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% |
For further information, please contact the Public Relations Department at (495) 363-3232.
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