23.06.2022 18:03
Risk parameters on Securities market
CCP NCC changes the following risk parameters on Securities market starting from June, 27-th 2022 :
| № | Ticker | Description | Current market risk rates, % | New market risk rates, % | ||||
|---|---|---|---|---|---|---|---|---|
| Level 1, S1_min | Level 2, S2_min | Level 3, S3_min | Level 1, S1_min | Level 2, S2_min | Level 3, S3_min | |||
| 1 | RU000A100YU2 | Acron BO-001P-03 | 9% | 12% | 15% | 100% | 100% | 100% |
| 2 | RU000A0JXSS1 | Acron BO-001P-02 | 40% | 43% | 46% | 100% | 100% | 100% |
| 3 | RU000A0JWV89 | Acron BO-001P-01 | 8% | 11% | 14% | 100% | 100% | 100% |
| 4 | RU000A0JVNL1 | VEB-leasing USD 001P-01 | 40% | 43% | 46% | 100% | 100% | 100% |
| 5 | RU000A0JV9H9 | VEB-leasing AO BO-07 | 26% | 29% | 32% | 100% | 100% | 100% |
| 6 | RU000A0JV9D8 | VEB-leasing AO BO-06 | 25% | 28% | 31% | 100% | 100% | 100% |
| 7 | RU000A0JV8G3 | VEB-leasing AO BO-05 | 11% | 14% | 17% | 100% | 100% | 100% |
| 8 | RU000A0JV8D0 | VEB-leasing AO BO-04 | 11% | 14% | 17% | 100% | 100% | 100% |
| 9 | RU000A0JUFH7 | VEB-Lizing USD-14 | 15% | 18% | 21% | 100% | 100% | 100% |
| 10 | RU000A0JUFG9 | VEB-Lizing USD-13 | 15% | 18% | 21% | 100% | 100% | 100% |
| 11 | RU000A0JUFF1 | VEB-Lizing USD-12 | 15% | 18% | 21% | 100% | 100% | 100% |
| 12 | RU000A0JUFE4 | VEB-Lizing USD-11 | 15% | 18% | 21% | 100% | 100% | 100% |
| 13 | AKRN | Acron | 37% | 54% | 79% | 100% | 100% | 100% |
| № | Ticker | Description | Current Ban on short selling | New Ban on short selling | ||
|---|---|---|---|---|---|---|
| 1 | RU000A100YU2 | Acron BO-001P-03 | No | Yes | ||
| 2 | RU000A0JXSS1 | Acron BO-001P-02 | No | Yes | ||
| 3 | RU000A0JWV89 | Acron BO-001P-01 | No | Yes | ||
| 4 | RU000A0JVQQ3 | VEB-leasing AO BO-09 | No | Yes | ||
| 5 | RU000A0JVNL1 | VEB-leasing USD 001P-01 | No | Yes | ||
| 6 | RU000A0JV9H9 | VEB-leasing AO BO-07 | No | Yes | ||
| 7 | RU000A0JV9D8 | VEB-leasing AO BO-06 | No | Yes | ||
| 8 | RU000A0JV8G3 | VEB-leasing AO BO-05 | No | Yes | ||
| 9 | RU000A0JV8D0 | VEB-leasing AO BO-04 | No | Yes | ||
| 10 | RU000A0JUFH7 | VEB-Lizing USD-14 | No | Yes | ||
| 11 | RU000A0JUFG9 | VEB-Lizing USD-13 | No | Yes | ||
| 12 | RU000A0JUFF1 | VEB-Lizing USD-12 | No | Yes | ||
| 13 | RU000A0JUFE4 | VEB-Lizing USD-11 | No | Yes | ||
| 14 | RU000A0JUEE7 | VEB-lizing AO BO-01 | No | Yes | ||
| 15 | AKRN | Acron | No | Yes |
| № | Ticker | Description | Current stress scenario UP, % | Current stress scenario DOWN, % | New stress scenario UP, % | New stress scenario DOWN, % | ||
|---|---|---|---|---|---|---|---|---|
| 1 | RU000A100YU2 | Acron BO-001P-03 | 2.25 | 2.25 | 0 | 0 | ||
| 2 | RU000A0JXSS1 | Acron BO-001P-02 | 2.25 | 2.25 | 0 | 0 | ||
| 3 | RU000A0JWV89 | Acron BO-001P-01 | 1.5 | 1.5 | 0 | 0 | ||
| 4 | RU000A0JVQQ3 | VEB-leasing AO BO-09 | 8 | 8 | 0 | 0 | ||
| 5 | RU000A0JVNL1 | VEB-leasing USD 001P-01 | 2 | 2 | 0 | 0 | ||
| 6 | RU000A0JV9H9 | VEB-leasing AO BO-07 | 5.5 | 5.5 | 0 | 0 | ||
| 7 | RU000A0JV9D8 | VEB-leasing AO BO-06 | 3.75 | 3.75 | 0 | 0 | ||
| 8 | RU000A0JV8G3 | VEB-leasing AO BO-05 | 1.5 | 1.5 | 0 | 0 | ||
| 9 | RU000A0JV8D0 | VEB-leasing AO BO-04 | 1.5 | 1.5 | 0 | 0 | ||
| 10 | RU000A0JUFH7 | VEB-Lizing USD-14 | 7 | 5 | 0 | 0 | ||
| 11 | RU000A0JUFG9 | VEB-Lizing USD-13 | 7 | 5 | 0 | 0 | ||
| 12 | RU000A0JUFF1 | VEB-Lizing USD-12 | 7 | 5 | 0 | 0 | ||
| 13 | RU000A0JUFE4 | VEB-Lizing USD-11 | 7 | 5 | 0 | 0 | ||
| 14 | RU000A0JUEE7 | VEB-lizing AO BO-01 | 8 | 8 | 0 | 0 | ||
| 15 | AKRN | Acron | 10 | 10 | 0 | 0 |
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