| 7 | FANG-RM | Diamondback Energy ORD SHS | 30% | 48% | 68% | 42% | 65% | 92% |
| 8 | VRTX-RM | Vertex Pharmaceuticals Inc | 19% | 31% | 43% | 30% | 47% | 66% |
| 9 | PINS-RM | Pinterest Ord Shs Class A | 20% | 31% | 44% | 27% | 42% | 59% |
| 10 | EHTH-RM | eHealth | 34% | 54% | 77% | 40% | 63% | 89% |
| 11 | FNKO-RM | Funko Ord Shs Class A | 29% | 46% | 65% | 34% | 50% | 75% |
| 12 | ZM-RM | Zoom Video Communications | 28% | 45% | 63% | 33% | 50% | 74% |
| 13 | CLF-RM | Cleveland Cliffs Ord Shs | 40% | 63% | 89% | 44% | 70% | 95% |
| 14 | ISRG-RM | Intuitive Surgical | 17% | 27% | 39% | 20% | 31% | 44% |
| 15 | TPR-RM | Tapestry | 23% | 37% | 52% | 21% | 34% | 47% |
| 16 | VRSK-RM | Verisk Analytics | 16% | 26% | 36% | 14% | 23% | 32% |
| 17 | CPB-RM | Campbell Soup Company | 16% | 26% | 36% | 14% | 23% | 32% |
| 18 | REGN-RM | Regeneron Pharmaceuticals | 20% | 32% | 45% | 18% | 29% | 41% |
| 19 | RL-RM | Ralph Lauren Corporation | 21% | 34% | 47% | 19% | 30% | 43% |
| 20 | ABBV-RM | AbbVie Inc. | 17% | 27% | 39% | 15% | 24% | 34% |
| 21 | OMC-RM | Omnicom Group Inc. Ordshs | 17% | 27% | 39% | 15% | 24% | 34% |
| 22 | HSIC-RM | Henry Schein | 17% | 27% | 39% | 15% | 24% | 34% |
| 23 | NWS-RM | News Corp Ord Shs Class B | 18% | 28% | 40% | 16% | 25% | 36% |
| 24 | KR-RM | The Kroger Co. | 17% | 27% | 39% | 15% | 24% | 33% |
| 25 | JD-RM | JD.com | 20% | 32% | 45% | 18% | 29% | 40% |
| 26 | NOV-RM | NOV Inc. ORD SHS | 22% | 35% | 50% | 20% | 32% | 45% |
| 27 | INTC-RM | Intel Corporation | 18% | 29% | 41% | 16% | 25% | 36% |
| 28 | CVX-RM | Chevron Corporation | 17% | 27% | 39% | 15% | 24% | 33% |
| 29 | IFF-RM | Inter Flav&Frag Inc ORD SHS | 18% | 29% | 41% | 16% | 25% | 35% |
| 30 | CLX-RM | Clorox Ord Shs | 15% | 23% | 33% | 13% | 20% | 29% |
| 31 | TSLA-RM | Tesla | 26% | 42% | 59% | 24% | 38% | 53% |
| 32 | CI-RM | Cigna Corporation | 19% | 31% | 43% | 17% | 27% | 37% |
| 33 | DVN-RM | Devon Energy Ord Shs | 24% | 37% | 53% | 22% | 34% | 48% |
| 34 | HES-RM | Hess Corporation ORD SHS | 22% | 35% | 50% | 20% | 31% | 44% |
| 35 | AA-RM | Alcoa Corporation | 24% | 38% | 54% | 22% | 34% | 48% |
| 36 | WBA-RM | Walgreen Boots Alliance Ord Sh | 18% | 28% | 39% | 16% | 25% | 34% |
| 37 | BABA-RM | АДР Alibaba Group Holding LTD | 18% | 29% | 41% | 16% | 24% | 34% |
| 38 | DXC-RM | DXC Technology Co ORD SHS | 28% | 45% | 63% | 26% | 41% | 58% |
| 39 | WRK-RM | Westrock Co Ord Shs | 21% | 34% | 47% | 18% | 29% | 41% |
| 40 | DIS-RM | The Walt Disney Company | 18% | 29% | 41% | 15% | 24% | 34% |
| 41 | NKE-RM | NIKE | 18% | 29% | 41% | 15% | 24% | 34% |
| 42 | EOG-RM | EOG Resources | 21% | 34% | 47% | 18% | 28% | 40% |
