Risk parameters for RUSFAR rate futures (1MFR) on Derivatives market

Source: Moscow Stock Exchange

CCP NCC sets the following risk parameters on Derivatives market:
Underlying
Market risk rates
Concentration limits
MR1
MR2
MR3
LK1
LK2
1MFR
1.5%
2.5%
4.5%
1 000 000
5 000 000

Underlying
T(m)
IR
VR
VVR
r
1MFR
1
0
0.2866
0.9431
0
1MFR
30
0.5
0.2866
0.1965
0
1MFR
90
0.5
0.2108
0.1445
0
1MFR
180
0.5
0.1939
0.1330
0
1MFR
270
0.5
0.1855
0.1272
0
1MFR
365
0.5
0.1770
0.1214
0
1MFR
1095
0.5
0.1349
0.0925
0

Underlying
Num
RangeFut
MDRule
Intermonth spread
 1MFR
1
0.5
Y
Y
1MFR
2
0.5
Y
Y
1MFR
3
0.5
Y
Y
1MFR
4
0.5
Y
Y
1MFR
5
0.5
Y
Y
1MFR
6
0.5
Y
Y
1MFR
7
0.5
Y
Y
1MFR
8
0.5
Y
Y
1MFR
9
0.5
Y
Y
1MFR
10
0.5
Y
Y
1MFR
11
0.5
Y
Y
1MFR
12
0.5
Y
Y

Underlying
VolatNum
M
MDtimeIcl
MDtimeEcl
freq
count
Spread
AutoShiftNumMR
1MFR
3
10
3
2
5
12
0.2
10

Underlying
AutoShiftNumIR
FutMonRange
CSMonRange
FutMonTime
CSMonTime
FutMonNum
FutShift
CSShift
1MFR
10
0.10
0.05
300
300
12
0.25
0.45

Underlying
α
Tmax
Tmin
1MFR
1
30/365
5/365
Stress collateral scenarios
Underlying
Scen_UP
Scen_DOWN
1MFR
0%
0%

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