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:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| WHEAT | 15% | 24% | 34% | 10 000 | 50 000 | 10 |
- Interest risk rates and risk rates to implied volatility:
| 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 |
- 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 |
|||||
|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
|---|---|---|
| WHEAT | 5.0% | 5.0% |