Underlying

Market risk rates

Concentration limits

MR1

MR2

MR3

LK1

LK2

NG

18%

28%

40%

12 000 000

60 000 000

Underlying

T(m)

IR

VR

VVR

r

NG

1

0.141

0.2866

0.9431

0.279

NG

30

0.141

0.2866

0.1965

0.279

NG

90

0.090

0.2108

0.1445

0.212

NG

180

0.050

0.1939

0.1330

0.253

NG

270

0.038

0.1855

0.1272

0.272

NG

365

0.028

0.1770

0.1214

0.288

NG

1095

0.012

0.1349

0.0925

0.109

Underlying

Num

RangeFut

MDRule

Intermonth spread

NG

1

0.5

Y

N

NG

2

0.5

Y

N

NG

3

0.5

Y

N

NG

4

0.5

Y

N

NG

5

0.5

Y

N

NG

6

0.5

Y

N

NG

7

0.5

Y

N

Underlying

VolatNum

M

MDtimeIcl

MDtimeEcl

freq

count

Spread

AutoShiftNum

MR

Window_size

NG

3

10

3

2

5

12

0.2

10

0.5

Underlying

AutoShiftNumIR

Fut

Mon

Range

CS

Mon

Range

Fut

Mon

Time

CS

Mon

Time

Fut

Mon

Num

CS

Mon

Num

Fut

Shift

CS

Shift

NG

10

0.10

0.05

300

300

2

2

0.25

0.45

Underlying

Scen_UP

Scen_DOWN

NG

9%

9%