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04.03.2014 09:50

Market risk management system operations on 4 March 2014

Moscow Exchange completed 3 March main trading session in normal operating mode across all markets. Moscow Exchange's risk management system worked effectively during this period of high market volatility.

Clearing members are advised of the following regarding risk management on individual markets on 4 March:

FX Market

Margin rates remain unchanged since 3 March opening levels:

USDRUB 5%
EURRUB 5%

Should market conditions change, the risk management system parameters are to be adjusted during the trading day.

Equities Market

The Equities Market"s risk parameters remain unchanged since opening levels of 3 March, with the following exceptions:

  • The discount rate for the following stocks, which experienced high volatility on 3 March, namely: VTBR, NVTK, MGNT, MOEX.
  • The discount rate for the following stocks, which experienced price movements of more than 20% on 3 March: FEES, RSTI, MSTT, MTLR, MTLRP. These stocks" discount rates are at the level of the 3 March close.

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 value fluctuates by more than 15%, trading on the Securities Market will be suspended.

If the fluctuation is more than 25%, trading on the Securities Market will be suspended until the end of the day.

Derivatives market

The Derivative Market"s risk parameters have been adjusted, with further details available on our website.

If a contract"s price approaches the price limit (the price range is determined as half of the initial margin value), the limits will be changed automatically (by 50%) after 15 minutes, with the initial margin rates increasing proportionally and the margin requirement readjusted.   

During the trading session the Clearing House may change the price limits once more with a subsequent pro rata increase in the initial margin rates and recalculation of the margin sufficiency for positions by up to 0.5% of a contract"s initial margin rate.

The Bank of Russia Financial Markets Service (the Russian regulator) has instructed Moscow Exchange to use additional instruments to stabilise market conditions on 4 March if necessary.

For further information, please contact the Public Relations Department at (495) 363-3232.