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16 May 2016 Risk Parameters Change
Risk Parameters for the following FX Market instruments will be changed starting from April 14, 2016:
FX Market
|
|
Ticker |
Current IM rates |
New IM rates |
Concentration Limits |
|||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
1st level |
2nd level |
||
|
1 |
USD |
9% |
10% |
11% |
8% |
9.5% |
11% |
1 000 000 000 |
5 000 000 000 |
|
2 |
EUR |
9% |
10% |
11% |
8% |
9.5% |
11% |
700 000 000 |
3 500 000 000 |
|
3 |
CNY |
9% |
10% |
11% |
8% |
9.5% |
11% |
20 000 000 |
100 000 000 |
|
4 |
GBP |
9% |
10% |
11% |
8% |
9.5% |
11% |
350 000 000 |
1 750 000 000 |
|
5 |
HKD |
9% |
10% |
11% |
8% |
9.5% |
11% |
20 000 000 |
100 000 000 |
Risk Parameters for the following Derivatives Market instruments will be changed starting from 7:00 pm April 13, 2016:
Derivatives Market
|
|
Underlying |
Futures contract |
Current Basic IM Rate |
New Basic IM Rate |
|
1 |
Si |
USD/RUB Exchange rate |
9% |
8% |
|
2 |
Eu |
EUR/RUB Exchange rate |
9% |
8% |
FX Risk Rate for the OTC Derivatives Market will be changed from 9% to 8% starting from 5:00 pm April 13, 2016.
Risk Parameters for the following instruments in Securities market will be changed starting from April 14, 2016:
|
№ |
Ticker |
Current IM rates |
New IM rates |
Concentration Limits |
|||||
|
S_1_min |
S_2_min |
S_3_min |
S_1_min |
S_2_min |
S_3_min |
1st level |
2nd level |
||
|
1 |
RU000A0JR043 |
7% |
10% |
13% |
11% |
14% |
17% |
100 000 |
500 000 |
|
2 |
RU000A0JUV08 |
7% |
10% |
13% |
12% |
15% |
18% |
200 000 |
1 000 000 |