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                20.05.2019 16:21

                Risk parameters for RUSFAR rate futures (1MFR) on Derivatives market

                CCP NCC sets the following risk parameters on Derivatives market:

                Underlying Market risk rates Concentration limits
                MR1 MR2 MR3 LK1 LK2
                1MFR 1.5% 2.5% 4.5% 1 000 000 5 000 000

                 

                Underlying T(m) IR VR VVR r
                1MFR 1 0 0.2866 0.9431 0
                1MFR 30 0.5 0.2866 0.1965 0
                1MFR 90 0.5 0.2108 0.1445 0
                1MFR 180 0.5 0.1939 0.1330 0
                1MFR 270 0.5 0.1855 0.1272 0
                1MFR 365 0.5 0.1770 0.1214 0
                1MFR 1095 0.5 0.1349 0.0925 0

                 

                Underlying Num RangeFut MDRule Intermonth spread
                 1MFR 1 0.5 Y Y
                1MFR 2 0.5 Y Y
                1MFR 3 0.5 Y Y
                1MFR 4 0.5 Y Y
                1MFR 5 0.5 Y Y
                1MFR 6 0.5 Y Y
                1MFR 7 0.5 Y Y
                1MFR 8 0.5 Y Y
                1MFR 9 0.5 Y Y
                1MFR 10 0.5 Y Y
                1MFR 11 0.5 Y Y
                1MFR 12 0.5 Y Y

                 

                Underlying VolatNum M MDtimeIcl MDtimeEcl freq count Spread AutoShiftNumMR
                1MFR 3 10 3 2 5 12 0.2 10

                 

                Underlying AutoShiftNumIR FutMonRange CSMonRange FutMonTime CSMonTime FutMonNum FutShift CSShift
                1MFR 10 0.10 0.05 300 300 12 0.25 0.45

                 

                Underlying α Tmax Tmin
                1MFR 1 30/365 5/365

                Stress collateral scenarios

                Underlying Scen_UP Scen_DOWN
                1MFR 0% 0%
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