The exchange's risk management system on 3 March
Dear participants,
Please note the following regarding the exchange's risk management system for certain markets on 3 March:
FX market
Margin rates remain unchanged:
| USDRUB | 5% |
| EURRUB | 5% |
Should market conditions change, the risk management system parameters are to be adjusted during the trading day.
Securities market
The securities market risk parameters have been changed. Margin rates have increased for the following securities:
| Ticker | Name | First level market risk rate (as of 03.03.2014), % |
|---|---|---|
| GAZP | Gazprom | 20 |
| GMKN | Norilsk Nickel | 20 |
| LKOH | Lukoil | 20 |
| SNGS | Surgutneftegas | 20 |
| HYDR | Rushydro | 20 |
| ROSN | Rosneft | 20 |
| SBER | Sberbank (ord) | 25 |
| SBERP | Sberbank (pref) | 25 |
| VTBR | VTB | 20 |
| NVTK | Novatek | 20 |
| CHMF | Severstal | 25 |
| FEES | Federal Grid Company | 25 |
| TATN | Tatneft | 25 |
| URKA | Uralkali | 40 |
| AFLT | Aeroflot | 50 |
Margin for other securities remain unchanged.
Should market conditions change, the risk management system parameters will be adjusted during the trading day.
Securities are subject to discrete auction if their market prices fluctuate by more than 20%.
If an index"s current value fluctuates by more than 15%, trading on the securities market is to be suspended.
If the fluctuation will made up 25%, trading on the securities market is to be suspended until the end of the day.
Derivatives market
Initial market base rate for specific instruments have been remained unchanged.
As the contract"s price approaches the price limit (the price range is determined as the halved IM value), the limits are to be changed automatically (half as much) in 15 minutes with the IM rates increased proportionally and collateral sufficiency readjusted.
During the trading session the Clearing House may decide to change the price limits again and subsequently increase pro rata the IM rates and determined the collateral sufficiency for positions by as much as 0.5% of the IM rate set for a specific contract.
The Bank of Russia Financial Markets Service, the Russian regulator, has instructed Moscow Exchange to use additional instruments to stabilize the market on 3 March, if necessary.
For further information, please contact the Public Relations Department at (495) 363-3232.