Parameters of the Derivatives market

Special risk parameter application calendar (xls, 18 Kb)

The procedure for calculation of the Variation Margin (pdf, 22 Kb)

Static risk parameters

Interest rates used for pricing of illiquid futures

Parameters for establishing the settlement price of futures contracts

Minimum IM rates and concentration limits on Derivatives market

Futures inter-month spreads 
 

The number of clearings for "Half-netting" rule application to the futures contracts is published on the NCC website in section "Static parameters" on the Derivatives market https://www.nationalclearingcentre.com/rates/derivativesStaticParams (risk-parameter name – "ncl")".

*all futures with settlement day prior to mentioned date are included into the spread

Futures inter-contract spreads
 

*spread coefficient is deacreasing during the life of the contract according to the schedule which is published at Moscow exchange web-site before the beginning of each month

Limits of the indicative USD/RUB exchange rate deviation

CCP NCC has established the following limits of the indicative USD/RUB exchange rate deviation that are determined as per the Methodology for calculation of the indicative USD/RUB exchange rate used to determine obligations under derivatives contracts (the Rate):

if К_Т>К_Т-1*(1+R), then К_Т=К_Т-1*(1+R)
if К_Т<К_Т-1*(1-R), then К_Т=К_Т-1*(1-R),

where

К_Т – the Rate used to calculate the minimum price tick on the current trading day T;
К_Т-1 – the Rate used to calculate the minimum price tick during the evening clearing session on previous trading day Т-1;

For USD/RUB and EUR/RUB currency pairs the following exchange rate deviation is applied:

R = 2*MR1

where

MR1 – the minimum size of initial margin set for the underlying assets;

Exchange rate deviation applied to other currency pairs:

In case values for determining R are not available, R shall be deemed equal to 0.1 (one tenth).

Limitation of a trade size for delivering Russian Federation government bonds under relevant futures contract  

Maximum trade size allowed is 400,000 bonds. 

Parameters of restriction in new orders declaration for Settlement account

Value of coefficient Pr_coeffsc, which restricts declaration of new orders for a Settlement account, equals 10.

Instruments with the ability to trade negative prices (for options – negative strikes)