04.07.2024 12:33
Risk Parameters Change for the Securities
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 |