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                02.06.2020 13:06

                Risk parameters for new futures on Derivatives market

                CCP NCC sets the following risk parameters for futures on AFK Systema ordinary shares, for futures on TCS Group Holding Plc GDR, for futures on X5 Retail Group N.V. GDR on Derivatives market:

                Underlying Market risk rates Concentration limits
                MR1 MR2 MR3 LK1 LK2
                AFKS 35% 49% 78% 5 617 556 28 087 780
                FIVE 35% 49% 78% 29 500 147 500
                TCSI 35% 49% 78% 17 100 85 500

                 

                Underlying T(m) IR VR VVR r
                AFKS 1 0.1000 0.2866 0.9431 0.0433
                AFKS 10 0.1000 0.2866 0.7542 0.0433
                AFKS 30 0.1000 0.2866 0.3344 0.0433
                AFKS 90 0.0700 0.2108 0.2459 0.0434
                AFKS 180 0.0600 0.1939 0.2262 0.0437
                AFKS 270 0.0400 0.1855 0.2164 0.0442
                AFKS 365 0.0300 0.1770 0.2065 0.0445
                AFKS 1095 0.0300 0.1349 0.1573 0.0480
                TCSI 1 0.1000 0.2866 0.9431 0.0433
                TCSI 10 0.1000 0.2866 0.7542 0.0433
                TCSI 30 0.1000 0.2866 0.3344 0.0433
                TCSI 90 0.0700 0.2108 0.2459 0.0434
                TCSI 180 0.0600 0.1939 0.2262 0.0437
                TCSI 270 0.0400 0.1855 0.2164 0.0442
                TCSI 365 0.0300 0.1770 0.2065 0.0445
                TCSI 1095 0.0300 0.1349 0.1573 0.0480
                FIVE 1 0.1000 0.2866 0.9431 0.0433
                FIVE 10 0.1000 0.2866 0.7542 0.0433
                FIVE 30 0.1000 0.2866 0.3344 0.0433
                FIVE 90 0.0700 0.2108 0.2459 0.0434
                FIVE 180 0.0600 0.1939 0.2262 0.0437
                FIVE 270 0.0400 0.1855 0.2164 0.0442
                FIVE 365 0.0300 0.1770 0.2065 0.0445
                FIVE 1095 0.0300 0.1349 0.1573 0.0480

                 

                Underlying Num RangeFut MDRule Intermonth spread
                AFKS 0 0.5 Y N
                AFKS 1 0.5 Y N
                AFKS 2 0.5 Y N
                FIVE 0 0.5 Y N
                FIVE 1 0.5 Y N
                FIVE 2 0.5 Y N
                TCSI 0 0.5 Y N
                TCSI 1 0.5 Y N
                TCSI 2 0.5 Y N

                 

                Underlying Volat
                Num                		 M MDtimeIcl MDtimeEcl freq count Spread AutoShift
                NumMR                		 Window
                _size                		 SOMC
                AFKS 3 10 3 8 5 12 0.2 2 0.5 0.1
                FIVE 3 10 3 8 5 12 0.2 2 0.5 0.1
                TCSI 3 10 3 8 5 12 0.2 2 0.5 0.1

                 

                Underlying AutoShiftNumIR Fut
                Mon
                Range                		 CS
                Mon
                Range                		 Fut
                Mon
                Time                		 CS
                Mon
                Time                		 Fut
                Mon
                Num                		 CS
                Mon
                Num                		 Fut
                Shift                		 CS
                Shift
                AFKS 10 0.10 0.05 300 300 1 2 0.25 0.45
                FIVE 10 0.10 0.05 300 300 1 2 0.25 0.45
                TCSI 10 0.10 0.05 300 300 1 2 0.25 0.45

                Stress collateral scenarios

                Underlying Scen_UP Scen_DOWN
                AFKS 10% 10%
                FIVE 10% 10%
                TCSI 10% 10%
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