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03 September 2015 Risk Parameters Change from September 08, 2015
Risk Parameters for the following instruments will be changed starting from September 08, 2015:
Bonds
|
|
Ticker |
Current IM rates |
New IM rates |
Current Concentration Limits |
New Concentration Limits |
||||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
1st level |
2nd level |
1st level |
2nd level |
||
|
1 |
SU46017RMFS8 |
3% |
6% |
9% |
5% |
8% |
11% |
1 000 000 |
5 000 000 |
2 000 000 |
10 000 000 |
|
2 |
RU000A0JQXG0 |
22% |
27% |
32% |
17% |
20% |
23% |
200 000 |
1 000 000 |
200 000 |
1 000 000 |
|
3 |
RU000A0JRF37 |
31% |
36% |
41% |
25% |
30% |
35% |
100 000 |
500 000 |
100 000 |
500 000 |
|
4 |
RU000A0JS5R1 |
8% |
11% |
14% |
11% |
14% |
17% |
100 000 |
500 000 |
100 000 |
500 000 |
|
5 |
RU000A0JPTJ4 |
16% |
21% |
25% |
11% |
14% |
17% |
200 000 |
1 000 000 |
200 000 |
1 000 000 |
|
6 |
RU000A0JPMT8 |
7% |
10% |
13% |
9% |
12% |
15% |
100 000 |
500 000 |
100 000 |
500 000 |
Shares (Interest Risk rates)
|
|
Ticker |
Current Interest Risk rate of the first, second and third level for 1D period, % ?_1_min, ?_2_min, ?_3_min (Y0/Y1) |
New Interest Risk rate of the first, second and third level for 1D period, % |
|
1 |
MTLR |
26% |
20% |
|
2 |
MTLRP |
26% |
20% |
|
3 |
MSNG |
26% |
50% |
|
4 |
RASP |
26% |
50% |
|
5 |
RUAL |
20% |
50% |
|
6 |
LNTA |
20% |
50% |
Shares (Initial Margin rates and Concentration limits)
|
|
Ticker |
Current IM rates, % |
New IM rates, % |
Current concentration Limits |
New concentration limits |
||||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
1st level |
2nd level |
1st level |
2nd level |
||
|
1 |
RUAL |
100% |
100% |
100% |
35% |
45% |
60% |
- |
- |
150 000 |
300 000 |
|
2 |
LNTA |
100% |
100% |
100% |
50% |
60% |
70% |
- |
- |
5 200 |
10 400 |
|
3 |
PIKK |
35% |
59% |
95% |
35% |
59% |
95% |
528 040 |
1 056 080 |
175 000 |
350 000 |
|
4 |
OFCB |
50% |
60% |
70% |
50% |
60% |
70% |
23 080 |
46 160 |
2 300 |
4 600 |
Shortselling will not be allowed for MTLR and MTLRP starting from September 08, 2015.
Futures inter-month spreads
|
Contract |
Current spread coefficient |
New spread coefficient |
Futures spread dates |
|
|
USD/RUB exchange rate futures |
- |
- |
The nearest futures settlement date |
|
|
1,2 |
1 |
The second settlement day in the quarter cycle |
||
|
1,5 |
1.2 |
The third settlement day in the quarter cycle |
||
|
1,8 |
1.2 |
The fourth settlement day in the quarter cycle |
||
|
2 |
2 |
The fifth settlement day in the quarter cycle |