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11.02.2022 17:54

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from February, 15 2022:

  1. Market risk rates and concentration limits:
Underlying Market risk rates Concentration limits MinPrice
MR1 MR2 MR3 LK1 LK2
SPBE 70% 80% 95% 29 843 149 217 1
RUAL 19% 25% 32% 4 295 510 21 477 550 1
PHOR 19% 25% 32% 12 768 63 840 1
DSKY 28% 34% 41% 547 261 2 736 305 1
SMLT 50% 75% 95% 17 782 88 912 1
MTLR 70% 80% 95% 1 187 689 5 938 443 1
RSTI 25% 31% 38% 28 378 375 141 891 875 1
SIBN 19% 25% 32% 205 630 1 028 152 1
  1. Interest risk rates and risk rates to implied volatility:
Underlying T(m) IR VR VVR r
SPBE 1 0.1 0.2866 0.9431 0.0977
SPBE 10 0.1 0.2866 0.7542 0.0977
SPBE 30 0.1 0.2866 0.3344 0.0977
SPBE 90 0.07 0.2108 0.2459 0.0976
SPBE 180 0.06 0.1939 0.2262 0.0974
SPBE 270 0.04 0.1855 0.2164 0.0972
SPBE 365 0.03 0.177 0.2065 0.097
SPBE 1095 0.03 0.1349 0.1573 0.0959
RUAL 1 0.1 0.2866 0.9431 0.0977
RUAL 10 0.1 0.2866 0.7542 0.0977
RUAL 30 0.1 0.2866 0.3344 0.0977
RUAL 90 0.07 0.2108 0.2459 0.0976
RUAL 180 0.06 0.1939 0.2262 0.0974
RUAL 270 0.04 0.1855 0.2164 0.0972
RUAL 365 0.03 0.177 0.2065 0.097
RUAL 1095 0.03 0.1349 0.1573 0.0959
PHOR 1 0.1 0.2866 0.9431 0.0977
PHOR 10 0.1 0.2866 0.7542 0.0977
PHOR 30 0.1 0.2866 0.3344 0.0977
PHOR 90 0.07 0.2108 0.2459 0.0976
PHOR 180 0.06 0.1939 0.2262 0.0974
PHOR 270 0.04 0.1855 0.2164 0.0972
PHOR 365 0.03 0.177 0.2065 0.097
PHOR 1095 0.03 0.1349 0.1573 0.0959
DSKY 1 0.1 0.2866 0.9431 0.0977
DSKY 10 0.1 0.2866 0.7542 0.0977
DSKY 30 0.1 0.2866 0.3344 0.0977
DSKY 90 0.07 0.2108 0.2459 0.0976
DSKY 180 0.06 0.1939 0.2262 0.0974
DSKY 270 0.04 0.1855 0.2164 0.0972
DSKY 365 0.03 0.177 0.2065 0.097
DSKY 1095 0.03 0.1349 0.1573 0.0959
SMLT 1 0.1 0.2866 0.9431 0.0977
SMLT 10 0.1 0.2866 0.7542 0.0977
SMLT 30 0.1 0.2866 0.3344 0.0977
SMLT 90 0.07 0.2108 0.2459 0.0976
SMLT 180 0.06 0.1939 0.2262 0.0974
SMLT 270 0.04 0.1855 0.2164 0.0972
SMLT 365 0.03 0.177 0.2065 0.097
SMLT 1095 0.03 0.1349 0.1573 0.0959
MTLR 1 0.1 0.2866 0.9431 0.0977
MTLR 10 0.1 0.2866 0.7542 0.0977
MTLR 30 0.1 0.2866 0.3344 0.0977
MTLR 90 0.07 0.2108 0.2459 0.0976
MTLR 180 0.06 0.1939 0.2262 0.0974
MTLR 270 0.04 0.1855 0.2164 0.0972
MTLR 365 0.03 0.177 0.2065 0.097
MTLR 1095 0.03 0.1349 0.1573 0.0959
RSTI 1 0.1 0.2866 0.9431 0.0977
RSTI 10 0.1 0.2866 0.7542 0.0977
RSTI 30 0.1 0.2866 0.3344 0.0977
RSTI 90 0.07 0.2108 0.2459 0.0976
RSTI 180 0.06 0.1939 0.2262 0.0974
RSTI 270 0.04 0.1855 0.2164 0.0972
RSTI 365 0.03 0.177 0.2065 0.097
RSTI 1095 0.03 0.1349 0.1573 0.0959
SIBN 1 0.1 0.2866 0.9431 0.0977
SIBN 10 0.1 0.2866 0.7542 0.0977
SIBN 30 0.1 0.2866 0.3344 0.0977
SIBN 90 0.07 0.2108 0.2459 0.0976
SIBN 180 0.06 0.1939 0.2262 0.0974
SIBN 270 0.04 0.1855 0.2164 0.0972
SIBN 365 0.03 0.177 0.2065 0.097
SIBN 1095 0.03 0.1349 0.1573 0.0959
  1. 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
SPBE 0.5 0.9 Y 0 0
RUAL 0.5 0.9 Y 0 0
PHOR 0.5 0.9 Y 0 0
DSKY 0.5 0.9 Y 0 0
SMLT 0.5 0.9 Y 0 0
MTLR 0.5 0.9 Y 0 0
RSTI 0.5 0.9 Y 0 0
SIBN 0.5 0.9 Y 0 0
               

