06.02.2023 21:23
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from February 7th 2023:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| DAX | 11% | 17% | 24% | 101 647 | 508 234 | 0.01 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR |
| DAX | 1 | 0.06 | 0.2866 | 0.9431 |
| DAX | 10 | 0.06 | 0.2866 | 0.7378 |
| DAX | 30 | 0.06 | 0.2866 | 0.2815 |
| DAX | 90 | 0.03 | 0.2108 | 0.2070 |
| DAX | 180 | 0.025 | 0.1939 | 0.1905 |
| DAX | 270 | 0.025 | 0.1855 | 0.1822 |
| DAX | 365 | 0.025 | 0.1770 | 0.1739 |
| DAX | 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 |
|||||
| DAX | 0.5 | 0.9 | Y | 0 | 0 | |||||
| Underlying | Volat Num |
M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShift NumMR |
AutoShift NumMREvg |
Window_size | SOMC |
| DAX | 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 |
| DAX | 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 |
| DAX | N | N | 1 | Black-Scholes |
Underlying |
Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining |
| DAX | 2 |
| Underlying | Num | Included into the inter-month spread |
| DAX | All numbers | N |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
| DAX | 4.5% | 4.5% |