02.06.2020 13:06

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for futures on AFK Systema ordinary shares, for futures on TCS Group Holding Plc GDR, for futures on X5 Retail Group N.V. GDR on Derivatives market:

Underlying	Market risk rates			Concentration limits
Underlying	MR1	MR2	MR3	LK1	LK2
AFKS	35%	49%	78%	5 617 556	28 087 780
FIVE	35%	49%	78%	29 500	147 500
TCSI	35%	49%	78%	17 100	85 500

Underlying	T(m)	IR	VR	VVR	r
AFKS	1	0.1000	0.2866	0.9431	0.0433
AFKS	10	0.1000	0.2866	0.7542	0.0433
AFKS	30	0.1000	0.2866	0.3344	0.0433
AFKS	90	0.0700	0.2108	0.2459	0.0434
AFKS	180	0.0600	0.1939	0.2262	0.0437
AFKS	270	0.0400	0.1855	0.2164	0.0442
AFKS	365	0.0300	0.1770	0.2065	0.0445
AFKS	1095	0.0300	0.1349	0.1573	0.0480
TCSI	1	0.1000	0.2866	0.9431	0.0433
TCSI	10	0.1000	0.2866	0.7542	0.0433
TCSI	30	0.1000	0.2866	0.3344	0.0433
TCSI	90	0.0700	0.2108	0.2459	0.0434
TCSI	180	0.0600	0.1939	0.2262	0.0437
TCSI	270	0.0400	0.1855	0.2164	0.0442
TCSI	365	0.0300	0.1770	0.2065	0.0445
TCSI	1095	0.0300	0.1349	0.1573	0.0480
FIVE	1	0.1000	0.2866	0.9431	0.0433
FIVE	10	0.1000	0.2866	0.7542	0.0433
FIVE	30	0.1000	0.2866	0.3344	0.0433
FIVE	90	0.0700	0.2108	0.2459	0.0434
FIVE	180	0.0600	0.1939	0.2262	0.0437
FIVE	270	0.0400	0.1855	0.2164	0.0442
FIVE	365	0.0300	0.1770	0.2065	0.0445
FIVE	1095	0.0300	0.1349	0.1573	0.0480

Underlying	Num	RangeFut	MDRule	Intermonth spread
AFKS	0	0.5	Y	N
AFKS	1	0.5	Y	N
AFKS	2	0.5	Y	N
FIVE	0	0.5	Y	N
FIVE	1	0.5	Y	N
FIVE	2	0.5	Y	N
TCSI	0	0.5	Y	N
TCSI	1	0.5	Y	N
TCSI	2	0.5	Y	N

Underlying	Volat Num	M	MDtimeIcl	MDtimeEcl	freq	count	Spread	AutoShift NumMR	Window _size	SOMC
AFKS	3	10	3	8	5	12	0.2	2	0.5	0.1
FIVE	3	10	3	8	5	12	0.2	2	0.5	0.1
TCSI	3	10	3	8	5	12	0.2	2	0.5	0.1

Underlying	AutoShiftNumIR	Fut Mon Range	CS Mon Range	Fut Mon Time	CS Mon Time	Fut Mon Num	CS Mon Num	Fut Shift	CS Shift
AFKS	10	0.10	0.05	300	300	1	2	0.25	0.45
FIVE	10	0.10	0.05	300	300	1	2	0.25	0.45
TCSI	10	0.10	0.05	300	300	1	2	0.25	0.45

Stress collateral scenarios

Underlying	Scen_UP	Scen_DOWN
AFKS	10%	10%
FIVE	10%	10%
TCSI	10%	10%

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03.06.2020

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Risk parameters for new futures on Derivatives market