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
ALRS
17%
21%
23%
27%
34%
38%
11.07.2019 - 15.07.2019
FEES
30%
36%
47%
53%
12.07.2019 - 16.07.2019
GAZP
28%
16.07.2019 - 18.07.2019
MTLRP
50%
57%
60%
67%
70%
77%
SNGSP
32%
43%
OGZD
22%
31%
37%
49%
55%
IR risk (downward scenario) - SECΔ_1 (Y0/Y1)
AFKS
35%
MTLR
SNGS
TRMK
x_pr
1.58
1.46
1.52
1.23
w
0.08
0.07
0.05
