10.02.2016 14:09
Risk Parameters Change
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% |
For further information, please contact the Public Relations Department at (495) 363-3232.