Underlying

Market risk rates

Concentration limits

MR1

MR2

MR3

LK1

LK2

GMKN

17%

21%

28%

40 908

204 540

Underlying

T(m)

IR

VR

VVR

r

GMKN

1

0.1

0.2866

0.9431

0.0403

GMKN

10

0.1

0.2866

0.7640

0.0403

GMKN

30

0.1

0.2866

0.3661

0.0403

GMKN

90

0.07

0.2108

0.2692

0.0407

GMKN

180

0.06

0.1939

0.2476

0.0413

GMKN

270

0.04

0.1855

0.2369

0.0421

GMKN

365

0.03

0.1770

0.2261

0.0427

GMKN

1095

0.03

0.1349

0.1723

0.0483

Underlying

Num

RangeFut

MDRule

Intermonth spread

MRaddonUp

MRaddonDown

GMKN

1

0.5

Y

N

0

0

Underlying

Volat

Num

M

MDtimeIcl

MDtimeEcl

freq

count

Spread

AutoShift

NumMR

Window

_size

SOMC

GMKN

3

10

3

8

5

12

0.2

10

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

GMKN

10

0.10

0.05

300

300

1

2

0.25

0.45

Underlying

Negative

Prices

All

First

Priority

NVolat

GMKN

N

N

1