13.10.2015 21:40
Risk Parameters Change from October 20, 2015
Risk Parameters for the following instruments will be changed starting from October 20, 2015:
Securities market
Bonds
| Ticker | Current IM rates | New IM rates | Current Concentration Limits | New Concentration Limits | |||||||
| S_1_min | S_2_min | S_3_min | S_1_min | S_1_min | S_2_min | S_3_min | S_1_min | S_1_min | S_2_min | ||
| 1 | SU24018RMFS2 | 8% | 11% | 14% | 8% | 9% | 10% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 2 | SU25077RMFS7 | 3% | 6% | 9% | 3% | 4% | 5% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 3 | SU25080RMFS1 | 6% | 9% | 12% | 6% | 7% | 8% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 4 | SU25081RMFS9 | 7% | 10% | 13% | 7% | 8% | 9% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 5 | SU25082RMFS7 | 4% | 7% | 10% | 4% | 5% | 6% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 6 | SU26203RMFS8 | 4% | 7% | 10% | 4% | 5% | 6% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 7 | SU26204RMFS6 | 7% | 10% | 13% | 7% | 8% | 9% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 8 | SU26205RMFS3 | 9% | 12% | 15% | 9% | 10% | 11% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 9 | SU26206RMFS1 | 6% | 9% | 12% | 6% | 7% | 8% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 10 | SU26207RMFS9 | 12% | 15% | 18% | 12% | 13% | 14% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 11 | SU26208RMFS7 | 7% | 10% | 13% | 7% | 8% | 9% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 12 | SU26209RMFS5 | 9% | 12% | 15% | 9% | 10% | 11% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 13 | SU26210RMFS3 | 8% | 11% | 14% | 8% | 9% | 10% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 14 | SU26211RMFS1 | 10% | 13% | 16% | 10% | 11% | 12% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 15 | SU26212RMFS9 | 13% | 16% | 19% | 13% | 14% | 15% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 16 | SU26214RMFS5 | 8% | 11% | 14% | 8% | 9% | 10% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 17 | SU26215RMFS2 | 10% | 13% | 16% | 10% | 11% | 12% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 18 | SU26216RMFS0 | 7% | 10% | 13% | 7% | 8% | 9% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 19 | SU29006RMFS2 | 8% | 11% | 14% | 8% | 9% | 10% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 20 | SU29007RMFS0 | 8% | 11% | 14% | 8% | 9% | 10% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 21 | SU29008RMFS8 | 8% | 11% | 14% | 8% | 9% | 10% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 22 | SU29009RMFS6 | 8% | 11% | 14% | 8% | 9% | 10% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 23 | SU29010RMFS4 | 8% | 11% | 14% | 8% | 9% | 10% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 24 | SU29011RMFS2 | 8% | 11% | 14% | 8% | 9% | 10% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 25 | SU46005RMFS3 | 7% | 10% | 13% | 7% | 8% | 9% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 26 | SU46011RMFS1 | 9% | 12% | 15% | 40% | 60% | 100% | 1 000 000 | 5 000 000 | 1 000 | 19 000 |
| 27 | SU46012RMFS9 | 14% | 17% | 20% | 40% | 60% | 100% | 1 000 000 | 5 000 000 | 1 000 | 11 000 |
| 28 | SU46014RMFS5 | 7% | 10% | 13% | 7% | 8% | 9% | 2 000 000 | 10 000 000 | 2 000 000 | 10 000 000 |
| 29 | SU46017RMFS8 | 5% | 8% | 11% | 3% | 4% | 5% | 2 000 000 | 10 000 000 | 2 000 000 | 10 000 000 |
| 30 | SU46018RMFS6 | 9% | 12% | 15% | 9% | 10% | 11% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 31 | SU46019RMFS4 | 7% | 10% | 13% | 7% | 8% | 9% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 32 | SU46020RMFS2 | 16% | 19% | 22% | 16% | 17% | 18% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 33 | SU46021RMFS0 | 7% | 10% | 13% | 7% | 8% | 9% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 34 | SU46022RMFS8 | 10% | 13% | 16% | 10% | 11% | 12% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 35 | SU46023RMFS6 | 40% | 45% | 50% | 40% | 41% | 42% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 36 | SU48001RMFS0 | 8% | 11% | 14% | 8% | 9% | 10% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 37 | SU52001RMFS3 | 12% | 15% | 18% | 12% | 13% | 14% | 1 000 000 | 5 000 000 | 1 000 000 | 5 000 000 |
