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23 August 2021 Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from August 24, 2021:
1. 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 |
2. 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 |
3. 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 |
4. Stress collateral scenarios
|
Underlying |
Scen_UP |
Scen_DOWN |
|
BABA |
4% |
2% |
|
BIDU |
4% |
2% |