Underlying

Market risk rates

Concentration limits

MinPrice

MR1

MR2

MR3

LK1

LK2

PIKK

50%

75%

95%

39 385

196 925

1

Underlying

T(m)

IR

VR

VVR

PIKK

1

0.1

0.2866

0.9431

PIKK

10

0.1

0.2866

0.7542

PIKK

30

0.1

0.2866

0.3344

PIKK

90

0.07

0.2108

0.2459

PIKK

180

0.06

0.1939

0.2262

PIKK

270

0.04

0.1855

0.2164

PIKK

365

0.03

0.1770

0.2065

PIKK

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

PIKK

0.5

0.9

Y

0

0

Underlying

Num

included in an

inter-month spread

PIKK

All futures

N

Underlying

Volat

Num

M

MD

timeIcl

MD

timeEcl

freq

count

Spread

AutoShift

NumMR

AutoShift

NumMREvg

Window

_size

SOMC

PIKK

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

PIKK

10

0

0.2

Y

0.05

180

900

180

`900

1

2

0.25

0.45

Underlying

Negative

Prices

All

First

Priority

StepNum

OptionModel

PIKK

N

N

1

Black's Model

Underlying

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

PIKK

0

Underlying

Scen_UP

Scen_DOWN

PIKK

12%

12%