CCP NCC sets the following risk parameters on Derivatives market starting from 7:00 pm on May 12, 2021:
- Interest risk rates, the upside/downside risk rate to implied volatility and the implied volatility divergence risk rate:
| Underlying code |
Futures contracts on |
T(m), days |
IR, % |
VR, % |
VVR, % |
| GAZR |
Gazprom ordinary shares |
1095 |
0.05 |
0.2866 |
0.2815 |
| MXI |
MOEX Russia Index Futures (mini) |
1095 |
0.05 |
0.2866 |
0.2815 |
| ROSN |
Rosneft ordinary shares |
1095 |
0.05 |
0.2866 |
0.2815 |
- Expected dividend payments on the share underlying the futures contract:
| Underlying code |
Futures contracts on |
Expected ex-dividend date |
CF in rub. |
| GAZR |
Gazprom ordinary shares |
14.07.2021 |
1255 |
| 13.07.2022 |
2000 |
| 12.07.2023 |
2600 |
| ROSN |
Rosneft ordinary shares |
11.06.2021 |
694 |
| 11.10.2021 |
1253 |
| 09.06.2022 |
2110 |
| 10.10.2022 |
2310 |
| 08.06.2023 |
2310 |
| 09.10.2023 |
2650 |
| 06.06.2024 |
2650 |
- The interest rate curve:
| Underlying code |
Futures contracts on |
T(m) |
r |
| MXI |
MOEX Russia Index Futures (mini) |
1 |
-2.10% |
| 10 |
-2.10% |
| 30 |
-2.10% |
| 90 |
-2.64% |
| 180 |
-1.89% |
| 270 |
-2.01% |
| 365 |
-2.13% |
| 1095 |
-2.13% |
| MIX |
MOEX Russia Index Futures |
1 |
-2.10% |
| 10 |
-2.10% |
| 30 |
-2.10% |
| 90 |
-2.64% |
| 180 |
-1.89% |
| 270 |
-2.01% |
| 365 |
-2.13% |
| 1095 |
-2.13% |
