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As per the Equity Market Risk Parameters Methodology, on 17.07.2019, 17-29 (MSK) the upper bound of the priceband and initial margins for the security RU000A0JXR43 were changed. New values are available at https://www.nationalclearingcentre.com/rates/fondMarketRates/

New bond will be accepted to margin trading starting from 17.07.2019. From this date on, the following risk parameters will be applied:

 

 

Ticker

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

        1  

 RU000A100KB1

3%

4%

5%

1 000 000

5 000 000

CCP NCC sets the following risk parameters on Securities market starting from July 22, 2019:

Market risk rates

 

Asset

New market risk rates

Current market risk rates

 
 

1st level,
S_1_min

2nd level,
S_2_min

3rd level,
S_3_min

1st level,
S_1_min

2nd level,
S_2_min

3rd level,
S_3_min

 

XS0830192711

18%

21%

24%

15%

20%

25%

 

XS0997544860

22%

25%

28%

19%

24%

29%

 

RU000A0JWPW1

19%

22%

25%

17%

20%

23%

 

RU000A0JWS92

18%

21%

24%

15%

20%

25%

 

RU000A0JWVC1

18%

21%

24%

14%

17%

20%

 

RU000A0JXC24

21%

24%

27%

18%

21%

24%

 

RU000A0JXM97

14%

17%

20%

13%

16%

19%

 

RU000A0ZYUS1

17%

20%

23%

14%

17%

20%

 

RU000A0ZZ349

16%

19%

22%

14%

17%

20%

 

 

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

TRNFP

17%

22%

23%

28%

36%

41%

17.07.2019 - 19.07.2019

 

IR risk (downward scenario) - SECΔ_1 (Y0/Y1)

Ticker

Current value

New value

New value effective for

TRNFP

35%

77%

17.07.2019 - 19.07.2019

 

Ticker

x_pr

New value effective for

TRNFP

1.47

17.07.2019 - 19.07.2019

 

 

Ticker

w

New value effective for

TRNFP

0.07

17.07.2019 - 19.07.2019

CCP NCC sets the following risk parameters on Securities market starting from July 15, 2019:

  • Market risk rates

Asset

Current market risk rates

New market risk rates

1st level,
S_1_min

2nd level,
S_2_min

3rd level,
S_3_min

1st level,
S_1_min

2nd level,
S_2_min

3rd level,
S_3_min

SU46023RMFS6

40%

41%

42%

100%

100%

100%

 

  • Scenarios for stress collateral calculation

Asset

Scen_UP

Scen_DOWN

SU46023RMFS6

0%

0%

 

  • CCP NCC will ban the short sells for SU46023RMFS6 starting from July 15, 2019.