| 43 | ALB-RM | Albemarle Ord Shs | 21% | 33% | 46% | 18% | 28% | 40% |
| 44 | XOM-RM | Exxon Mobil Corporation | 18% | 29% | 41% | 15% | 23% | 33% |
| 45 | LLY-RM | Eli Lilly and Company | 18% | 29% | 41% | 15% | 23% | 32% |
| 46 | FOX-RM | Fox Corporation | 21% | 34% | 47% | 18% | 28% | 39% |
| 47 | FTV-RM | Fortive Corporation ORD SHS | 17% | 27% | 39% | 14% | 23% | 32% |
| 48 | PVH-RM | PVH Corp.ORD SHS | 25% | 40% | 56% | 22% | 35% | 50% |
| 49 | XLNX-RM | Xilinx | 19% | 31% | 43% | 16% | 25% | 36% |
| 50 | OKE-RM | ONEOK | 26% | 42% | 59% | 23% | 36% | 51% |
| 51 | XRAY-RM | DENTSPLY SIRONA ORD SHS | 19% | 31% | 43% | 16% | 25% | 35% |
| 52 | RTX-RM | Raytheon Technologies Corp | 19% | 31% | 43% | 16% | 24% | 34% |
| 53 | OXY-RM | Occidental Petroleum Corp | 26% | 42% | 59% | 23% | 36% | 50% |
| 54 | DLTR-RM | Dollar Tree | 22% | 35% | 50% | 18% | 29% | 41% |
| 55 | ZION-RM | Zions Bancorp NA ORD SHS | 21% | 34% | 47% | 17% | 27% | 38% |
| 56 | VNT-RM | Vontier Corporation | 22% | 35% | 49% | 18% | 28% | 40% |
| 57 | CTLT-RM | Catalent | 21% | 34% | 47% | 17% | 26% | 37% |
| 58 | LW-RM | Lamb Weston Holdings ORD SHS | 23% | 37% | 52% | 19% | 30% | 43% |
| 59 | MRO-RM | Marathon Oil Corporation | 26% | 42% | 59% | 22% | 35% | 49% |
| 60 | NUE-RM | Nucor Corporation | 20% | 32% | 45% | 16% | 25% | 35% |
| 61 | HIG-RM | The Hartford ORD SHS | 23% | 37% | 52% | 19% | 29% | 41% |
| 62 | VLO-RM | Valero Energy Corp ORD SHS | 24% | 38% | 54% | 19% | 30% | 42% |
| 63 | MTB-RM | M&T Bank Co ORD SHS | 22% | 35% | 50% | 17% | 26% | 37% |
| 64 | BIDU-RM | АДР Baidu | 25% | 40% | 56% | 20% | 31% | 43% |
| 65 | BBWI-RM | Bath & Body Works | 28% | 45% | 63% | 23% | 36% | 51% |
| 66 | LUV-RM | Southwest Airlines Co. | 24% | 38% | 54% | 18% | 28% | 40% |
| 67 | CFG-RM | Citizens Financial Group ORDSH | 25% | 40% | 56% | 19% | 30% | 43% |
| 68 | PSX-RM | Phillips 66 | 23% | 37% | 52% | 17% | 27% | 38% |
| 69 | MRNA-RM | Moderna | 38% | 61% | 85% | 32% | 50% | 71% |
| 70 | HWM-RM | Howmet Aerospace Inc. ORD SHS | 29% | 46% | 65% | 22% | 35% | 49% |
| 71 | IQV-RM | IQVIA HOLDINGS INC ORDSHS | 22% | 35% | 50% | 15% | 23% | 33% |
| 72 | LI-RM | Li Auto Inc. | 40% | 64% | 90% | 33% | 50% | 74% |
| 73 | GT-RM | Goodyear Tire & Rubber Company | 27% | 43% | 61% | 20% | 31% | 44% |
| 74 | ENPH-RM | Enphase Energy Ord Shs | 42% | 67% | 95% | 34% | 50% | 75% |
| 75 | PBCT-RM | Peoples United Financial Ord S | 25% | 39% | 55% | 16% | 25% | 35% |
| 76 | GPS-RM | Gap Inc. | 33% | 53% | 74% | 24% | 37% | 52% |
| 77 | SYF-RM | Synchrony Financial ORD SHS | 28% | 45% | 63% | 19% | 30% | 43% |
| 78 | QDEL-RM | Quidel Ord Shs | 34% | 54% | 76% | 23% | 36% | 51% |
| 79 | SYY-RM | Sysco Ord Shs | 32% | 50% | 71% | 17% | 27% | 38% |
