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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

T-RM

12%

50%

19%

57%

27%

65%

01.10.2020 - 12.10.2020

 

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

Ticker

Current value

New value

New value effective for

T-RM

35%

77%

01.10.2020 - 12.10.2020

 

Ticker

x_pr

New value effective for

T-RM

1.00

01.10.2020 - 12.10.2020

 

 

 

Ticker

Rcl_max

Rch_max

New value effective for

T-RM

0.4

0.1

01.10.2020 - 12.10.2020

 

As per the Securities market risk parameters methodology, on 30.09.2020, 20-05 (MSK) the lower bound of the price band (up to 3432) and initial margins (up to 23.75 %) for the security MU-RM were changed. New values are available here
As per the Securities market risk parameters methodology, on 30.09.2020, 13-21 (MSK) the upper bound of the price band for the security RU000A0JUQP7 were changed. New value 140.

New bonds will be accepted to margin trading starting from 30.09.2020. From this date on, the following risk parameters will be applied:

Ticker

Minimum Initial Margin for the Market Risk, %

Concentration Limit, # of securities

Ban on short selling

Eligible collateral

Level 1, S_1_min

Level 2, S_2_min

Level 3, S_3_min

Level 1

Level 2

        1  

 SU29016RMFS1

8%

9%

10%

         1 000 000  

          5 000 000  

No

Yes

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