30.09.2020 08:30
Risk Parameters Change for the Securities
The following risk parameters will be changed:
Market Risk Rate of the first, second and third level – S_1(2,3)_min
| Ticker | Minimum Initial Margin for the Market Risk, % (S_1_min) |
Minimum Initial Margin for the Market Risk, % (S_2_min) |
Minimum Initial Margin for the Market Risk, % (S_3_min) |
New value effective for | |||
|---|---|---|---|---|---|---|---|
| Current value | New value | Current value | New value | Current value | New value | ||
| MA-RM | 15% | 50% | 24% | 59% | 34% | 69% | 30.09.2020 - 09.10.2020 |
IR risk (downward scenario) - SECΔ_1 (Y0/Y1)
| Ticker | Current value | New value | New value effective for |
|---|---|---|---|
| MA-RM | 35% | 77% | 30.09.2020 - 09.10.2020 |
| Ticker | x_pr | Pch_max | Pcl_max | New value effective for |
|---|---|---|---|---|
| MA-RM | 1 | 0.1 | 0.4 | 30.09.2020 - 09.10.2020 |