30.01.2023 13:40
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from January, 31 2023:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| UCNY | 8% | 13% | 18% | 72191741 | 360958705 | 0.01 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR | r |
| UCNY | 1 | 0.04 | 0.4866 | 0.9431 | -0.0470 |
| UCNY | 10 | 0.04 | 0.4866 | 0.7114 | -0.0470 |
| UCNY | 30 | 0.04 | 0.4866 | 0.1965 | -0.0470 |
| UCNY | 90 | 0.03 | 0.4108 | 0.1445 | -0.0450 |
| UCNY | 180 | 0.025 | 0.3939 | 0.1330 | -0.0400 |
| UCNY | 270 | 0.025 | 0.3855 | 0.1272 | -0.0364 |
| UCNY | 365 | 0.025 | 0.377 | 0.1214 | -0.0364 |
| UCNY | 1095 | 0.025 | 0.3349 | 0.0925 | -0.0364 |
- 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 |
|||||
| UCNY | 0.55 | 0.9 | Y | 0 | 0 | |||||
Underlying |
Volat Num |
M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShift NumMR |
AutoShift NumMREvg |
Window_size | SOMC |
| UCNY | 3 | 10 | 3 | 2 | 5 | 12 | 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 |
| UCNY | 10 | 0 | 0.10 | Y | 0.05 | 180 | 180 | 180 | 180 | 2 | 2 | 0.3 | 0.36 |
| Underlying | Negative Prices |
All First Priority |
StepNum | OptionModel |
| UCNY | N | N | 1 | Black model |
Underlying |
Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining |
| UCNY | 0 |
| Underlying | Num | Are included into inter-month spread |
| UCNY | All | N |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
| UCNY | 2.0% | 2.0% |