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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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