NCC Clearing Bank sets the following risk parameters for AFLT futures on Derivatives market starting from July 13, 2017:
№
Underlying
Futures contract
IM rate
Stress collateral scenarios
Scen_UP
Scen_DOWN
1
AFLT
Aeroflot ordinary shares
14%
10%
Xi and ri parameter for non-principal futures are set as follows:
Underlying asset
Xi value
ri value
2nd quarter settlement cycle
0
9%
