Risk parameters for AFLT futures on Derivatives market
NCC Clearing Bank sets the following risk parameters for AFLT futures on Derivatives market starting from July 13, 2017:
|№||Underlying||Futures contract||IM rate||Stress collateral scenarios|
|1||AFLT||Aeroflot ordinary shares||14%||10%||10%|
Xi and ri parameter for non-principal futures are set as follows:
|Underlying asset||Xi value||ri value|
|2nd quarter settlement cycle|
For further information, please contact the Public Relations Department at (495) 363-3232.