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, |
2nd level, |
3rd level, |
1st level, |
2nd level, |
3rd level, |
||
|
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 |
Minimum Initial Margin for |
Minimum Initial Margin for |
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:
|
Asset |
Current market risk rates |
New market risk rates |
||||
|
1st level, |
2nd level, |
3rd level, |
1st level, |
2nd level, |
3rd level, |
|
|
SU46023RMFS6 |
40% |
41% |
42% |
100% |
100% |
100% |
|
Asset |
Scen_UP |
Scen_DOWN |
|
SU46023RMFS6 |
0% |
0% |