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11.07.2017 15:54

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
Scen_UP Scen_DOWN
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
AFLT 0 9% 


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