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                16.01.2023 22:19

                Risk parameters for stock options on Derivatives market

                CCP NCC sets the following risk parameters for stock options on Derivatives market starting from January, 17th 2023:

                1. Risk rates to implied volatility:
                Underlying T(m) VR_SPOT VVR_SPOT
                MOEX 1 0.2866 0.9431
                MOEX 10 0.2866 0.7542
                MOEX 30 0.2866 0.3344
                MOEX 90 0.2108 0.2459
                MOEX 180 0.1939 0.2262
                MOEX 270 0.1855 0.2164
                MOEX 365 0.177 0.2065
                MOEX 1095 0.1349 0.1573
                MTSS 1 0.2866 0.9431
                MTSS 10 0.2866 0.7542
                MTSS 30 0.2866 0.3344
                MTSS 90 0.2108 0.2459
                MTSS 180 0.1939 0.2262
                MTSS 270 0.1855 0.2164
                MTSS 365 0.177 0.2065
                MTSS 1095 0.1349 0.1573
                POSI 1 0.2866 0.9431
                POSI 10 0.2866 0.7542
                POSI 30 0.2866 0.3344
                POSI 90 0.2108 0.2459
                POSI 180 0.1939 0.2262
                POSI 270 0.1855 0.2164
                POSI 365 0.177 0.2065
                POSI 1095 0.1349 0.1573
                ROSN 1 0.2866 0.9431
                ROSN 10 0.2866 0.7542
                ROSN 30 0.2866 0.3344
                ROSN 90 0.2108 0.2459
                ROSN 180 0.1939 0.2262
                ROSN 270 0.1855 0.2164
                ROSN 365 0.177 0.2065
                ROSN 1095 0.1349 0.1573
                TATN 1 0.2866 0.9431
                TATN 10 0.2866 0.7542
                TATN 30 0.2866 0.3344
                TATN 90 0.2108 0.2459
                TATN 180 0.1939 0.2262
                TATN 270 0.1855 0.2164
                TATN 365 0.177 0.2065
                TATN 1095 0.1349 0.1573
                1. Other static parameters:
                Underlying Cashflow risk rate
                MOEX 100%
                MTSS 100%
                POSI 100%
                ROSN 100%
                TATN 100%

                 

                Underlying Zero implied volatility scenario, NullVolat(OSnum,БА)
                POSI Y
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