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    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:

    1. 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%
    1. 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
    1. 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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