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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


 

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