03.11.2020 19:36
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 | ||
| AAPL-RM | 17% | 50% | 25% | 58% | 34% | 67% | 05.11.2020 - 09.11.2020 |
| MSFT-RM | 16% | 50% | 24% | 58% | 32% | 66% | 10.11.2020 - 19.11.2020 |
| V-RM | 16% | 50% | 24% | 58% | 32% | 66% | 05.11.2020 - 13.11.2020 |
| XOM-RM | 34% | 50% | 50% | 66% | 68% | 84% | 05.11.2020 - 12.11.2020 |
IR risk (downward scenario) - SECΔ_1 (Y0/Y1)
| Ticker | Current value | New value | New value effective for |
|---|---|---|---|
| AAPL-RM | 35% | 77% | 05.11.2020 - 09.11.2020 |
| MSFT-RM | 35% | 77% | 10.11.2020 - 19.11.2020 |
| V-RM | 35% | 77% | 05.11.2020 - 13.11.2020 |
| XOM-RM | 35% | 77% | 05.11.2020 - 12.11.2020 |
| Ticker | x_pr | New value effective for |
|---|---|---|
| AAPL-RM | 1.00 | 05.11.2020 - 09.11.2020 |
| MSFT-RM | 1.00 | 10.11.2020 - 19.11.2020 |
| V-RM | 1.00 | 05.11.2020 - 13.11.2020 |
| XOM-RM | 1.00 | 05.11.2020 - 12.11.2020 |
| Ticker | Rcl_max | Rch_max | New value effective for |
|---|---|---|---|
| AAPL-RM | 0.4 | 0.1 | 05.11.2020 - 09.11.2020 |
| MSFT-RM | 0.4 | 0.1 | 10.11.2020 - 19.11.2020 |
| V-RM | 0.4 | 0.1 | 05.11.2020 - 13.11.2020 |
| XOM-RM | 0.4 | 0.1 | 05.11.2020 - 12.11.2020 |