Underlying

Market risk rates

Concentration limits

MinPrice

MR1

MR2

MR3

LK1

LK2

OZON

70%

80%

95%

107 200

536 000

1

TRNS

17%

23%

36%

7 720

38 600

1

Underlying

T(m)

IR

VR

VVR

OZON

1

0.1

0.2866

0.9431

OZON

10

0.1

0.2866

0.7542

OZON

30

0.1

0.2866

0.3344

OZON

90

0.07

0.2108

0.2459

OZON

180

0.06

0.1939

0.2262

OZON

270

0.04

0.1855

0.2164

OZON

365

0.03

0.177

0.2065

OZON

1095

0.03

0.1349

0.1573

TRNS

1

0.1

0.2866

0.9431

TRNS

10

0.1

0.2866

0.7542

TRNS

30

0.1

0.2866

0.3344

TRNS

90

0.07

0.2108

0.2459

TRNS

180

0.06

0.1939

0.2262

TRNS

270

0.04

0.1855

0.2164

TRNS

365

0.03

0.177

0.2065

TRNS

1095

0.03

0.1349

0.1573

Underlying

RangeFut for all futures

RangeCS for all calendar spreads

MDRule for all futures

MRaddonUp

for all futures

MRaddonDown

for all futures

OZON

0.5

0.9

Y

0

0

TRNS

0.5

0.9

Y

0

0

Underlying

Num

included in an

inter-month spread

OZON

for all futures

N

TRNS

for all futures

N

Underlying

Volat

Num

M

MD

timeIcl

MD

timeEcl

freq

count

Spread

AutoShift

NumMR

AutoShift

NumMREvg

Window

_size

SOMC

OZON

3

10

3

8

5

12

0.2

10

0

0.5

0.1

TRNS

3

10

3

8

5

12

0.2

10

0

0.5

0.1

Underlying

Auto

Shift

NumIR

Auto

Shift

NumIR

Evg

Fut

Mon

Range

Bounds

Wdn

CS

Mon

Range

Fut

Mon

Time

Day

Fut

Mon

Time

Evg

CS

Mon

Time

Day

CS

Mon

Time

Evg

Fut

Mon

Num

CS

Mon

Num

Fut

Shift

CS

Shift

OZON

10

0

0.20

Y

0.05

180

900

180

900

1

2

0.25

0.45

TRNS

10

0

0.20

Y

0.05

180

900

180

900

1

2

0.25

0.45

Underlying

Negative

Prices

All

First

Priority

StepNum

OptionModel

OZON

N

N

1

Black's Model

TRNS

N

N

1

Black's Model

Underlying

Number of settlement periods before the futures expiration for its exclusion from the inter-month spread

OZON

0

TRNS

0