| 80 | NRG-RM | Nrg Energy | 34% | 54% | 77% | 19% | 30% | 42% |
| 81 | DISH-RM | DISH Network Corp ORD SHS CL A | 37% | 59% | 83% | 18% | 28% | 40% |
| 82 | TDOC-RM | Teladoc Health Ord Shs | 44% | 70% | 99% | 23% | 37% | 52% |
| 83 | APA-RM | APA Corporation | 47% | 75% | 95% | 26% | 40% | 57% |
| 84 | BIIB-RM | Biogen Inc. | 50% | 60% | 70% | 27% | 42% | 59% |
| 85 | UBER-RM | Uber Technologies | 70% | 80% | 90% | 25% | 39% | 55% |
| 86 | PLUG-RM | Plug Power Ord Shs | 100% | 100% | 100% | 71% | 100% | 100% |
| 87 | COIN-RM | Coinbase Global | 100% | 100% | 100% | 70% | 80% | 95% |
| 88 | DAL-RM | Delta Air Lines | 100% | 100% | 100% | 40% | 63% | 89% |
| 89 | COTY-RM | Coty Inc. | 100% | 100% | 100% | 39% | 61% | 86% |
| 90 | BILI-RM | Bilibili ADR Class Z | 26% | 41% | 57% | 100% | 100% | 100% |
| 91 | SWN-RM | Southwestern Energy Company | 35% | 56% | 79% | 100% | 100% | 100% |
| 92 | SNAP-RM | Snap Inc. | 35% | 56% | 79% | 100% | 100% | 100% |
| 93 | CZR-RM | Caesars Entertainment ORD SHS | 55% | 80% | 95% | 100% | 100% | 100% |
| 94 | CNK-RM | Cinemark Holdings | 70% | 80% | 90% | 100% | 100% | 100% |
| 95 | GTHX-RM | G1 Therapeutics | 70% | 80% | 90% | 100% | 100% | 100% |
| 96 | BLUE-RM | Bluebird bio | 70% | 80% | 90% | 100% | 100% | 100% |
| 97 | SPLK-RM | Splunk Inc. | 21% | 34% | 47% | 100% | 100% | 100% |
- Лимиты концентрации:
| № | Торговый код | Ценная бумага | Действующие лимиты концентрации, шт. | Новые лимиты концентрации, шт. | ||
|---|---|---|---|---|---|---|
| 1 уровень | 2 уровень | 1 уровень | 2 уровень | |||
| 1 | PLUG-RM | Plug Power Ord Shs | 25584 | 127920 | 15911 | 79553 |
| 2 | COIN-RM | Coinbase Global | 2758 | 13790 | 2002 | 10007 |
| 3 | DAL-RM | Delta Air Lines | 15816 | 79082 | 16258 | 81286 |
| 4 | COTY-RM | Coty Inc. | 78692 | 393460 | 63495 | 317474 |
| 5 | BILI-RM | Bilibili ADR Class Z | 8486 | 42430 | 2000 | 2001 |
| 6 | SWN-RM | Southwestern Energy Company | 154148 | 770740 | 2000 | 2001 |
| 7 | SNAP-RM | Snap Inc. | 8870 | 44350 | 2000 | 2001 |
| 8 | CZR-RM | Caesars Entertainment ORD SHS | 6128 | 30640 | 2000 | 2001 |
| 9 | CNK-RM | Cinemark Holdings | 31182 | 155910 | 2000 | 2001 |
| 10 | GTHX-RM | G1 Therapeutics | 31843 | 159215 | 2000 | 2001 |
| 11 | BLUE-RM | Bluebird bio | 20581 | 102905 | 2000 | 2001 |
| 12 | SPLK-RM | Splunk Inc. | 5874 | 29370 | 2000 | 2001 |
- Сценарии, используемые в целях расчета обеспечения под стресс:
| № | Торговый код | Ценная бумага | Действующие сценарии обеспечения под стресс | Новые сценарии обеспечения под стресс | ||
|---|---|---|---|---|---|---|
| Scen_UP | Scen_DOWN | Scen_UP | Scen_DOWN | |||
| 1 | SPLK-RM | Splunk Inc. | 15% | 13% | 0% | 0% |
