27.01.2022 15:27
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from January, 31 2021:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| HOME | 6% | 10% | 13% | 386 | 1930 | 10 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR | r |
| HOME | 1 | 0.1 | 0.2866 | 0.9431 | 0.0999 |
| HOME | 10 | 0.1 | 0.2866 | 0.7312 | 0.0999 |
| HOME | 30 | 0.1 | 0.2866 | 0.2604 | 0.0999 |
| HOME | 90 | 0.07 | 0.2108 | 0.1915 | 0.0999 |
| HOME | 180 | 0.06 | 0.1939 | 0.1762 | 0.0999 |
| HOME | 270 | 0.04 | 0.1855 | 0.1685 | 0.0999 |
| HOME | 365 | 0.03 | 0.177 | 0.1608 | 0.0998 |
| HOME | 1095 | 0.03 | 0.1349 | 0.1225 | 0.0995 |
- 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 |
| HOME | 0.5 | 0.9 | Y | 0 | 0 |
Underlying |
Volat Num |
M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShift NumMR |
AutoShift NumMREvg |
Window_size | SOMC |
| HOME | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 0 | 0.5 | 0.1 |
| Underlying | AutoShiftNumIR | AutoShift NumIREvg |
Fut Mon Range |
BoundsWdn | CS Mon Range |
Fut Mon TimeDay |
FutMonTimeEvg | CS Mon TimeDay |
CS MonTimeEvg |
Fut Mon Num |
CS Mon Num |
Fut Shift |
CS Shift |
| HOME | 10 | 0 | 0.10 | Y | 0.05 | 180 | 180 | 180 | 180 | 1 | 2 | 0.25 | 0.45 |
| Underlying | Negative Prices |
All First Priority |
StepNum | OptionModel |
| HOME | N | N | 1 | Black’s Model |
| Underlying | Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining |
| HOME | 2 |
| Underlying | Num | Are included into inter-month spread |
| HOME | All futures | No |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
| HOME | 2,5% | -2,5% |