CCP NCC sets the following risk parameters for new futures on Derivatives market starting from August 24, 2021:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| BABA | 15% | 24% | 34% | 8 540 | 42 708 | 1 |
| BIDU | 25% | 40% | 56% | 4 923 | 24 613 | 1 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR |
|---|---|---|---|---|
| BIDU | 1 | 0.1 | 0.2866 | 0.9431 |
| BIDU | 10 | 0.1 | 0.2866 | 0.7542 |
| BIDU | 30 | 0.1 | 0.2866 | 0.3344 |
| BIDU | 90 | 0.07 | 0.2108 | 0.2459 |
| BIDU | 180 | 0.06 | 0.1939 | 0.2262 |
| BIDU | 270 | 0.04 | 0.1855 | 0.2164 |
| BIDU | 365 | 0.03 | 0.177 | 0.2065 |
| BIDU | 1095 | 0.03 | 0.1349 | 0.1573 |
| BABA | 1 | 0.1 | 0.2866 | 0.9431 |
| BABA | 10 | 0.1 | 0.2866 | 0.7542 |
| BABA | 30 | 0.1 | 0.2866 | 0.3344 |
| BABA | 90 | 0.07 | 0.2108 | 0.2459 |
| BABA | 180 | 0.06 | 0.1939 | 0.2262 |
| BABA | 270 | 0.04 | 0.1855 | 0.2164 |
| BABA | 365 | 0.03 | 0.177 | 0.2065 |
| BABA | 1095 | 0.03 | 0.1349 | 0.1573 |
- 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 |
|---|---|---|---|---|---|
| BABA | 0.5 | 0.9 | Y | 0 | 0 |
| BIDU | 0.5 | 0.9 | Y | 0 | 0 |
| Underlying | Num | included in an inter-month spread |
|---|---|---|
| BABA | All numbers | N |
| BIDU | All numbers | N |
| Underlying | Volat Num | M | MD timeIcl | MD timeEcl | freq | count | Spread | AutoShift NumMR | AutoShift NumMREvg | Window _size | SOMC |
|---|---|---|---|---|---|---|---|---|---|---|---|
| BABA | 3 | 10 | 3 | 8 | 5 | 12 | 0.2 | 10 | 0 | 0.5 | 0.1 |
| BIDU | 3 | 10 | 3 | 8 | 5 | 12 | 0.2 | 10 | 0 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BABA | 10 | 0 | 0.20 | Y | 0.05 | 180 | 900 | 180 | 900 | 1 | 2 | 0.25 | 0.45 |
| BIDU | 10 | 0 | 0.20 | Y | 0.05 | 180 | 900 | 180 | 900 | 1 | 2 | 0.25 | 0.45 |
| Underlying | Negative Prices | All First Priority | StepNum | OptionModel |
|---|---|---|---|---|
| BABA | N | N | 1 | Black's Model |
| BIDU | N | N | 1 | Black's Model |
| Underlying | Number of settlement periods before the futures expiration for its exclusion from the inter-month spread |
| BABA | 0 |
| BIDU | 0 |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
|---|---|---|
| BABA | 4% | 2% |
| BIDU | 4% | 2% |
