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National Settlement Depository (NSD) is the central securities depository of the Russian Federation

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Central Counterparty National Clearing Centre acts as a Clearing House and CCP in the Russian financial market

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Regulated commodity markets

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28.02.2023 12:35

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from March, 1st 2023:

Market risk rates and concentration limits:

Underlying	Market risk rates			Concentration limits		MinPrice
Underlying	MR1	MR2	MR3	LK1	LK2	MinPrice
TRY	20%	32%	45%	4 130 000	20 650 000	0.001
HKD	15%	22%	35%	4 600 000	23 000 000	0.001

Interest risk rates and risk rates to implied volatility:

Underlying	T(m)	IR	VR	VVR	r
TRY	1	0.15	0.4866	0.9431	-0.0102
TRY	10	0.10	0.4866	0.7312	-0.0225
TRY	30	0.10	0.4866	0.2604	-0.1047
TRY	90	0.08	0.4108	0.1915	-0.1274
TRY	180	0.03	0.3939	0.1762	-0.1614
TRY	270	0.03	0.3855	0.1685	-0.1675
TRY	365	0.03	0.3770	0.1608	-0.1735
TRY	1095	0.03	0.3349	0.1225	-0.2229

Underlying	T(m)	IR	VR	VVR	r
HKD	1	0.06	0.4866	0.9431	0.0629
HKD	10	0.06	0.4866	0.7312	0.0630
HKD	30	0.06	0.4866	0.2604	0.0640
HKD	90	0.03	0.4108	0.1915	0.0656
HKD	180	0.025	0.3939	0.1762	0.0679
HKD	270	0.025	0.3855	0.1685	0.0690
HKD	365	0.025	0.3770	0.1608	0.0701
HKD	1095	0.025	0.3349	0.1225	0.0792

Other static parameters:

Underlying	RangeFut for all futures		RangeCS for all calendar spreads			MDRule for all futures	MRaddonUp for all futures			MRaddonDown for all futures
TRY		0.75		0.9	Y			0	0
HKD		0.75		0.9	Y			0	0

Underlying	Volat Num	M	MDtimeIcl	MDtimeEcl	freq	count	Spread	AutoShift NumMR	AutoShift NumMREvg	Window_size	SOMC
TRY	3	10	3	2	5	12	0.2	10	0	0.5	0.1
HKD	3	10	3	2	5	12	0.2	10	0	0.5	0.1

Underlying	AutoShiftNumIR	AutoShift NumIREvg	Fut Mon Range	BoundsWdn	CS Mon Range	Fut Mon TimeDay	FutMonTimeEvg	CS Mon TimeDay	CS MonTimeEvg	Fut Mon Num	CS Mon Num	Fut Shift	CS Shift
TRY	10	0	0.10	Y	0.05	180	180	180	180	2	2	0.22	0.36
HKD	10	0	0.10	Y	0.05	180	180	180	180	2	2	0.22	0.36

Underlying	Negative Prices	All First Priority	StepNum	OptionModel
TRY	N	N	1	Black model
HKD	N	N	1	Black model

Underlying	Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining
TRY	0
HKD	0

Underlying	Num	Are included into inter-month spread
TRY	All	N
HKD	All	N

Stress collateral scenarios

Underlying	Scen_UP	Scen_DOWN
TRY	7%	7%
HKD	7%	5%

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