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% |