07.02.2022 18:31
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from February 8, 2022:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| CNI | 19% | 31% | 42% | 24 010 | 120 050 | 1 |
| MMI | 21% | 34% | 46% | 108 800 | 544 000 | 1 |
| OGI | 24% | 38% | 53% | 237 610 | 1 188 050 | 1 |
| FNI | 23% | 37% | 51% | 120 730 | 603 650 | 1 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR | r |
|---|---|---|---|---|---|
| CNI | 1 | 0.1 | 0.2866 | 0.9431 | -0.021 |
| CNI | 10 | 0.1 | 0.2866 | 0.7312 | -0.021 |
| CNI | 30 | 0.1 | 0.2866 | 0.2604 | -0.021 |
| CNI | 90 | 0.07 | 0.2108 | 0.1915 | -0.0264 |
| CNI | 180 | 0.06 | 0.1939 | 0.1762 | -0.0189 |
| CNI | 270 | 0.04 | 0.1855 | 0.1685 | -0.0201 |
| CNI | 365 | 0.03 | 0.177 | 0.1608 | -0.0213 |
| CNI | 1095 | 0.03 | 0.1349 | 0.1225 | -0.0213 |
| MMI | 1 | 0.1 | 0.2866 | 0.9431 | -0.021 |
| MMI | 10 | 0.1 | 0.2866 | 0.7312 | -0.021 |
| MMI | 30 | 0.1 | 0.2866 | 0.2604 | -0.021 |
| MMI | 90 | 0.07 | 0.2108 | 0.1915 | -0.0264 |
| MMI | 180 | 0.06 | 0.1939 | 0.1762 | -0.0189 |
| MMI | 270 | 0.04 | 0.1855 | 0.1685 | -0.0201 |
| MMI | 365 | 0.03 | 0.177 | 0.1608 | -0.0213 |
| MMI | 1095 | 0.03 | 0.1349 | 0.1225 | -0.0213 |
| OGI | 1 | 0.1 | 0.2866 | 0.9431 | -0.021 |
| OGI | 10 | 0.1 | 0.2866 | 0.7312 | -0.021 |
| OGI | 30 | 0.1 | 0.2866 | 0.2604 | -0.021 |
| OGI | 90 | 0.07 | 0.2108 | 0.1915 | -0.0264 |
| OGI | 180 | 0.06 | 0.1939 | 0.1762 | -0.0189 |
| OGI | 270 | 0.04 | 0.1855 | 0.1685 | -0.0201 |
| OGI | 365 | 0.03 | 0.177 | 0.1608 | -0.0213 |
| OGI | 1095 | 0.03 | 0.1349 | 0.1225 | -0.0213 |
| FNI | 1 | 0.1 | 0.2866 | 0.9431 | -0.021 |
| FNI | 10 | 0.1 | 0.2866 | 0.7312 | -0.021 |
| FNI | 30 | 0.1 | 0.2866 | 0.2604 | -0.021 |
| FNI | 90 | 0.07 | 0.2108 | 0.1915 | -0.0264 |
| FNI | 180 | 0.06 | 0.1939 | 0.1762 | -0.0189 |
| FNI | 270 | 0.04 | 0.1855 | 0.1685 | -0.0201 |
| FNI | 365 | 0.03 | 0.177 | 0.1608 | -0.0213 |
| FNI | 1095 | 0.03 | 0.1349 | 0.1225 | -0.0213 |
- 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 |
|||||
|---|---|---|---|---|---|---|---|---|---|---|
| CNI | 0.5 | 0.9 | Y | 0 | 0 | |||||
| MMI | 0.5 | 0.9 | Y | 0 | 0 | |||||
| OGI | 0.5 | 0.9 | Y | 0 | 0 | |||||
| FNI | 0.5 | 0.9 | Y | 0 | 0 | |||||
Underlying |
Volat Num |
M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShift NumMR |
AutoShift NumMREvg |
Window_size | SOMC |
|---|---|---|---|---|---|---|---|---|---|---|---|
| CNI | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 0 | 0.5 | 0.1 |
| MMI | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 0 | 0.5 | 0.1 |
| OGI | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 0 | 0.5 | 0.1 |
| FNI | 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CNI | 10 | 0 | 0.10 | Y | 0.05 | 180 | 180 | 180 | 180 | 1 | 2 | 0.25 | 0.45 |
| MMI | 10 | 0 | 0.10 | Y | 0.05 | 180 | 180 | 180 | 180 | 1 | 2 | 0.25 | 0.45 |
| OGI | 10 | 0 | 0.10 | Y | 0.05 | 180 | 180 | 180 | 180 | 1 | 2 | 0.25 | 0.45 |
| FNI | 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 |
|---|---|---|---|---|
| CNI | N | N | 1 | Black’s Model |
| MMI | N | N | 1 | Black’s Model |
| OGI | N | N | 1 | Black’s Model |
| FNI | 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 |
|---|---|
| CNI | 2 |
| MMI | 2 |
| OGI | 2 |
| FNI | 2 |
| Underlying | Num | Are included into inter-month spread |
|---|---|---|
| CNI | All futures | No |
| MMI | All futures | No |
| OGI | All futures | No |
| FNI | All futures | No |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
|---|---|---|
| CNI | 6% | 6% |
| MMI | 6% | 6% |
| OGI | 6% | 6% |
| FNI | 6% | 6% |