CCP NCC sets the following risk parameters on Derivatives market starting from 7:00 pm on May 12, 2021:
- Interest risk rates, the upside/downside risk rate to implied volatility and the implied volatility divergence risk rate:
| Underlying code | Futures contracts on | T(m), days | IR, % | VR, % | VVR, % |
|---|---|---|---|---|---|
| GAZR | Gazprom ordinary shares | 1095 | 0.05 | 0.2866 | 0.2815 |
| MXI | MOEX Russia Index Futures (mini) | 1095 | 0.05 | 0.2866 | 0.2815 |
| ROSN | Rosneft ordinary shares | 1095 | 0.05 | 0.2866 | 0.2815 |
- Expected dividend payments on the share underlying the futures contract:
| Underlying code | Futures contracts on | Expected ex-dividend date | CF in rub. |
|---|---|---|---|
| GAZR | Gazprom ordinary shares | 14.07.2021 | 1255 |
| 13.07.2022 | 2000 | ||
| 12.07.2023 | 2600 | ||
| ROSN | Rosneft ordinary shares | 11.06.2021 | 694 |
| 11.10.2021 | 1253 | ||
| 09.06.2022 | 2110 | ||
| 10.10.2022 | 2310 | ||
| 08.06.2023 | 2310 | ||
| 09.10.2023 | 2650 | ||
| 06.06.2024 | 2650 |
- The interest rate curve:
| Underlying code | Futures contracts on | T(m) | r |
|---|---|---|---|
| MXI | MOEX Russia Index Futures (mini) | 1 | -2.10% |
| 10 | -2.10% | ||
| 30 | -2.10% | ||
| 90 | -2.64% | ||
| 180 | -1.89% | ||
| 270 | -2.01% | ||
| 365 | -2.13% | ||
| 1095 | -2.13% | ||
| MIX | MOEX Russia Index Futures | 1 | -2.10% |
| 10 | -2.10% | ||
| 30 | -2.10% | ||
| 90 | -2.64% | ||
| 180 | -1.89% | ||
| 270 | -2.01% | ||
| 365 | -2.13% | ||
| 1095 | -2.13% |
