30.08.2022 18:53

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from August, 31th 2022:

Underlying	Market risk rates			Concentration limits		MinPrice
Underlying	MR1	MR2	MR3	LK1	LK2	MinPrice
WHEAT	15%	24%	34%	10 000	50 000	10

Underlying	T(m)	IR	VR	VVR
WHEAT	1	0.1	0.2866	0.9431
WHEAT	10	0.1	0.2866	0.734
WHEAT	30	0.1	0.2866	0.1965
WHEAT	90	0.07	0.2108	0.1445
WHEAT	180	0.06	0.1939	0.133
WHEAT	270	0.04	0.1855	0.1272
WHEAT	365	0.03	0.177	0.1214
WHEAT	1095	0.03	0.1349	0.0925

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

Underlying	Volat Num	M	MDtimeIcl	MDtimeEcl	freq	count	Spread	AutoShift NumMR	AutoShift NumMREvg	Window_size	SOMC
WHEAT	3	10	180	180	5	2136	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
WHEAT	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
WHEAT	N	N	1	Black-Scholes

Underlying	Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining
WHEAT	3

Underlying	Scen_UP	Scen_DOWN
WHEAT	5.0%	5.0%

Contacts for media
+7 (495) 363-3232
Public Relations Department

Contacts for clients
+7 (495) 232-3363
Feedback form