CCP NCC sets the following risk parameters for new SPDR S&P 500 ETF Trust (SPYF) futures on Derivatives market starting from May 25, 2021:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| SPYF | 7% | 11% | 16% | 144 000 | 720 000 | 0.01 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR |
|---|---|---|---|---|
| SPYF | 1 | 0.06 | 0.2866 | 0.9431 |
| SPYF | 10 | 0.06 | 0.2866 | 0.7378 |
| SPYF | 30 | 0.06 | 0.2866 | 0.2815 |
| SPYF | 90 | 0.03 | 0.2108 | 0.2070 |
| SPYF | 180 | 0.025 | 0.1939 | 0.1905 |
| SPYF | 270 | 0.025 | 0.1855 | 0.1822 |
| SPYF | 365 | 0.025 | 0.1770 | 0.1739 |
| SPYF | 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 |
|---|---|---|---|---|---|
| SPYF | 0.5 | 0.9 | Y | 0 | 0 |
| Underlying | Num | included in an inter-month spread |
|---|---|---|
| SPYF | 1 | Y |
| SPYF | 2 | Y |
| SPYF | other futures | N |
| Underlying | Volat Num | M | MD timeIcl | MD timeEcl | freq | count | Spread | AutoShift NumMR | AutoShift NumMREvg | Window _size | SOMC |
|---|---|---|---|---|---|---|---|---|---|---|---|
| SPYF | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 10 | 0.5 | 0.1 |
| Underlying | Auto Shift NumIR | Auto Shift NumIR Evg | Fut Mon Range | Bounds Wdn | CS Mon Range | Fut Mon Time Day | Fut Mon Time Evg | CS Mon Time Day | CS Mon Time Evg | Fut Mon Num | CS Mon Num | Fut Shift | CS Shift |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SPYF | 10 | 0 | 0.20 | Y | 0.05 | 180 | 900 | 180 | `180 | 2 | 2 | 0.25 | 0.45 |
| Underlying | Negative Prices | All First Priority | StepNum | OptionModel |
|---|---|---|---|---|
| SPYF | N | N | 1 | Black's Model |
| Underlying | Number of settlement periods before the futures expiration for its exclusion from the inter-month spread |
|---|---|
| SPYF | 3 |
- Risk-parameters due to Holidays on foreign exchanges
| Underlying | AutoShiftNumMR | FutMonTimeDay | Effective period |
|---|---|---|---|
| SPYF | 2 | 1800 сек. | from 7:00 pm 28.05.2021 until 7:00 pm 31.05.2021 from 7:00 pm 02.07.2021 until 7:00 pm 05.07.2021 from 7:00 pm 03.09.2021 until 7:00 pm 06.09.2021 from 7:00 pm 24.11.2021 until 7:00 pm 25.11.2021 from 7:00 pm 23.12.2021 until 7:00 pm 24.12.2021 |
| Underlying | AutoShiftNumMR Evg | FutMonTimeEvg | Effective period |
|---|---|---|---|
| SPYF | 2 | 1800 сек. | from 7:00 pm 31.05.2021 until 11:50 pm 31.05.2021 from 7:00 pm 05.07.2021 until 11:50 pm 05.07.2021 from 7:00 pm 06.09.2021 until 11:50 pm 06.09.2021 from 7:00 pm 25.11.2021 until 11:50 pm 25.11.2021 from 7:00 pm 24.12.2021 until 11:50 pm 24.12.2021 |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
|---|---|---|
| SPYF | 7.8% | 7.8% |