| 38 | RU000A0JQAM6 | 7% | 10% | 13% | 40% | 45% | 50% | 200 000 | 1 000 000 | 200 000 | 1 000 000 |
| 39 | RU000A0JRF37 | 25% | 30% | 35% | 8% | 11% | 14% | 100 000 | 500 000 | 100 000 | 500 000 |
| 40 | RU000A0JU9S7 | 16% | 20% | 24% | 11% | 16% | 20% | 200 000 | 1 000 000 | 200 000 | 1 000 000 |
| 41 | RU000A0JU9T5 | 16% | 20% | 24% | 11% | 16% | 20% | 200 000 | 1 000 000 | 200 000 | 1 000 000 |
| 42 | RU000A0JR217 | 7% | 10% | 13% | 20% | 25% | 30% | 200 000 | 1 000 000 | 200 000 | 1 000 000 |
Shares
| Ticker | Current IM rates | New IM rates | Current Concentration Limits | New Concentration Limits | |||||||
| S_1_min | S_2_min | S_3_min | S_1_min | S_1_min | S_2_min | S_3_min | S_1_min | S_1_min | S_2_min | ||
| 1 | SBER | 15% | 20% | 25% | 14% | 18% | 25% | 32 651 100 | 65 302 200 | 32 651 100 | 65 302 200 |
| 2 | GAZP | 15% | 20% | 25% | 14% | 18% | 25% | 8 645 190 | 17 290 380 | 8 645 190 | 17 290 380 |
| 3 | VTBR | 15% | 20% | 25% | 14% | 18% | 25% | 8 698 600 000 | 17 397 200 000 | 8 698 600 000 | 17 397 200 000 |
| 4 | LKOH | 15% | 20% | 25% | 14% | 18% | 25% | 263 480 | 526 960 | 263 480 | 526 960 |
| 5 | GMKN | 15% | 20% | 25% | 14% | 18% | 25% | 60 843 | 121 686 | 60 843 | 121 686 |
| 6 | SNGSP | 15% | 20% | 25% | 14% | 18% | 25% | 10 911 500 | 21 823 000 | 10 911 500 | 21 823 000 |
| 7 | MGNT | 15% | 20% | 25% | 14% | 18% | 25% | 26 990 | 53 980 | 26 990 | 53 980 |
| 8 | ROSN | 15% | 20% | 25% | 14% | 18% | 25% | 1 088 620 | 2 177 240 | 1 088 620 | 2 177 240 |
| 9 | SBERP | 18% | 23% | 28% | 17% | 18% | 28% | 4 882 400 | 9 764 800 | 4 882 400 | 9 764 800 |
| 10 | SNGS | 15% | 20% | 25% | 14% | 18% | 25% | 5 966 900 | 11 933 800 | 5 966 900 | 11 933 800 |
| 11 | CHMF | 20% | 25% | 30% | 18% | 23% | 30% | 262 070 | 524 140 | 262 070 | 524 140 |
| 12 | MAGN | 35% | 59% | 95% | 33% | 57% | 95% | 6 407 300 | 12 814 600 | 6 407 300 | 12 814 600 |
| 13 | ALRS | 25% | 40% | 50% | 23% | 38% | 50% | 2 167 200 | 4 334 400 | 2 167 200 | 4 334 400 |
| 14 | MOEX | 18% | 23% | 28% | 16% | 21% | 28% | 1 749 760 | 3 499 520 | 1 749 760 | 3 499 520 |
| 15 | RTKM | 25% | 35% | 45% | 23% | 33% | 45% | 497 120 | 994 240 | 497 120 | 994 240 |
| 16 | NLMK | 25% | 35% | 45% | 23% | 33% | 45% | 717 850 | 1 435 700 | 717 850 | 1 435 700 |
| 17 | PIKK | 35% | 59% | 95% | 35% | 59% | 95% | 175 000 | 350 000 | 35 000 | 70 000 |
| 18 | OFCB | 50% | 60% | 70% | 50% | 60% | 70% | 2 300 | 4 600 | 750 | 1 500 |
| 19 | OTCP | 70% | 85% | 95% | 70% | 85% | 95% | 10 490 | 20 980 | 150 | 300 |
Currency market
Currencies
| Current IM rates | New IM rates | ||||||
| Currency | S_1_min | S_2_min | S_1_min | S_2_min | S_1_min | S_2_min | |
| 1 | USD | 9% | 10% | 11% | 8% | 9.5% | 11% |
| 2 | EUR | 9% | 10% | 11% | 8% | 9.5% | 11% |
| 3 | CNY | 9% | 10% | 11% | 8% | 9.5% | 11% |
| 4 | GBP | 9% | 10% | 11% | 8% | 9.5% | 11% |
| 5 | HKD | 9% | 10% | 11% | 8% | 9.5% | 11% |
Standardised OTC derivatives market
| Current value | New value | |
| Currency Risk rate | 9% | 8% |
Derivatives market
Minimum basic sizes of the initial margin
| Ticker | Contract | Current Basic IM size | NEW Basic IM size | |
| Shares | ||||
| 1 | CHMF | Severstal ordinary shares | 20% | 18% |
| 2 | GAZR | Gazprom ordinary shares | 15% | 14% |
| 3 | GMKR | MMC Norilsk Nickel ordinary share | 15% | 14% |
| 4 | GVW3 | Volkswagen AG preferred shares | 12% | 20% |
| 5 | LKOH | LUKoil Holdings ordinary shares | 15% | 14% |
| 6 | MOEX | Moscow Exchange ordinary shares | 20% | 16% |
| 7 | MGNT | Magnit ordinary shares | 15% | 14% |
| 8 | MTSI | Mobile TeleSystems ordinary shares | 20% | 15% |
| 9 | NOTK | NOVATEK ordinary shares | 20% | 18% |
| 10 | ROSN | Rosneft ordinary shares | 15% | 14% |
| 11 | RTKM | Rostelecom ordinary shares | 25% | 23% |
| 12 | SBRF | Sberbank of Russia ordinary shares | 15% | 14% |
| 13 | SNGP | Surgutneftegas preferred shares | 15% | 14% |
| 14 | SNGR | Surgutneftegas ordinary shares | 15% | 14% |
| 15 | VTBR | VTB Bank ordinary shares | 15% | 14% |
| Currencies | ||||
| 16 | CY | CNY/RUB Exchange Rate | 9% | 8% |
| 17 | Eu | EUR/RUB Exchange rate | 9% | 8% |
| 18 | Si | USD/RUB Exchange rate | 9% | 8% |
For further information, please contact the Public Relations Department at (495) 363-3232.
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