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Moscow Exchange: Risk Parameters For New Futures On Derivatives Market

Date 13/10/2020

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from October 14, 2020:

  1. Market risk rates and concentration limits:
UnderlyingMarket risk ratesConcentration limits
MR1MR2MR3LK1LK2
IRAO 31% 44% 69% 62 918 300 314 591 500
MAIL 35% 49% 78% 83 900 419 500
POLY 28% 38% 59% 262 500 1 312 500
  1. Interest risk rates and risk rates to implied volatility:
UnderlyingT(m)IRVRVVRr
IRAO 1 0.1 0.2866 0.9431 0.0401
IRAO 10 0.1 0.2866 0.6387 0.0401
IRAO 30 0.1 0.2866 0.3344 0.0401
IRAO 90 0.07 0.2108 0.2459 0.0405
IRAO 180 0.06 0.1939 0.2262 0.0413
IRAO 270 0.04 0.1855 0.2164 0.0422
IRAO 365 0.03 0.177 0.2065 0.0428
IRAO 1095 0.03 0.1349 0.1573 0.0489
MAIL 1 0.1 0.2866 0.9431 0.0401
MAIL 10 0.1 0.2866 0.6387 0.0401
MAIL 30 0.1 0.2866 0.3344 0.0401
MAIL 90 0.07 0.2108 0.2459 0.0405
MAIL 180 0.06 0.1939 0.2262 0.0413
MAIL 270 0.04 0.1855 0.2164 0.0422
MAIL 365 0.03 0.177 0.2065 0.0428
MAIL 1095 0.03 0.1349 0.1573 0.0489
POLY 1 0.1 0.2866 0.9431 0.0401
POLY 10 0.1 0.2866 0.6387 0.0401
POLY 30 0.1 0.2866 0.3344 0.0401
POLY 90 0.07 0.2108 0.2459 0.0405
POLY 180 0.06 0.1939 0.2262 0.0413
POLY 270 0.04 0.1855 0.2164 0.0422
POLY 365 0.03 0.177 0.2065 0.0428
POLY 1095 0.03 0.1349 0.1573 0.0489
  1. Other static parameters:
UnderlyingRangeFut for all futuresRangeCS for all calendar spreadsMDRule for all futuresMRaddonUp
for all futures
MRaddonDown
for all futures
IRAO 0.5 0.9 Y 0 0
MAIL 0.5 0.9 Y 0 0
POLY 0.5 0.9 Y 0 0

 

UnderlyingNumincluded in an inter-month spread
IRAO 0 Y
IRAO 1 Y
IRAO all other futures N
POLY 0 Y
POLY 1 Y
POLY all other futures N
MAIL all futures N

 

UnderlyingVolat
Num
MMDtimeIclMDtimeEclfreqcountSpreadAutoShift
NumMR
Window
_size
SOMC
IRAO 3 10 3 8 5 12 0.2 10 0.5 0.1
MAIL 3 10 3 8 5 12 0.2 10 0.5 0.1
POLY 3 10 3 8 5 12 0.2 10 0.5 0.1

 

UnderlyingAutoShift
NumIR
Fut
Mon
Range
CS
Mon
Range
Fut
Mon
Time
CS
Mon
Time
Fut
Mon
Num
CS
Mon
Num
Fut
Shift
CS
Shift
IRAO 10 0.10 0.05 300 300 1 2 0.25 0.45
MAIL 10 0.10 0.05 300 300 1 2 0.25 0.45
POLY 10 0.10 0.05 300 300 1 2 0.25 0.45

 

UnderlyingNegative
Prices
All
First
Priority
StepNumOption
Model
IRAO N N 1 Black's Model
MAIL N N 1 Black's Model
POLY N N 1 Black's Model

 

UnderlyingNumber of settlement periods before the futures expiration for its exclusion from the inter-month spread
IRAO 0
MAIL 0
POLY 0
  1. Stress collateral scenarios
UnderlyingScen_UPScen_DOWN
IRAO 10% 10%
MAIL 10% 10%
POLY 10% 10%