MOEX announces September 2016 market trading schedule and risk parameters for bond


Moscow Exchange (MOEX) has announced that the bond below will be transferred to the partial collateral from August 25, 2016. From this date on, the following risk parameters will be applied:

icker

Minimum Initial Margin for

the Market Risk, %

Concentration Limit,

# of securities

Level 1, S_1_min Level 2, S_2_min Level 3, S_3_min Level 1 Level 2
RU000A0JWNE4 18% 21% 24% 4 000 20 000

 

Ticker IR risk (downward scenario), %
Y0/Y1 (1 day) Y0/YW (1 week)
RU000A0JWNE4 35% 35%

As for the trading schedule in September 2016, MOEX has announced the following changes:

  • The instruments USDRUB_TOD, USD_TODTOM, EURUSD_TOD and EURUSDTDTM will not be traded on 5 September 2016 as this is a non-business day in the US.
  • The instrument KZTRUB_TOD will not be traded on 12 September 2016 as this is a non-business day in Kazakhstan.
  • The instruments CNYRUB_TOD and CNY_TODTOM will not be traded on 15 and 16 September 2016 as these are non-business days in China.
  • The instruments HKDRUB_TOD and HKD_TODTOM will not be traded on 16 September 2016 as this is a non-business day in Hong Kong.

All other instruments will be traded as usual.

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MOEX announces September 2016 market trading schedule and risk parameters for bond

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