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14 October 2015 Risk Parameters Change from October 20, 2015
Risk Parameters for the following instruments will be changed starting from October 20, 2015:
Securities market
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_1_min |
S_2_min |
S_3_min |
S_1_min |
S_1_min |
S_2_min |
||
|
1 |
SU24018RMFS2 |
8% |
11% |
14% |
8% |
9% |
10% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
2 |
SU25077RMFS7 |
3% |
6% |
9% |
3% |
4% |
5% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
3 |
SU25080RMFS1 |
6% |
9% |
12% |
6% |
7% |
8% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
4 |
SU25081RMFS9 |
7% |
10% |
13% |
7% |
8% |
9% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
5 |
SU25082RMFS7 |
4% |
7% |
10% |
4% |
5% |
6% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
6 |
SU26203RMFS8 |
4% |
7% |
10% |
4% |
5% |
6% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
7 |
SU26204RMFS6 |
7% |
10% |
13% |
7% |
8% |
9% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
8 |
SU26205RMFS3 |
9% |
12% |
15% |
9% |
10% |
11% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
9 |
SU26206RMFS1 |
6% |
9% |
12% |
6% |
7% |
8% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
10 |
SU26207RMFS9 |
12% |
15% |
18% |
12% |
13% |
14% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
11 |
SU26208RMFS7 |
7% |
10% |
13% |
7% |
8% |
9% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
12 |
SU26209RMFS5 |
9% |
12% |
15% |
9% |
10% |
11% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
13 |
SU26210RMFS3 |
8% |
11% |
14% |
8% |
9% |
10% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
14 |
SU26211RMFS1 |
10% |
13% |
16% |
10% |
11% |
12% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
15 |
SU26212RMFS9 |
13% |
16% |
19% |
13% |
14% |
15% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
16 |
SU26214RMFS5 |
8% |
11% |
14% |
8% |
9% |
10% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
17 |
SU26215RMFS2 |
10% |
13% |
16% |
10% |
11% |
12% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
18 |
SU26216RMFS0 |
7% |
10% |
13% |
7% |
8% |
9% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
19 |
SU29006RMFS2 |
8% |
11% |
14% |
8% |
9% |
10% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
20 |
SU29007RMFS0 |
8% |
11% |
14% |
8% |
9% |
10% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
21 |
SU29008RMFS8 |
8% |
11% |
14% |
8% |
9% |
10% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
22 |
SU29009RMFS6 |
8% |
11% |
14% |
8% |
9% |
10% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
23 |
SU29010RMFS4 |
8% |
11% |
14% |
8% |
9% |
10% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
24 |
SU29011RMFS2 |
8% |
11% |
14% |
8% |
9% |
10% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
25 |
SU46005RMFS3 |
7% |
10% |
13% |
7% |
8% |
9% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
26 |
SU46011RMFS1 |
9% |
12% |
15% |
40% |
60% |
100% |
1 000 000 |
5 000 000 |
1 000 |
19 000 |
|
27 |
SU46012RMFS9 |
14% |
17% |
20% |
40% |
60% |
100% |
1 000 000 |
5 000 000 |
1 000 |
11 000 |
|
28 |
SU46014RMFS5 |
7% |
10% |
13% |
7% |
8% |
9% |
2 000 000 |
10 000 000 |
2 000 000 |
10 000 000 |
|
29 |
SU46017RMFS8 |
5% |
8% |
11% |
3% |
4% |
5% |
2 000 000 |
10 000 000 |
2 000 000 |
10 000 000 |
|
30 |
SU46018RMFS6 |
9% |
12% |
15% |
9% |
10% |
11% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
31 |
SU46019RMFS4 |
7% |
10% |
13% |
7% |
8% |
9% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
32 |
SU46020RMFS2 |
16% |
19% |
22% |
16% |
17% |
18% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
33 |
SU46021RMFS0 |
7% |
10% |
13% |
7% |
8% |
9% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
34 |
SU46022RMFS8 |
10% |
13% |
16% |
10% |
11% |
12% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
35 |
SU46023RMFS6 |
40% |
45% |
50% |
40% |
41% |
42% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
36 |
SU48001RMFS0 |
8% |
11% |
14% |
8% |
9% |
10% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
37 |
SU52001RMFS3 |
12% |
15% |
18% |
12% |