 


Underlying		 Volat
Num		 M MDtimeIcl MDtimeEcl freq count Spread AutoShift
NumMR		 AutoShift
NumMREvg		 Window_size SOMC
SPBE 3 10 3 8 5 12 0.2 10 0 0.5 0.1
RUAL 3 10 3 8 5 12 0.2 10 0 0.5 0.1
PHOR 3 10 3 8 5 12 0.2 10 0 0.5 0.1
DSKY 3 10 3 8 5 12 0.2 10 0 0.5 0.1
SMLT 3 10 3 8 5 12 0.2 10 0 0.5 0.1
MTLR 3 10 3 8 5 12 0.2 10 0 0.5 0.1
RSTI 3 10 3 8 5 12 0.2 10 0 0.5 0.1
SIBN 3 10 3 8 5 12 0.2 10 0 0.5 0.1

 

Код базового актива 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
SPBE 10 0 0.10 Y 0.05 180 180 180 180 1 2 0.25 0.45
RUAL 10 0 0.10 Y 0.05 180 180 180 180 1 2 0.25 0.45
PHOR 10 0 0.10 Y 0.05 180 180 180 180 1 2 0.25 0.45
DSKY 10 0 0.10 Y 0.05 180 180 180 180 1 2 0.25 0.45
SMLT 10 0 0.10 Y 0.05 180 180 180 180 1 2 0.25 0.45
MTLR 10 0 0.10 Y 0.05 180 180 180 180 1 2 0.25 0.45
RSTI 10 0 0.10 Y 0.05 180 180 180 180 1 2 0.25 0.45
SIBN 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
SPBE N N 1 Black’s Model
RUAL N N 1 Black’s Model
PHOR N N 1 Black’s Model
DSKY N N 1 Black’s Model
SMLT N N 1 Black’s Model
MTLR N N 1 Black’s Model
RSTI N N 1 Black’s Model
SIBN 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
SPBE 0
RUAL 0
PHOR 0
DSKY 0
SMLT 0
MTLR 0
RSTI 0
SIBN 0

 

Underlying Num Are included into inter-month spread
SPBE All futures No
RUAL All futures No
PHOR 0 Yes
PHOR 1 Yes
DSKY All futures No
SMLT All futures No
MTLR All futures No
RSTI All futures No
SIBN All futures No
  1. Stress collateral scenarios
Underlying Scen_UP Scen_DOWN
SPBE 15% 15%
RUAL 12% 12%
PHOR 5% 5%
DSKY 12% 12%
SMLT 15% 15%
MTLR 15% 15%
RSTI 11% 11%
SIBN 5% 5%
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