23.08.2021 18:15

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from August 24, 2021:

Underlying	Market risk rates			Concentration limits		MinPrice
Underlying	MR1	MR2	MR3	LK1	LK2	MinPrice
BABA	15%	24%	34%	8 540	42 708	1
BIDU	25%	40%	56%	4 923	24 613	1

Underlying	T(m)	IR	VR	VVR
BIDU	1	0.1	0.2866	0.9431
BIDU	10	0.1	0.2866	0.7542
BIDU	30	0.1	0.2866	0.3344
BIDU	90	0.07	0.2108	0.2459
BIDU	180	0.06	0.1939	0.2262
BIDU	270	0.04	0.1855	0.2164
BIDU	365	0.03	0.177	0.2065
BIDU	1095	0.03	0.1349	0.1573
BABA	1	0.1	0.2866	0.9431
BABA	10	0.1	0.2866	0.7542
BABA	30	0.1	0.2866	0.3344
BABA	90	0.07	0.2108	0.2459
BABA	180	0.06	0.1939	0.2262
BABA	270	0.04	0.1855	0.2164
BABA	365	0.03	0.177	0.2065
BABA	1095	0.03	0.1349	0.1573

Underlying	RangeFut for all futures	RangeCS for all calendar spreads	MDRule for all futures	MRaddonUp for all futures	MRaddonDown for all futures
BABA	0.5	0.9	Y	0	0
BIDU	0.5	0.9	Y	0	0

Underlying	Num	included in an inter-month spread
BABA	All numbers	N
BIDU	All numbers	N

Underlying	Volat Num	M	MD timeIcl	MD timeEcl	freq	count	Spread	AutoShift NumMR	AutoShift NumMREvg	Window _size	SOMC
BABA	3	10	3	8	5	12	0.2	10	0	0.5	0.1
BIDU	3	10	3	8	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
BABA	10	0	0.20	Y	0.05	180	900	180	900	1	2	0.25	0.45
BIDU	10	0	0.20	Y	0.05	180	900	180	900	1	2	0.25	0.45

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

Underlying	Number of settlement periods before the futures expiration for its exclusion from the inter-month spread
BABA	0
BIDU	0

Underlying	Scen_UP	Scen_DOWN
BABA	4%	2%
BIDU	4%	2%

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