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CCP NCC sets the following risk parameters for new futures on Derivatives market starting from December 27, 2021:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| EGBP | 5% | 8% | 12% | 760511 | 3802554 | 0,0001 |
| ECAD | 5% | 8% | 12% | 881627 | 4408134 | 0,0001 |
| EJPY | 5% | 8% | 12% | 1693918 | 8469590 | 0,01 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR |
|---|---|---|---|---|
| EGBP | 1 | 0.06 | 0.2866 | 0.9431 |
| EGBP | 10 | 0.06 | 0.2866 | 0.7114 |
| EGBP | 30 | 0.06 | 0.2866 | 0.1965 |
| EGBP | 90 | 0.03 | 0.2108 | 0.1445 |
| EGBP | 180 | 0.025 | 0.1939 | 0.133 |
| EGBP | 270 | 0.025 | 0.1855 | 0.1272 |
| EGBP | 365 | 0.025 | 0.177 | 0.1214 |
| EGBP | 1095 | 0.025 | 0.1349 | 0.0925 |
| ECAD | 1 | 0.06 | 0.2866 | 0.9431 |
| ECAD | 10 | 0.06 | 0.2866 | 0.7114 |
| ECAD | 30 | 0.06 | 0.2866 | 0.1965 |
| ECAD | 90 | 0.03 | 0.2108 | 0.1445 |
| ECAD | 180 | 0.025 | 0.1939 | 0.133 |
| ECAD | 270 | 0.025 | 0.1855 | 0.1272 |
| ECAD | 365 | 0.025 | 0.177 | 0.1214 |
| ECAD | 1095 | 0.025 | 0.1349 | 0.0925 |
| EJPY | 1 | 0.06 | 0.2866 | 0.9431 |
| EJPY | 10 | 0.06 | 0.2866 | 0.7114 |
| EJPY | 30 | 0.06 | 0.2866 | 0.1965 |
| EJPY | 90 | 0.03 | 0.2108 | 0.1445 |
| EJPY | 180 | 0.025 | 0.1939 | 0.133 |
| EJPY | 270 | 0.025 | 0.1855 | 0.1272 |
| EJPY | 365 | 0.025 | 0.177 | 0.1214 |
| EJPY | 1095 | 0.025 | 0.1349 | 0.0925 |
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