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CCP NCC sets the following risk parameters for futures on AFK Systema ordinary shares, for futures on TCS Group Holding Plc GDR, for futures on X5 Retail Group N.V. GDR on Derivatives market:
|
Underlying |
Market risk rates |
Concentration limits |
|||
|
MR1 |
MR2 |
MR3 |
LK1 |
LK2 |
|
|
AFKS |
35% |
49% |
78% |
5 617 556 |
28 087 780 |
|
FIVE |
35% |
49% |
78% |
29 500 |
147 500 |
|
TCSI |
35% |
49% |
78% |
17 100 |
85 500 |
|
Underlying |
T(m) |
IR |
VR |
VVR |
r |
|
AFKS |
1 |
0.1000 |
0.2866 |
0.9431 |
0.0433 |
|
AFKS |
10 |
0.1000 |
0.2866 |
0.7542 |
0.0433 |
|
AFKS |
30 |
0.1000 |
0.2866 |
0.3344 |
0.0433 |
|
AFKS |
90 |
0.0700 |
0.2108 |
0.2459 |
0.0434 |
|
AFKS |
180 |
0.0600 |
0.1939 |
0.2262 |
0.0437 |
|
AFKS |
270 |
0.0400 |
0.1855 |
0.2164 |
0.0442 |
|
AFKS |
365 |
0.0300 |
0.1770 |
0.2065 |
0.0445 |
|
AFKS |
1095 |
0.0300 |
0.1349 |
0.1573 |
0.0480 |
|
TCSI |
1 |
0.1000 |
0.2866 |
0.9431 |
0.0433 |
|
TCSI |
10 |
0.1000 |
0.2866 |
0.7542 |
0.0433 |
|
TCSI |
30 |
0.1000 |
0.2866 |
0.3344 |
0.0433 |
|
TCSI |
90 |
0.0700 |
0.2108 |
0.2459 |
0.0434 |
|
TCSI |
180 |
0.0600 |
0.1939 |
0.2262 |
0.0437 |
|
TCSI |
270 |
0.0400 |
0.1855 |
0.2164 |
0.0442 |
|
TCSI |
365 |
0.0300 |
0.1770 |
0.2065 |
0.0445 |
|
TCSI |
1095 |
0.0300 |
0.1349 |
0.1573 |
0.0480 |
|
FIVE |
1 |
0.1000 |
0.2866 |
0.9431 |
0.0433 |
|
FIVE |
10 |
0.1000 |
0.2866 |
0.7542 |
0.0433 |
|
FIVE |
30 |
0.1000 |
0.2866 |
0.3344 |
0.0433 |
|
FIVE |
90 |
0.0700 |
0.2108 |
0.2459 |
0.0434 |
|
FIVE |
180 |
0.0600 |
0.1939 |
0.2262 |
0.0437 |
|
FIVE |
270 |
0.0400 |
0.1855 |
0.2164 |
0.0442 |
|
FIVE |
365 |
0.0300 |
0.1770 |
0.2065 |
0.0445 |
|
FIVE |
1095 |
0.0300 |
0.1349 |
0.1573 |
0.0480 |
|
Underlying |
Num |
RangeFut |
MDRule |
Intermonth spread |
|
AFKS |
0 |
0.5 |
Y |
N |
|
AFKS |
1 |
0.5 |
Y |
N |
|
AFKS |
2 |
0.5 |
Y |
N |
|
FIVE |
0 |
0.5 |
Y |
N |
|
FIVE |
1 |
0.5 |
Y |
N |
|
FIVE |
2 |
0.5 |
Y |
N |
|
TCSI |
0 |
0.5 |
Y |
N |
|
TCSI |
1 |
0.5 |
Y |
N |
|
TCSI |
2 |
0.5 |
Y |
N |
|
Underlying |
Volat Num |
M |
MDtimeIcl |
MDtimeEcl |
freq |
count |
Spread |
AutoShift NumMR |
Window _size |
SOMC |
|
AFKS |
3 |
10 |
3 |
8 |
5 |
12 |
0.2 |
2 |
0.5 |
0.1 |
|
FIVE |
3 |
10 |
3 |
8 |
5 |
12 |
0.2 |
2 |
0.5 |
0.1 |
|
TCSI |
3 |
10 |
3 |
8 |
5 |
12 |
0.2 |
2 |
0.5 |
0.1 |
|
Underlying |
AutoShiftNumIR |
Fut Mon Range |
CS Mon Range |
Fut Mon Time |
CS Mon Time |
Fut Mon Num |
CS Mon Num |
Fut Shift |
CS Shift |
|
AFKS |
10 |
0.10 |
0.05 |
300 |
300 |
1 |
2 |
0.25 |
0.45 |
|
FIVE |
10 |
0.10 |
0.05 |
300 |
300 |
1 |
2 |
0.25 |
0.45 |
|
TCSI |
10 |
0.10 |
0.05 |
300 |
300 |
1 |
2 |
0.25 |
0.45 |
Stress collateral scenarios
|
Underlying |
Scen_UP |
Scen_DOWN |
|
AFKS |
10% |
10% |
|
FIVE |
10% |
10% |
|
TCSI |
10% |
10% |