CCP NCC sets the following risk parameters for new RTS (mini) (RTSM) futures on Derivatives market starting from July 27, 2021:
1. Market risk rates and concentration limits:
Underlying
Market risk rates
Concentration limits
MinPrice
MR1
MR2
MR3
LK1
LK2
RTSM
12%
18%
24%
1 241 420
6 207 090
0.5
2. Interest risk rates and risk rates to implied volatility:
T(m)
IR
VR
VVR
1
0.06
0.2866
0.9431
10
0.7378
30
0.2815
90
0.03
0.2108
0.207
180
0.025
0.1939
0.1905
270
0.1855
0.1822
365
0.177
0.1739
1095
0.1349
0.1325
3. Other static parameters:
RangeFut for all futures
RangeCS for all calendar spreads
MDRule for all futures
MRaddonUp
for all futures
MRaddonDown
0.9
Y
0
Num
included in an
inter-month spread
2
Other numbers
N
Volat
M
MD
timeIcl
timeEcl
freq
count
Spread
AutoShift
NumMR
NumMREvg
Window
_size
SOMC
3
5
12
0.2
0.1
Auto
Shift
NumIR
Evg
Fut
Mon
Range
Bounds
Wdn
CS
Time
Day
0.05
`180
0.25
0.45
Negative
Prices
All
First
Priority
StepNum
OptionModel
Black's Model
Number of settlement periods before the futures expiration for its exclusion from the inter-month spread
4. Stress collateral scenarios
Scen_UP
Scen_DOWN
6%
