NCC Clearing Bank sets the following risk parameters for AFLT futures on Derivatives market starting from July 13, 2017:
| № | Underlying | Futures contract | IM rate | Stress collateral scenarios | |
|---|---|---|---|---|---|
| Scen_UP | Scen_DOWN | ||||
| 1 | AFLT | Aeroflot ordinary shares | 14% | 10% | 10% |
Xi and ri parameter for non-principal futures are set as follows:
| Underlying asset | Xi value | ri value |
|---|---|---|
| 2nd quarter settlement cycle | ||
| AFLT | 0 | 9% |
