28.11.2022 18:09
Risk parameters on Securities and Derivatives markets
CCP NCC sets the following risk parameters starting from November 29, 2022 on Derivatives market:
- Market risk rates and concentration limits:
Underlying | Market risk rates | Concentration limits | MinPrice | |||
MR1 | MR2 | MR3 | LK1 | LK2 | ||
HANG | 13% | 21% | 29% | 7 288 800 | 36 443 999 | 0.01 |
STOX | 12% | 18% | 26% | 391 996 | 1 959 981 | 0.01 |
- Interest risk rates and risk rates to implied volatility:
Underlying | T(m) | IR | VR | VVR |
HANG | 1 | 0.06 | 0.2866 | 0.9431 |
HANG | 10 | 0.06 | 0.2866 | 0.7378 |
HANG | 30 | 0.06 | 0.2866 | 0.2815 |
HANG | 90 | 0.03 | 0.2108 | 0.207 |
HANG | 180 | 0.025 | 0.1939 | 0.1905 |
HANG | 270 | 0.025 | 0.1855 | 0.1822 |
HANG | 365 | 0.025 | 0.177 | 0.1739 |
HANG | 1095 | 0.025 | 0.1349 | 0.1325 |
STOX | 1 | 0.06 | 0.2866 | 0.9431 |
STOX | 10 | 0.06 | 0.2866 | 0.7378 |
STOX | 30 | 0.06 | 0.2866 | 0.2815 |
STOX | 90 | 0.03 | 0.2108 | 0.207 |
STOX | 180 | 0.025 | 0.1939 | 0.1905 |
STOX | 270 | 0.025 | 0.1855 | 0.1822 |
STOX | 365 | 0.025 | 0.177 | 0.1739 |
STOX | 1095 | 0.025 | 0.1349 | 0.1325 |
- 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 |
|||||
HANG | 0.5 | 0.9 | Y | 0 | 0 | |||||
STOX | 0.5 | 0.9 | Y | 0 | 0 |
Underlying | Volat Num |
M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShift NumMR |
AutoShift NumMREvg |
Window_size | SOMC |
HANG | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 0 | 0.5 | 0.1 |
STOX | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 0 | 0.5 | 0.1 |
Underlyng | 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 |
HANG | 10 | 0 | 0.20 | Y | 0.05 | 180 | 900 | 180 | 900 | 2 | 2 | 0.25 | 0.45 |
STOX | 10 | 0 | 0.20 | Y | 0.05 | 180 | 900 | 180 | 900 | 2 | 2 | 0.25 | 0.45 |
Underlying | Negative Prices |
All First Priority |
StepNum | OptionModel |
HANG | N | N | 1 | Black-Scholes |
STOX | N | N | 1 | Black-Scholes |
Underlying |
Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining |
HANG | 2 |
STOX | 2 |
Underlying | Num | Included into the inter-month spread |
HANG | All numbers | N |
STOX | All numbers | N |
- Stress collateral scenarios
Underlying | Scen_UP | Scen_DOWN |
HANG | 7.8% | 7.8% |
STOX | 7.8% | 7.8% |