26.07.2021 17:00

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new RTS (mini) (RTSM) futures on Derivatives market starting from July 27, 2021:

1. Market risk rates and concentration limits:

Underlying	Market risk rates			Concentration limits		MinPrice
Underlying	MR1	MR2	MR3	LK1	LK2	MinPrice
RTSM	12%	18%	24%	1 241 420	6 207 090	0.5

2. Interest risk rates and risk rates to implied volatility:

Underlying	T(m)	IR	VR	VVR
RTSM	1	0.06	0.2866	0.9431
RTSM	10	0.06	0.2866	0.7378
RTSM	30	0.06	0.2866	0.2815
RTSM	90	0.03	0.2108	0.207
RTSM	180	0.025	0.1939	0.1905
RTSM	270	0.025	0.1855	0.1822
RTSM	365	0.025	0.177	0.1739
RTSM	1095	0.025	0.1349	0.1325

3. 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
RTSM	0.5	0.9	Y	0	0

Underlying	Num	included in an inter-month spread
RTSM	1	Y
RTSM	2	Y
RTSM	Other numbers	N

Underlying	Volat Num	M	MD timeIcl	MD timeEcl	freq	count	Spread	AutoShift NumMR	AutoShift NumMREvg	Window _size	SOMC
RTSM	3	10	3	2	5	12	0.2	10	0	0.5	0.1

Underlying	Auto Shift NumIR	Auto Shift NumIR Evg	Fut Mon Range	Bounds Wdn	CS Mon Range	Fut Mon Time Day	Fut Mon Time Evg	CS Mon Time Day	CS Mon Time Evg	Fut Mon Num	CS Mon Num	Fut Shift	CS Shift
RTSM	10	0	0.2	Y	0.05	180	180	180	`180	2	2	0.25	0.45

Underlying	Negative Prices	All First Priority	StepNum	OptionModel
RTSM	N	N	1	Black's Model

Underlying	Number of settlement periods before the futures expiration for its exclusion from the inter-month spread
RTSM	2

4. Stress collateral scenarios

Underlying	Scen_UP	Scen_DOWN
RTSM	6%	6%

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