The following risk parameters for currencies will be applied starting from December 17, 2014:
Currency
Minimum initial margin rates, %
Concentration limit
Level 1, S_1_min
Level 2, S_2_min
Level 3, S_3_min
1 level
2 level
USD (US dollar)
12.0%
13.0%
14.0%
1 000 000 000
5 000 000 000
EUR(euro)
700 000 000
3 500 000 000
CNY(Chinese Renminbi)
20 000 000
100 000 000
HKD (Hong Kong Dollar)
GBP (Pound Sterling)
350 000 000
1 750 000 000
Swap duration
1D
1W
2W
1M
2M
3M
6M
9M
1Y
Minimum interest rate risk (IR)
8,0%
5,0%
4,0%