Underlying

Фьючерсный контракт на

Market risk rates

Concentration limits

MinPrice

MR1

MR2

MR3

LK1

LK2

RGBI

Индекс Государственных облигаций Московской Биржи

10%

11%

12%

92310

461552

1

Underlying

T(m)

IR

VR

VVR

r

RGBI

1

0.06

0.2866

0.9431

0

RGBI

10

0.06

0.2866

0.7154

0

RGBI

30

0.06

0.2866

0.2093

0

RGBI

90

0.03

0.2108

0.1539

0

RGBI

180

0.025

0.1939

0.1416

0

RGBI

270

0.025

0.1855

0.1354

0

RGBI

365

0.025

0.177

0.1293

0

RGBI

1095

0.025

0.1349

0.0985

0

Underlying

RangeFut for all futures

RangeCS for all calendar spreads

MDRule for all futures

MRaddonUp

for all futures

MRaddonDown

for all futures

RGBI

0.5

0.9

Y

0

0

Underlying

Volat

Num

M

MDtimeIcl

MDtimeEcl

freq

count

Spread

AutoShift

NumMR

AutoShift

NumMREvg

Window_size

SOMC

RGBI

3

10

3

2

5

12

0.2

10

0

0.5

0.1

Underlying

AutoShiftNumIR

AutoShift

NumIREvg

Fut

Mon

Range

BoundsWdn

CS

Mon

Range

Fut

Mon

TimeDay

FutMonTimeEvg

CS

Mon

TimeDay

CS

MonTimeEvg

Fut

Mon

Num

CS

Mon

Num

Fut

Shift

CS

Shift

RGBI

10

0

0.10

Y

0.05

180

180

180

180

1

2

0.25

0.45

Underlying

Negative

Prices

All

First

Priority

StepNum

OptionModel

RGBI

N

N

1

Black model

Underlying

Number of settlement periods before the futures expiration for using “Half netting” rule for inter-month spread margining

RGBI

2

Underlying

Num

Are included into inter-month spread

RGBI

All futures

No