Underlying

Market risk rates

Concentration limits

MinPrice

MR1

MR2

MR3

LK1

LK2

WH4

15%

24%

34%

50 000

100 000

1 430

Underlying

T(m)

IR

VR

VVR

WH4

1

0.1

0.2866

0.9431

WH4

10

0.1

0.2866

0.764

WH4

30

0.1

0.2866

0.1965

WH4

90

0.07

0.2108

0.1445

WH4

180

0.06

0.1939

0.133

WH4

270

0.04

0.1855

0.1272

WH4

365

0.03

0.177

0.1214

WH4

1095

0.03

0.1349

0.0925

Underlying

RangeFut for all futures

RangeCS for all calendar spreads

MDRule for all futures

MRaddonUp

for all futures

MRaddonDown

for all futures

WH4

0.5

0.9

Y

0

0

Underlying

Num

included in an inter-month spread

WH4

all futures

N

Underlying

Volat

Num

M

MDtimeIcl

MDtimeEcl

freq

count

Spread

AutoShift

NumMR

Window

_size

SOMC

WH4

3

10

60

60

5

696

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

WH4

10

0.10

0.05

180

180

1

2

0.25

0.45

Underlying

Negative

Prices

All

First

Priority

StepNum

Option

Model

WH4

N

N

1

Black's Model

Underlying

Number of settlement periods before the futures expiration for its exclusion from the inter-month spread

WH4

0