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                03.04.2020 18:20

                Risk parameters for Yandex N.V. ordinary shares futures (YNDF) on Derivatives market

                CCP NCC sets the following risk parameters on Derivatives market:

                Underlying Market risk rates Concentration limits
                MR1 MR2   MR1 MR2
                YNDF 25% 30% 40% 11 329 56 645

                 

                Underlying T(m) IR VR VVR r
                YNDF 1 0.1 0.28662 0.943076 0.0515
                YNDF 30 0.1 0.28662 0.334363 0.0515
                YNDF 90 0.07 0.21075 0.245855 0.0530
                YNDF 180 0.06 0.19389 0.226187 0.0551
                YNDF 270 0.04 0.18546 0.216352 0.0573
                YNDF 365 0.03 0.17703 0.206518 0.0585
                YNDF 1095 0.03 0.13488 0.157347 0.0650

                 

                Underlying Num RangeFut MDRule Intermonth spread
                YNDF 0 0.5 Y Y
                YNDF 1 0.5 Y Y
                YNDF 2 0.5 Y N

                 

                Underlying Volat
                Num
                M MDtimeIcl MDtimeEcl freq count Spread AutoShift
                NumMR
                Window_size SOMC
                YNDF 3 10 3 8 5 12 0.2 10 0.5 0.1

                 

                Underlying AutoShift
                NumIR
                Fut
                Mon
                Range
                CS
                Mon
                Range
                Fut
                Mon
                Time
                CS
                Mon
                Time
                Fut
                Mon
                Num
                CS
                Mon
                Num
                Fut
                Shift
                CS
                Shift
                YNDF 10 0.10 0.05 300 300 1 2 0.25 0.45

                Stress collateral scenarios

                Underlying Scen_UP Scen_DOWN
                YNDF 10% 10%
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