NCC | Risk parameters change on Derivatives market

CCP NCC sets the following risk parameters on Derivatives market starting from 7:00 pm on May 12, 2021:

1. 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

2. Expected dividend payments on the share underlying the futures contract:

3. The interest rate curve:

Underlying code	Futures contracts on	T(m)	IR
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%