Underlying

Market risk rates

Concentration limits

MR1

MR2

MR1

MR2

YNDF

25%

30%

40%

11 329

56 645

Underlying

T(m)

IR

VR

VVR

r

YNDF

1

0.1

0.28662

0.943076

0.0515

YNDF

30

0.1

0.28662

0.334363

0.0515

YNDF

90

0.07

0.21075

0.245855

0.0530

YNDF

180

0.06

0.19389

0.226187

0.0551

YNDF

270

0.04

0.18546

0.216352

0.0573

YNDF

365

0.03

0.17703

0.206518

0.0585

YNDF

1095

0.03

0.13488

0.157347

0.0650

Underlying

Num

RangeFut

MDRule

Intermonth spread

YNDF

0

0.5

Y

Y

YNDF

1

0.5

Y

Y

YNDF

2

0.5

Y

N

Underlying

Volat

Num

M

MDtimeIcl

MDtimeEcl

freq

count

Spread

AutoShift

NumMR

Window_size

SOMC

YNDF

3

10

3

8

5

12

0.2

10

0.5

0.1

Underlying

AutoShift

NumIR

Fut

Mon

Range

CS

Mon

Range

Fut

Mon

Time

CS

Mon

Time

Fut

Mon

Num

CS

Mon

Num

Fut

Shift

CS

Shift

YNDF

10

0.10

0.05

300

300

1

2

0.25

0.45

Underlying

Scen_UP

Scen_DOWN

YNDF

10%

10%