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04 July 2024

The following risk parameters will be changed:

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% 25% 23% 31% 30% 38% 10.07.2024 - 11.07.2024
SBERP 17% 25% 23% 31% 30% 38% 10.07.2024 - 11.07.2024
PHOR 17% 21% 23% 27% 30% 34% 10.07.2024 - 11.07.2024
BANE 33% 38% 39% 44% 46% 51% 11.07.2024 - 12.07.2024
BANEP 33% 41% 39% 47% 46% 54% 11.07.2024 - 12.07.2024

 

Ticker IR risk (downward scenario) - SECΔ_1 (Y0/Y1) New value effective for
Current value New value
AFKS 35% 77% 08.07.2024 - 09.07.2024
RU000A0ZYH02 35% 77% 09.07.2024 - 10.07.2024
SBER 35% 77% 10.07.2024 - 11.07.2024
SBERP 35% 77% 10.07.2024 - 11.07.2024
PHOR 35% 77% 10.07.2024 - 11.07.2024
PHOR 35% 77% 10.07.2024 - 11.07.2024
BANE 35% 77% 11.07.2024 - 12.07.2024
BANEP 35% 77% 11.07.2024 - 12.07.2024

 

Ticker x_pr New value effective for
SBER 1.34 10.07.2024 - 11.07.2024
SBERP 1.34 10.07.2024 - 11.07.2024

 

PHOR 1.56 10.07.2024 - 11.07.2024
BANEP 1.42 11.07.2024 - 12.07.2024

 

Ticker w New value effective for
SBER 0.06 10.07.2024 - 11.07.2024
SBERP 0.06 10.07.2024 - 11.07.2024
PHOR 0.08 10.07.2024 - 11.07.2024
BANEP 0.07 11.07.2024 - 12.07.2024