27.04.2016 20:23
Risk Parameters Change for the securities
The following risk parameters for the securities EONR, GAZP, AFLT, CHMF, VTBR, TATN, GMKN, MTSS, SVAV, AFKS, ENRU, URKA, DIXY, LKOH, TRMK, MOEX, NKNC, NVTK will be changed:
- Lower REPO Penalty Rate (LPenRate)
| Ticker | Current value | New value | New value effective for |
|---|---|---|---|
| EONR | -50% | -200% | 04.05.2016 |
| GAZP | -50% | -200% | 11.05.2016 |
| AFLT | -50% | -200% | 10.05.2016 |
| CHMF | -100% | -200% | 10.05.2016 |
| VTBR | -50% | -200% | 06.05.2016 |
| TATN | -50% | -200% | 06.05.2016 |
| GMKN | -50% | -200% | 11.05.2016 |
| MTSS | -50% | -200% | 06.05.2016 |
| SVAV | -50% | -200% | 16.05.2016 |
| AFKS | -50% | -200% | 10.05.2016 |
| ENRU | -50% | -200% | 10.05.2016 |
| URKA | -50% | -200% | 11.05.2016 |
| DIXY | -50% | -200% | 04.05.2016 |
| LKOH | -50% | -200% | 10.05.2016 |
| TRMK | -50% | -200% | 04.05.2016 |
| MOEX | -50% | -200% | 16.05.2016 |
| NKNC | -50% | -200% | 04.05.2016 |
| NVTK | -200% | -200% | 04.05.2016 |
- Interest Risk Rate of the first, second and third level for 1D period - Δ_1(2,3)_min (Y0/Y1)
| Ticker | Current value | New value | New value effective for |
|---|---|---|---|
| EONR | 50% | 77% | 28.04.2016 - 05.05.2016 |
| GAZP | 50% | 77% | 06.05.2016 -12.05.2016 |
| AFLT | 50% | 77% | 05.05.2016 -11.05.2016 |
| CHMF | 50% | 77% | 05.05.2016 -11.05.2016 |
| VTBR | 50% | 77% | 04.05.2016 -10.05.2016 |
| TATN | 50% | 77% | 04.05.2016 -10.05.2016 |
| GMKN | 50% | 77% | 06.05.2016 -12.05.2016 |
| MTSS | 50% | 77% | 04.05.2016 -10.05.2016 |
| SVAV | 50% | 77% | 12.05.2016 - 17.05.2016 |
| AFKS | 50% | 77% | 05.05.2016 -11.05.2016 |
| ENRU | 20% | 77% | 05.05.2016 -11.05.2016 |
| URKA | 50% | 77% | 06.05.2016 -12.05.2016 |
| DIXY | 50% | 77% | 28.04.2016 - 05.05.2016 |
| LKOH | 50% | 77% | 05.05.2016 -11.05.2016 |
| TRMK | 50% | 77% | 28.04.2016 - 05.05.2016 |
| MOEX | 50% | 77% | 12.05.2016 - 17.05.2016 |
| NKNC | 50% | 77% | 28.04.2016 – 05.05.2016 |
| NVTK | 50% | 77% | 28.04.2016 – 05.05.2016 |
- Interest Risk Rate of the first, second and third level for 1W period - Δ_1(2,3)_min (Y0/Y1W)
| Ticker | Current value | New value | New value effective for |
|---|---|---|---|
| EONR | 40% | 55% | 28.04.2016 - 05.05.2016 |
| GAZP | 40% | 55% | 06.05.2016 -12.05.2016 |
| AFLT | 40% | 55% | 05.05.2016 -11.05.2016 |
| CHMF | 40% | 55% | 05.05.2016 -11.05.2016 |
| VTBR | 40% | 55% | 04.05.2016 -10.05.2016 |
| TATN | 40% | 55% | 04.05.2016 -10.05.2016 |
| GMKN | 40% | 55% | 06.05.2016 -12.05.2016 |
| MTSS | 40% | 55% | 04.05.2016 -10.05.2016 |
| SVAV | 40% | 55% | 12.05.2016 - 17.05.2016 |
| AFKS | 40% | 55% | 05.05.2016 -11.05.2016 |
| ENRU | 40% | 55% | 05.05.2016 -11.05.2016 |
| URKA | 40% | 55% | 06.05.2016 -12.05.2016 |
| DIXY | 40% | 55% | 28.04.2016 - 05.05.2016 |
| LKOH | 40% | 55% | 05.05.2016 -11.05.2016 |
| TRMK | 40% | 55% | 28.04.2016 - 05.05.2016 |
| MOEX | 40% | 55% | 12.05.2016 - 17.05.2016 |
| NKNC | 40% | 55% | 28.04.2016 – 05.05.2016 |
| NVTK | 40% | 55% | 28.04.2016 – 05.05.2016 |
- Market Risk Rate of the first, second and third level - S_1(2,3)_min
| № | Ticker | New value effective for | Minimum Initial Margin for the Market Risk, % | ||
|---|---|---|---|---|---|
| Level 1, S1_min | Level 2, S2_min | Level 3, S3_min | |||
| 1 | MOEX | 12.05.2016 – 16.05.2016 | 22% | 27% | 34% |
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