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
MA-RM
15%
50%
24%
59%
34%
69%
30.09.2020 - 09.10.2020
IR risk (downward scenario) - SECΔ_1 (Y0/Y1)
35%
77%
x_pr
Pch_max
Pcl_max
1
0.1
0.4
