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CCP NCC sets the following risk parameters for new futures on Derivatives market starting from January, 31 2021:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| HOME | 6% | 10% | 13% | 386 | 1930 | 10 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR | r |
|---|---|---|---|---|---|
| HOME | 1 | 0.1 | 0.2866 | 0.9431 | 0.0999 |
| HOME | 10 | 0.1 | 0.2866 | 0.7312 | 0.0999 |
| HOME | 30 | 0.1 | 0.2866 | 0.2604 | 0.0999 |
| HOME | 90 | 0.07 | 0.2108 | 0.1915 | 0.0999 |
| HOME | 180 | 0.06 | 0.1939 | 0.1762 | 0.0999 |
| HOME | 270 | 0.04 | 0.1855 | 0.1685 | 0.0999 |
| HOME | 365 | 0.03 | 0.177 | 0.1608 | 0.0998 |
| HOME | 1095 | 0.03 | 0.1349 | 0.1225 | 0.0995 |
- 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 |
|---|---|---|---|---|---|
| HOME | 0.5 | 0.9 | Y | 0 | 0 |
Underlying | Volat Num | M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShift NumMR | AutoShift NumMREvg | Window_size | SOMC |
|---|---|---|---|---|---|---|---|---|---|---|---|
| HOME | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 0 | 0.5 | 0.1 |
| Underlying | 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| HOME | 10 | 0 | 0.10 | Y | 0.05 | 180 | 180 | 180 | 180 | 1 | 2 | 0.25 | 0.45 |
| Underlying | Negative Prices | All First Priority | StepNum | OptionModel |
|---|---|---|---|---|
| HOME | N | N | 1 | Black’s Model |
| Underlying | Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining |
|---|---|
| HOME | 2 |
| Underlying | Num | Are included into inter-month spread |
|---|---|---|
| HOME | All futures | No |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
|---|---|---|
| HOME | 8,5% | -8,5% |
