mssect52mssect

What's new


04.06.19


Risk Parameters Change for the Securities


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

SBER

17%

23%

21%

27%

28%

34%

10.06.2019 - 13.06.2019

SBERP

18%

24%

21%

27%

28%

34%

10.06.2019 - 13.06.2019

 

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

Ticker

Current value

New value

New value effective for

SBER

35%

77%

10.06.2019 - 13.06.2019

SBERP

35%

77%

10.06.2019 - 13.06.2019

 

 

Ticker

x_pr

w

New value effective for

SBER

1.52

0.07

10.06.2019 - 13.06.2019

SBERP

1.45

0.07

10.06.2019 - 13.06.2019