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                31.01.2020 18:25

                Risk parameters for Henry Hub Natural Gas futures (NG) on Derivatives market

                CCP NCC sets the following risk parameters on Derivatives market:

                Underlying Market risk rates Concentration limits
                MR1 MR2 MR3 LK1 LK2
                NG 18% 28% 40% 12 000 000 60 000 000

                 

                Underlying T(m) IR VR VVR r
                NG 1 0.141 0.2866 0.9431 0.279
                NG 30 0.141 0.2866 0.1965 0.279
                NG 90 0.090 0.2108 0.1445 0.212
                NG 180 0.050 0.1939 0.1330 0.253
                NG 270 0.038 0.1855 0.1272 0.272
                NG 365 0.028 0.1770 0.1214 0.288
                NG 1095 0.012 0.1349 0.0925 0.109

                 

                Underlying Num RangeFut MDRule Intermonth spread
                NG 1 0.5 Y N
                NG 2 0.5 Y N
                NG 3 0.5 Y N
                NG 4 0.5 Y N
                NG 5 0.5 Y N
                NG 6 0.5 Y N
                NG 7 0.5 Y N

                 

                Underlying VolatNum M MDtimeIcl MDtimeEcl freq count Spread AutoShiftNum
                MR
                Window_size
                NG 3 10 3 2 5 12 0.2 10 0.5

                 

                Underlying AutoShiftNumIR Fut
                Mon
                Range
                CS
                Mon
                Range
                Fut
                Mon
                Time
                CS
                Mon
                Time
                Fut
                Mon
                Num
                CS
                Mon
                Num
                Fut
                Shift
                CS
                Shift
                NG 10 0.10 0.05 300 300 2 2 0.25 0.45


                Stress collateral scenarios

                Underlying Scen_UP Scen_DOWN
                NG 9% 9%
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