| 2 | BILI-RM | Bilibili ADR Class Z | 7% | 5% | 0% | 0% |
| 3 | SWN-RM | Southwestern Energy Company | 1% | 0% | 0% | 0% |
| 4 | SNAP-RM | Snap Inc. | 11% | 9% | 0% | 0% |
| 5 | SPCE-RM | Virgin Galactic Holdings | 5% | 3% | 0% | 0% |
| 6 | NIO-RM | Nio Inc. | 12% | 10% | 0% | 0% |
| 7 | CZR-RM | Caesars Entertainment ORD SHS | 0% | 0% | 0% | 0% |
| 8 | LVS-RM | Las Vegas Sands Corp. | 7% | 5% | 0% | 0% |
| 12 | F-RM | Ford Motor Company | 4% | 4% | 0% | 0% |
| 13 | CAH-RM | Cardinal Health Ord Shs | 8% | 6% | 0% | 0% |
| 14 | MOMO-RM | Hello Group Inc. | 13% | 11% | 1% | 0% |
| 15 | FANG-RM | Diamondback Energy ORD SHS | 7% | 5% | 0% | 0% |
| 16 | VRTX-RM | Vertex Pharmaceuticals Inc | 18% | 16% | 9% | 7% |
| 17 | PINS-RM | Pinterest Ord Shs Class A | 20% | 18% | 16% | 14% |
| 18 | EHTH-RM | eHealth | 10% | 8% | 6% | 4% |
| 19 | FNKO-RM | Funko Ord Shs Class A | 11% | 9% | 9% | 7% |
| 20 | ZM-RM | Zoom Video Communications | 25% | 23% | 20% | 18% |
| 21 | CLF-RM | Cleveland Cliffs Ord Shs | 0% | 0% | 0% | 0% |
| 22 | ISRG-RM | Intuitive Surgical | 9% | 7% | 12% | 10% |
| 23 | TPR-RM | Tapestry | 9% | 7% | 12% | 10% |
| 24 | VRSK-RM | Verisk Analytics | 7% | 5% | 9% | 7% |
| 25 | CPB-RM | Campbell Soup Company | 7% | 5% | 10% | 8% |
| 26 | REGN-RM | Regeneron Pharmaceuticals | 9% | 7% | 8% | 6% |
| 27 | RL-RM | Ralph Lauren Corporation | 8% | 6% | 11% | 9% |
| 28 | ABBV-RM | AbbVie Inc. | 2% | 0% | 10% | 8% |
| 29 | OMC-RM | Omnicom Group Inc. Ordshs | 7% | 5% | 9% | 7% |
| 30 | HSIC-RM | Henry Schein | 7% | 5% | 9% | 7% |
| 31 | NWS-RM | News Corp Ord Shs Class B | 7% | 5% | 10% | 8% |
| 32 | KR-RM | The Kroger Co. | 8% | 6% | 11% | 9% |
| 33 | JD-RM | JD.com | 7% | 5% | 10% | 8% |
| 34 | NOV-RM | NOV Inc. ORD SHS | 9% | 7% | 12% | 10% |
| 35 | INTC-RM | Intel Corporation | 4% | 2% | 10% | 8% |
| 36 | CVX-RM | Chevron Corporation | 8% | 6% | 12% | 10% |
| 37 | IFF-RM | Inter Flav&Frag Inc ORD SHS | 7% | 5% | 10% | 8% |
| 38 | CLX-RM | Clorox Ord Shs | 6% | 4% | 10% | 8% |
| 39 | TSLA-RM | Tesla | 3% | 1% | 12% | 10% |
| 40 | CI-RM | Cigna Corporation | 6% | 4% | 10% | 8% |
| 41 | DVN-RM | Devon Energy Ord Shs | 9% | 7% | 13% | 11% |
| 42 | HES-RM | Hess Corporation ORD SHS | 8% | 6% | 12% | 10% |
| 43 | AA-RM | Alcoa Corporation | 7% | 5% | 11% | 9% |
| 44 | WBA-RM | Walgreen Boots Alliance Ord Sh | 6% | 4% | 10% | 8% |
| 45 | BABA-RM | АДР Alibaba Group Holding LTD | 1% | 0% | 11% | 9% |
| 46 | DXC-RM | DXC Technology Co ORD SHS | 11% | 9% | 14% | 12% |
| 47 | WRK-RM | Westrock Co Ord Shs | 8% | 7% | 11% | 9% |
| 48 | DIS-RM | The Walt Disney Company | 5% | 3% | 10% | 8% |
| 49 | NKE-RM | NIKE | 6% | 4% | 11% | 9% |
