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24 December 2021 Risk parameters for new futures on Derivatives market
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 |
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 |
|
EGBP |
0.5 |
0.9 |
Y |
0 |
0 |
|
ECAD |
0.5 |
0.9 |
Y |
0 |
0 |
|
EJPY |
0.5 |
0.9 |
Y |
0 |
0 |
|
? Underlying |
Volat Num |
M |
MDtimeIcl |
MDtimeEcl |
freq |
count |
Spread |
AutoShift NumMR |
AutoShift NumMREvg |
Window_size |
SOMC |
|
EGBP |
3 |
10 |
3 |
2 |
5 |
12 |
0.2 |
10 |
0 |
0.5 |
0.1 |
|
ECAD |
3 |
10 |
3 |
2 |
5 |
12 |
0.2 |
10 |
0 |
0.5 |
0.1 |
|
EJPY |
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 |
|
EGBP |
10 |
0 |
0.10 |
Y |
0.05 |
180 |
900 |
180 |
900 |
1 |
2 |
0.25 |
0.45 |
|
ECAD |
10 |
0 |
0.10 |
Y |
0.05 |
180 |
900 |
180 |
900 |
1 |
2 |
0.25 |
0.45 |
|
EJPY |
10 |
0 |
0.10 |
Y |
0.05 |
180 |
900 |
180 |
900 |
1 |
2 |
0.25 |
0.45 |
|
Underlying |
Negative Prices |
All First Priority |
StepNum |
OptionModel |
|
EGBP |
N |
N |
1 |
Black’s Model |
|
ECAD |
N |
N |
1 |
Black’s Model |
|
EJPY |
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 |
|
EGBP |
2 |
|
ECAD |
2 |
|
EJPY |
2 |
|
Underlying |
Num |
Are included into inter-month spread |
|
EGBP |
All futures |
No |
|
ECAD |
All futures |
No |
|
EJPY |
All futures |
No |
Stress collateral scenarios
|
Underlying |
Scen_UP |
Scen_DOWN |
|
EGBP |
2% |
2% |
|
ECAD |
2% |
2% |
|
EJPY |
2% |
2% |