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02.06.2020 13:06

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for futures on AFK Systema ordinary shares, for futures on TCS Group Holding Plc GDR, for futures on X5 Retail Group N.V. GDR on Derivatives market:

Underlying Market risk rates Concentration limits
MR1 MR2 MR3 LK1 LK2
AFKS 35% 49% 78% 5 617 556 28 087 780
FIVE 35% 49% 78% 29 500 147 500
TCSI 35% 49% 78% 17 100 85 500

 

Underlying T(m) IR VR VVR r
AFKS 1 0.1000 0.2866 0.9431 0.0433
AFKS 10 0.1000 0.2866 0.7542 0.0433
AFKS 30 0.1000 0.2866 0.3344 0.0433
AFKS 90 0.0700 0.2108 0.2459 0.0434
AFKS 180 0.0600 0.1939 0.2262 0.0437
AFKS 270 0.0400 0.1855 0.2164 0.0442
AFKS 365 0.0300 0.1770 0.2065 0.0445
AFKS 1095 0.0300 0.1349 0.1573 0.0480
TCSI 1 0.1000 0.2866 0.9431 0.0433
TCSI 10 0.1000 0.2866 0.7542 0.0433
TCSI 30 0.1000 0.2866 0.3344 0.0433
TCSI 90 0.0700 0.2108 0.2459 0.0434
TCSI 180 0.0600 0.1939 0.2262 0.0437
TCSI 270 0.0400 0.1855 0.2164 0.0442
TCSI 365 0.0300 0.1770 0.2065 0.0445
TCSI 1095 0.0300 0.1349 0.1573 0.0480
FIVE 1 0.1000 0.2866 0.9431 0.0433
FIVE 10 0.1000 0.2866 0.7542 0.0433
FIVE 30 0.1000 0.2866 0.3344 0.0433
FIVE 90 0.0700 0.2108 0.2459 0.0434
FIVE 180 0.0600 0.1939 0.2262 0.0437
FIVE 270 0.0400 0.1855 0.2164 0.0442
FIVE 365 0.0300 0.1770 0.2065 0.0445
FIVE 1095 0.0300 0.1349 0.1573 0.0480

 

Underlying Num RangeFut MDRule Intermonth spread
AFKS 0 0.5 Y N
AFKS 1 0.5 Y N
AFKS 2 0.5 Y N
FIVE 0 0.5 Y N
FIVE 1 0.5 Y N
FIVE 2 0.5 Y N
TCSI 0 0.5 Y N
TCSI 1 0.5 Y N
TCSI 2 0.5 Y N

 

Underlying Volat
Num		 M MDtimeIcl MDtimeEcl freq count Spread AutoShift
NumMR		 Window
_size		 SOMC
AFKS 3 10 3 8 5 12 0.2 2 0.5 0.1
FIVE 3 10 3 8 5 12 0.2 2 0.5 0.1
TCSI 3 10 3 8 5 12 0.2 2 0.5 0.1

 

Underlying AutoShiftNumIR Fut
Mon
Range		 CS
Mon
Range		 Fut
Mon
Time		 CS
Mon
Time		 Fut
Mon
Num		 CS
Mon
Num		 Fut
Shift		 CS
Shift
AFKS 10 0.10 0.05 300 300 1 2 0.25 0.45
FIVE 10 0.10 0.05 300 300 1 2 0.25 0.45
TCSI 10 0.10 0.05 300 300 1 2 0.25 0.45

Stress collateral scenarios

Underlying Scen_UP Scen_DOWN
AFKS 10% 10%
FIVE 10% 10%
TCSI 10% 10%
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