18.12.2020 16:09
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from December 21, 2020:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| WH4 | 15% | 24% | 34% | 50 000 | 100 000 | 1 430 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR |
|---|---|---|---|---|
| WH4 | 1 | 0.1 | 0.2866 | 0.9431 |
| WH4 | 10 | 0.1 | 0.2866 | 0.764 |
| WH4 | 30 | 0.1 | 0.2866 | 0.1965 |
| WH4 | 90 | 0.07 | 0.2108 | 0.1445 |
| WH4 | 180 | 0.06 | 0.1939 | 0.133 |
| WH4 | 270 | 0.04 | 0.1855 | 0.1272 |
| WH4 | 365 | 0.03 | 0.177 | 0.1214 |
| WH4 | 1095 | 0.03 | 0.1349 | 0.0925 |
- Other static parameters:
| Underlying | RangeFut for all futures | RangeCS for all calendar spreads | MDRule for all futures | MRaddonUp for all futures |
MRaddonDown for all futures |
|---|---|---|---|---|---|
| WH4 | 0.5 | 0.9 | Y | 0 | 0 |
| Underlying | Num | included in an inter-month spread |
|---|---|---|
| WH4 | all futures | N |
| Underlying | Volat Num |
M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShift NumMR |
Window _size |
SOMC |
|---|---|---|---|---|---|---|---|---|---|---|
| WH4 | 3 | 10 | 60 | 60 | 5 | 696 | 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 |
|---|---|---|---|---|---|---|---|---|---|
| WH4 | 10 | 0.10 | 0.05 | 180 | 180 | 1 | 2 | 0.25 | 0.45 |
| Underlying | Negative Prices |
All First Priority |
StepNum | Option Model |
|---|---|---|---|---|
| WH4 | N | N | 1 | Black's Model |
| Underlying | Number of settlement periods before the futures expiration for its exclusion from the inter-month spread |
|---|---|
| WH4 | 0 |
4. Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
|---|---|---|
| WH4 | 5% | 5% |