10.02.2020 10:04

Risk parameters for RUSFARUSD futures (1MDR) on Derivatives market

CCP NCC sets the following risk parameters on Derivatives market:

Underlying Market risk rates Concentration limits
MR1 MR2 MR3 LK1 LK2
1MDR 1.5% 2.5% 4.5% 1 000 000 5 000 000

 

БА T(m) IR VR VVR r
1MDR 1 0 0.2866 0.9431 0
1MDR 30 0.5 0.2866 0.1965 0
1MDR 90 0.5 0.2108 0.1445 0
1MDR 180 0.5 0.1939 0.133 0
1MDR 270 0.5 0.1855 0.1272 0
1MDR 365 0.5 0.177 0.1214 0
1MDR 1095 0.5 0.1349 0.0925 0

 

Underlying Num RangeFut MDRule Intermonth spread
1MDR 1 0.5 Y Y
1MDR 2 0.5 Y Y
1MDR 3 0.5 Y Y
1MDR 4 0.5 Y Y
1MDR 5 0.5 Y Y
1MDR 6 0.5 Y Y
1MDR 7 0.5 Y Y
1MDR 8 0.5 Y Y
1MDR 9 0.5 Y Y
1MDR 10 0.5 Y Y
1MDR 11 0.5 Y Y
1MDR 12 0.5 Y Y
1MDR 13 0.5 Y Y

 

Underlying Volat
Num
M MDtimeIcl MDtimeEcl freq count Spread AutoShift
NumMR
Window_size SOMC
1MDR 3 10 3 2 5 12 0.2 10 0.5 0.1

 

Underlying AutoShift
NumIR
Fut
Mon
Range
CS
Mon
Range
Fut
Mon
Time
CS
Mon
Time
Fut
Mon
Num
CS
Mon
Num
Fut
Shift
CS
Shift
1MDR 10 0.10 0.05 300 300 12 2 0.25 0.45

 

Underlying α T_min T_max
1MDR 1 30/365 5/365


Stress collateral scenarios

Underlying Scen_UP Scen_DOWN
1MDR 0% 0%
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