| 50 | EOG-RM | EOG Resources | 8% | 6% | 12% | 10% |
| 51 | ALB-RM | Albemarle Ord Shs | 6% | 4% | 11% | 9% |
| 52 | XOM-RM | Exxon Mobil Corporation | 5% | 3% | 10% | 8% |
| 53 | LLY-RM | Eli Lilly and Company | 5% | 3% | 10% | 8% |
| 54 | FOX-RM | Fox Corporation | 6% | 4% | 10% | 8% |
| 55 | FTV-RM | Fortive Corporation ORD SHS | 7% | 5% | 10% | 8% |
| 56 | PVH-RM | PVH Corp.ORD SHS | 10% | 7% | 13% | 11% |
| 57 | XLNX-RM | Xilinx | 7% | 5% | 10% | 8% |
| 58 | OKE-RM | ONEOK | 9% | 7% | 14% | 12% |
| 59 | XRAY-RM | DENTSPLY SIRONA ORD SHS | 7% | 7% | 11% | 9% |
| 60 | RTX-RM | Raytheon Technologies Corp | 6% | 4% | 11% | 9% |
| 61 | OXY-RM | Occidental Petroleum Corp | 10% | 8% | 16% | 14% |
| 62 | DLTR-RM | Dollar Tree | 5% | 3% | 10% | 8% |
| 63 | ZION-RM | Zions Bancorp NA ORD SHS | 5% | 1% | 10% | 8% |
| 64 | VNT-RM | Vontier Corporation | 8% | 6% | 12% | 10% |
| 65 | CTLT-RM | Catalent | 6% | 7% | 11% | 9% |
| 66 | LW-RM | Lamb Weston Holdings ORD SHS | 6% | 4% | 9% | 7% |
| 67 | MRO-RM | Marathon Oil Corporation | 8% | 6% | 14% | 12% |
| 68 | NUE-RM | Nucor Corporation | 4% | 2% | 9% | 7% |
| 69 | HIG-RM | The Hartford ORD SHS | 5% | 3% | 10% | 8% |
| 70 | VLO-RM | Valero Energy Corp ORD SHS | 7% | 5% | 13% | 11% |
| 71 | MTB-RM | M&T Bank Co ORD SHS | 5% | 3% | 10% | 8% |
| 72 | BIDU-RM | АДР Baidu | 4% | 2% | 10% | 8% |
| 73 | BBWI-RM | Bath & Body Works | 8% | 6% | 14% | 12% |
| 74 | LUV-RM | Southwest Airlines Co. | 2% | 0% | 10% | 8% |
| 75 | CFG-RM | Citizens Financial Group ORDSH | 5% | 3% | 12% | 10% |
| 76 | PSX-RM | Phillips 66 | 4% | 2% | 11% | 9% |
| 77 | MRNA-RM | Moderna | 11% | 9% | 16% | 14% |
| 78 | HWM-RM | Howmet Aerospace Inc. ORD SHS | 6% | 4% | 12% | 10% |
| 79 | IQV-RM | IQVIA HOLDINGS INC ORDSHS | 3% | 3% | 11% | 9% |
| 80 | LI-RM | Li Auto Inc. | 7% | 5% | 14% | 12% |
| 81 | GT-RM | Goodyear Tire & Rubber Company | 4% | 2% | 12% | 10% |
| 82 | ENPH-RM | Enphase Energy Ord Shs | 4% | 2% | 13% | 11% |
| 83 | PBCT-RM | Peoples United Financial Ord S | 1% | 0% | 11% | 9% |
| 84 | GPS-RM | Gap Inc. | 2% | 0% | 12% | 10% |
| 85 | SYF-RM | Synchrony Financial ORD SHS | 4% | 2% | 13% | 11% |
| 86 | QDEL-RM | Quidel Ord Shs | 2% | 0% | 14% | 12% |
| 87 | SYY-RM | Sysco Ord Shs | 0% | 0% | 13% | 11% |
| 88 | NRG-RM | Nrg Energy | 0% | 0% | 11% | 9% |
| 89 | DISH-RM | DISH Network Corp ORD SHS CL A | 0% | 0% | 10% | 8% |
| 90 | TDOC-RM | Teladoc Health Ord Shs | 0% | 0% | 12% | 10% |
| 91 | APA-RM | APA Corporation | 0% | 0% | 17% | 15% |
| 92 | BIIB-RM | Biogen Inc. | 8% | 6% | 11% | 9% |
| 95 | UBER-RM | Uber Technologies | 0% | 0% | 14% | 12% |
| 97 | COTY-RM | Coty Inc. | 0% | 0% | 2% | 0% |
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