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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% |