The following risk parameters for the securities SNGS, SNGSP, AFKS, BANE, BANEP will be changed:
· Interest rate risk decrease rate - SECΔ_1. (Y0/Y1)
Ticker
Current value
New value
New value effective for
SNGS
35%
77%
14.07.2016 - 18.07.2016
SNGSP
AFKS
12.07.2016 - 14.07.2016
BANE
13.07.2016 - 15.07.2016
BANEP
· Market Risk Rate of the first, second and third level - S_1(2,3)_min
Minimum Initial Margin for
the Market Risk, %
Level 1, S1_min
Level 2, S2_min
Level 3, S3_min
30%
34%
41%
· Static risk parameters
x
w
2
1.2
0.1
0.05
