07.04.2016 16:06
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 |
For further information, please contact the Public Relations Department at (495) 363-3232.
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