03.04.2023 13:57
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from April 4th 2023:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| AED | 20% | 32% | 45% | 474 384 | 2 371 920 | 0.001 |
| INR | 20% | 32% | 45% | 10 630 382 | 53 151 910 | 0.0001 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR |
| AED | 1 | 0.06 | 0.2866 | 0.9431 |
| AED | 10 | 0.06 | 0.2866 | 0.7312 |
| AED | 30 | 0.06 | 0.2866 | 0.2604 |
| AED | 90 | 0.03 | 0.2108 | 0.1915 |
| AED | 180 | 0.025 | 0.1939 | 0.1762 |
| AED | 270 | 0.025 | 0.1855 | 0.1685 |
| AED | 365 | 0.025 | 0.1770 | 0.1608 |
| AED | 1095 | 0.025 | 0.1349 | 0.1225 |
| INR | 1 | 0.06 | 0.4866 | 0.9431 |
| INR | 10 | 0.06 | 0.4866 | 0.7312 |
| INR | 30 | 0.06 | 0.4866 | 0.2604 |
| INR | 90 | 0.03 | 0.4108 | 0.1915 |
| INR | 180 | 0.025 | 0.3939 | 0.1762 |
| INR | 270 | 0.025 | 0.3855 | 0.1685 |
| INR | 365 | 0.025 | 0.3770 | 0.1608 |
| INR | 1095 | 0.025 | 0.3349 | 0.1225 |
- 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 |
|||||
| AED | 0.55 | 0.9 | Y | 0 | 0 | |||||
| INR | 0.55 | 0.9 | Y | 0 | 0 | |||||
| Underlying | Volat Num |
M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShift NumMR |
AutoShift NumMREvg |
Window_size | SOMC |
| AED | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 0 | 0.5 | 0.1 |
| INR | 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 |
| AED | 10 | 0 | 0.20 | Y | 0.05 | 180 | 180 | 180 | 180 | 5 | 5 | 0.22 | 0.36 |
| INR | 10 | 0 | 0.20 | Y | 0.05 | 180 | 180 | 180 | 180 | 5 | 5 | 0.22 | 0.36 |
| Underlying | Negative Prices |
All First Priority |
StepNum | OptionModel |
| AED | N | N | 1 | Black-Scholes |
| INR | N | N | 1 | Black-Scholes |
Underlying |
Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining |
| AED | 2 |
| INR | 2 |
| Underlying | Num | Included into the inter-month spread |
| AED | All numbers | N |
| INR | All numbers | N |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
| AED | 7% | 7% |
| INR | 7% | 7% |