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10 February 2016 Risk Parameters Change from February 15, 2016
Securities market
Risk Parameters for the following instruments will be changed starting from February 15, 2016:
Bonds
|
№ |
Ticker |
Current IM rates |
New IM rates |
Current Concentration Limits |
New Concentration Limits |
Eligible collateral starting from 15.02.2016 |
||||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
1-st level |
2-d level |
1-st level |
2-d level |
|||
|
1 |
XS0630950870 |
9% |
12% |
15% |
9% |
12% |
15% |
4 000 |
18 000 |
1 000 |
4 500 |
No |
|
2 |
RU000A0JREW5 |
7% |
10% |
13% |
13% |
17% |
21% |
100 000 |
500 000 |
100 000 |
500 000 |
No |
|
3 |
RU000A0JREX3 |
7% |
10% |
13% |
13% |
17% |
21% |
100 000 |
500 000 |
100 000 |
500 000 |
No |
|
4 |
RU000A0JREZ8 |
7% |
10% |
13% |
13% |
17% |
21% |
100 000 |
500 000 |
100 000 |
500 000 |
No |
|
5 |
RU000A0JRUY7 |
9% |
12% |
15% |
13% |
17% |
21% |
200 000 |
1 000 000 |
100 000 |
500 000 |
No |
|
6 |
RU000A0JRV52 |
9% |
12% |
15% |
13% |
17% |
21% |
100 000 |
500 000 |
100 000 |
500 000 |
No |
|
7 |
RU000A0JS389 |
8% |
11% |
14% |
13% |
17% |
21% |
100 000 |
500 000 |
100 000 |
500 000 |
No |
|
8 |
RU000A0JTQS3 |
14% |
19% |
23% |
14% |
19% |
23% |
200 000 |
1 000 000 |
100 000 |
500 000 |
No |
|
9 |
RU000A0JTQU9 |
14% |
19% |
23% |
14% |
19% |
23% |
100 000 |
500 000 |
100 000 |
500 000 |
No |
|
10 |
RU000A0JU9S7 |
11% |
16% |
20% |
16% |
21% |
26% |
200 000 |
1 000 000 |
100 000 |
500 000 |
No |
|
11 |
RU000A0JU9T5 |
11% |
16% |
20% |
16% |
21% |
26% |
200 000 |
1 000 000 |
100 000 |
500 000 |
No |
|
12 |
RU000A0JV8D0 |
7% |
10% |
13% |
13% |
17% |
21% |
200 000 |
1 000 000 |
100 000 |
500 000 |
No |
|
13 |
RU000A0JV8G3 |
7% |
10% |
13% |
13% |
17% |
21% |
200 000 |
1 000 000 |
100 000 |
500 000 |
No |
|
14 |
RU000A0JV9D8 |
7% |
10% |
13% |
13% |
17% |
21% |
200 000 |
1 000 000 |
100 000 |
500 000 |
No |
|
15 |
RU000A0JV9H9 |
9% |
12% |
15% |
13% |
17% |
21% |
200 000 |
1 000 000 |
100 000 |
500 000 |
No |
|
16 |
RU000A0JPTE5 |
7% |
10% |
13% |
10% |
13% |
16% |
100 000 |
500 000 |
100 000 |
500 000 |
Yes |
|
17 |
RU000A0JQS09 |
7% |
10% |
13% |
10% |
13% |
16% |
200 000 |
1 000 000 |
200 000 |
1 000 000 |
Yes |
|
18 |
RU000A0JQS74 |
7% |
10% |
13% |
10% |
13% |
16% |
100 000 |
500 000 |
100 000 |
500 000 |
Yes |
|
19 |
RU000A0JS5R1 |
11% |
14% |
17% |
13% |
17% |
22% |
100 000 |
500 000 |
100 000 |
500 000 |
No |
|
20 |
RU000A0JUAL0 |
10% |
13% |
16% |
12% |
16% |
21% |
100 000 |
500 000 |
100 000 |
500 000 |
No |
|
21 |
RU000A0JPTJ4 |
11% |
14% |
17% |
15% |
19% |
23% |
200 000 |
1 000 000 |
200 000 |
1 000 000 |
Yes |
|
22 |
RU000A0JUQ39 |
7% |
10% |
13% |
11% |
16% |
20% |
200 000 |
1 000 000 |
200 000 |
1 000 000 |
Yes |
|
23 |
RU000A0JTF43 |
7% |
10% |
13% |
13% |
16% |
19% |
200 000 |
1 000 000 |
200 000 |
1 000 000 |
No |
Derivatives market
Risk Parameters for the following instruments will be changed starting from February 12, 2016 19.00:
|
Underlying |
Futures contracts |
Current basic IM size |
Basic IM size NEW |
|
|
OFZ4 |
Four-year Russian Federation government bonds |
8% |
7% |
|
|
OFZ6 |
Six-year Russian Federation government bonds |
10% |
9% |
|
|
OF10 |
Ten-year Russian Federation government bonds |
11% |
10% |
|
|
OF15 |
Fifteen-year Russian Federation government bonds |
13% |
11% |