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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