13% |
14% |
1 000 000 |
5 000 000 |
1 000 000 |
5 000 000 |
|
38 |
RU000A0JQAM6 |
7% |
10% |
13% |
40% |
45% |
50% |
200 000 |
1 000 000 |
200 000 |
1 000 000 |
|
39 |
RU000A0JRF37 |
25% |
30% |
35% |
8% |
11% |
14% |
100 000 |
500 000 |
100 000 |
500 000 |
|
40 |
RU000A0JU9S7 |
16% |
20% |
24% |
11% |
16% |
20% |
200 000 |
1 000 000 |
200 000 |
1 000 000 |
|
41 |
RU000A0JU9T5 |
16% |
20% |
24% |
11% |
16% |
20% |
200 000 |
1 000 000 |
200 000 |
1 000 000 |
|
42 |
RU000A0JR217 |
7% |
10% |
13% |
20% |
25% |
30% |
200 000 |
1 000 000 |
200 000 |
1 000 000 |
Shares
|
|
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_1_min |
S_2_min |
S_3_min |
S_1_min |
S_1_min |
S_2_min |
||
|
1 |
SBER |
15% |
20% |
25% |
14% |
18% |
25% |
32 651 100 |
65 302 200 |
32 651 100 |
65 302 200 |
|
2 |
GAZP |
15% |
20% |
25% |
14% |
18% |
25% |
8 645 190 |
17 290 380 |
8 645 190 |
17 290 380 |
|
3 |
VTBR |
15% |
20% |
25% |
14% |
18% |
25% |
8 698 600 000 |
17 397 200 000 |
8 698 600 000 |
17 397 200 000 |
|
4 |
LKOH |
15% |
20% |
25% |
14% |
18% |
25% |
263 480 |
526 960 |
263 480 |
526 960 |
|
5 |
GMKN |
15% |
20% |
25% |
14% |
18% |
25% |
60 843 |
121 686 |
60 843 |
121 686 |
|
6 |
SNGSP |
15% |
20% |
25% |
14% |
18% |
25% |
10 911 500 |
21 823 000 |
10 911 500 |
21 823 000 |
|
7 |
MGNT |
15% |
20% |
25% |
14% |
18% |
25% |
26 990 |
53 980 |
26 990 |
53 980 |
|
8 |
ROSN |
15% |
20% |
25% |
14% |
18% |
25% |
1 088 620 |
2 177 240 |
1 088 620 |
2 177 240 |
|
9 |
SBERP |
18% |
23% |
28% |
17% |
18% |
28% |
4 882 400 |
9 764 800 |
4 882 400 |
9 764 800 |
|
10 |
SNGS |
15% |
20% |
25% |
14% |
18% |
25% |
5 966 900 |
11 933 800 |
5 966 900 |
11 933 800 |
|
11 |
CHMF |
20% |
25% |
30% |
18% |
23% |
30% |
262 070 |
524 140 |
262 070 |
524 140 |
|
12 |
MAGN |
35% |
59% |
95% |
33% |
57% |
95% |
6 407 300 |
12 814 600 |
6 407 300 |
12 814 600 |
|
13 |
ALRS |
25% |
40% |
50% |
23% |
38% |
50% |
2 167 200 |
4 334 400 |
2 167 200 |
4 334 400 |
|
14 |
MOEX |
18% |
23% |
28% |
16% |
21% |
28% |
1 749 760 |
3 499 520 |
1 749 760 |
3 499 520 |
|
15 |
RTKM |
25% |
35% |
45% |
23% |
33% |
45% |
497 120 |
994 240 |
497 120 |
994 240 |
|
16 |
NLMK |
25% |
35% |
45% |
23% |
33% |
45% |
717 850 |
1 435 700 |
717 850 |
1 435 700 |
|
17 |
PIKK |
35% |
59% |
95% |
35% |
59% |
95% |
175 000 |
350 000 |
35 000 |
70 000 |
|
18 |
OFCB |
50% |
60% |
70% |
50% |
60% |
70% |
2 300 |
4 600 |
750 |
1 500 |
|
19 |
OTCP |
70% |
85% |
95% |
70% |
85% |
95% |
10 490 |
20 980 |
150 |
300 |
Currency market
Currencies
|
|
|
Current IM rates |
New IM rates |
||||
|
|
Currency |
S_1_min |
S_2_min |
S_1_min |
S_2_min |
S_1_min |
S_2_min |
|
1 |
USD |
9% |
10% |
11% |
8% |
9.5% |
11% |
|
2 |
EUR |
9% |
10% |
11% |
8% |
9.5% |
11% |
|
3 |
CNY |
9% |
10% |
11% |
8% |
9.5% |
11% |
|
4 |
GBP |
9% |
10% |
11% |
8% |
9.5% |
11% |
|
5 |
HKD |
9% |
10% |
11% |
8% |
9.5% |
11% |
Standardised OTC derivatives market
|
|
Current value |
New value |
|
Currency Risk rate |
9% |
8% |
Derivatives market
Minimum basic sizes of the initial margin
|
|
Ticker |
Contract |
Current Basic IM size |
NEW Basic IM size |
|
|
Shares |
|||
|
1 |
CHMF |
Severstal ordinary shares |
20% |
18% |
|
2 |
GAZR |
Gazprom ordinary shares |
15% |
14% |
|
3 |
GMKR |
MMC Norilsk Nickel ordinary share |
15% |
14% |
|
4 |
GVW3 |
Volkswagen AG preferred shares |
12% |
20% |
|
5 |
LKOH |
LUKoil Holdings ordinary shares |
15% |
14% |
|
6 |
MOEX |
Moscow Exchange ordinary shares |
20% |
16% |
|
7 |
MGNT |
Magnit ordinary shares |
15% |
14% |
|
8 |
MTSI |
Mobile TeleSystems ordinary shares |
20% |
15% |
|
9 |
NOTK |
NOVATEK ordinary shares |
20% |
18% |
|
10 |
ROSN |
Rosneft ordinary shares |
15% |
14% |
|
11 |
RTKM |
Rostelecom ordinary shares |
25% |
23% |
|
12 |
SBRF |
Sberbank of Russia ordinary shares |
15% |
14% |
|
13 |
SNGP |
Surgutneftegas preferred shares |
15% |
14% |
|
14 |
SNGR |
Surgutneftegas ordinary shares |
15% |
14% |
|
15 |
VTBR |
VTB Bank ordinary shares |
15% |
14% |
|
|
Currencies |
|||
|
16 |
CY |
CNY/RUB Exchange Rate |
9% |
8% |
|
17 |
Eu |
EUR/RUB Exchange rate |
9% |
8% |
|
18 |
Si |
USD/RUB Exchange rate |
9% |
8% |