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07 February 2022 Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from February, 8 2022:
Market risk rates and concentration limits:
|
Underlying |
Market risk rates |
Concentration limits |
MinPrice |
|||
|
MR1 |
MR2 |
MR3 |
LK1 |
LK2 |
||
|
CNI |
19% |
31% |
42% |
24 010 |
120 050 |
1 |
|
MMI |
21% |
34% |
46% |
108 800 |
544 000 |
1 |
|
OGI |
24% |
38% |
53% |
237 610 |
1 188 050 |
1 |
|
FNI |
23% |
37% |
51% |
120 730 |
603 650 |
1 |
Interest risk rates and risk rates to implied volatility:
|
Underlying |
T(m) |
IR |
VR |
VVR |
r |
|
CNI |
1 |
0.1 |
0.2866 |
0.9431 |
-0.021 |
|
CNI |
10 |
0.1 |
0.2866 |
0.7312 |
-0.021 |
|
CNI |
30 |
0.1 |
0.2866 |
0.2604 |
-0.021 |
|
CNI |
90 |
0.07 |
0.2108 |
0.1915 |
-0.0264 |
|
CNI |
180 |
0.06 |
0.1939 |
0.1762 |
-0.0189 |
|
CNI |
270 |
0.04 |
0.1855 |
0.1685 |
-0.0201 |
|
CNI |
365 |
0.03 |
0.177 |
0.1608 |
-0.0213 |
|
CNI |
1095 |
0.03 |
0.1349 |
0.1225 |
-0.0213 |
|
MMI |
1 |
0.1 |
0.2866 |
0.9431 |
-0.021 |
|
MMI |
10 |
0.1 |
0.2866 |
0.7312 |
-0.021 |
|
MMI |
30 |
0.1 |
0.2866 |
0.2604 |
-0.021 |
|
MMI |
90 |
0.07 |
0.2108 |
0.1915 |
-0.0264 |
|
MMI |
180 |
0.06 |
0.1939 |
0.1762 |
-0.0189 |
|
MMI |
270 |
0.04 |
0.1855 |
0.1685 |
-0.0201 |
|
MMI |
365 |
0.03 |
0.177 |
0.1608 |
-0.0213 |
|
MMI |
1095 |
0.03 |
0.1349 |
0.1225 |
-0.0213 |
|
OGI |
1 |
0.1 |
0.2866 |
0.9431 |
-0.021 |
|
OGI |
10 |
0.1 |
0.2866 |
0.7312 |
-0.021 |
|
OGI |
30 |
0.1 |
0.2866 |
0.2604 |
-0.021 |
|
OGI |
90 |
0.07 |
0.2108 |
0.1915 |
-0.0264 |
|
OGI |
180 |
0.06 |
0.1939 |
0.1762 |
-0.0189 |
|
OGI |
270 |
0.04 |
0.1855 |
0.1685 |
-0.0201 |
|
OGI |
365 |
0.03 |
0.177 |
0.1608 |
-0.0213 |
|
OGI |
1095 |
0.03 |
0.1349 |
0.1225 |
-0.0213 |
|
FNI |
1 |
0.1 |
0.2866 |
0.9431 |
-0.021 |
|
FNI |
10 |
0.1 |
0.2866 |
0.7312 |
-0.021 |
|
FNI |
30 |
0.1 |
0.2866 |
0.2604 |
-0.021 |
|
FNI |
90 |
0.07 |
0.2108 |
0.1915 |
-0.0264 |
|
FNI |
180 |
0.06 |
0.1939 |
0.1762 |
-0.0189 |
|
FNI |
270 |
0.04 |
0.1855 |
0.1685 |
-0.0201 |
|
FNI |
365 |
0.03 |
0.177 |
0.1608 |
-0.0213 |
|
FNI |
1095 |
0.03 |
0.1349 |
0.1225 |
-0.0213 |
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 |
|||||
|
CNI |
0.5 |
0.9 |
Y |
0 |
0 |
|||||
|
MMI |
0.5 |
0.9 |
Y |
0 |
0 |
|||||
|
OGI |
0.5 |
0.9 |
Y |
0 |
0 |
|||||
|
FNI |
0.5 |
0.9 |
Y |
0 |
0 |
|||||
|
Underlying |
Volat Num |
M |
MDtimeIcl |
MDtimeEcl |
freq |
count |
Spread |
AutoShift NumMR |
AutoShift NumMREvg |
Window_size |
SOMC |
|
CNI |
3 |
10 |
3 |
2 |
5 |
12 |
0.2 |
10 |
0 |
0.5 |
0.1 |
|
MMI |
3 |
10 |
3 |
2 |
5 |
12 |
0.2 |
10 |
0 |
0.5 |
0.1 |
|
OGI |
3 |
10 |
3 |
2 |
5 |
12 |
0.2 |
10 |
0 |
0.5 |
0.1 |
|
FNI |
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 |
|
CNI |
10 |
0 |
0.10 |
Y |
0.05 |
180 |
180 |
180 |
180 |
1 |
2 |
0.25 |
0.45 |
|
MMI |
10 |
0 |
0.10 |
Y |
0.05 |
180 |
180 |
180 |
180 |
1 |
2 |
0.25 |
0.45 |
|
OGI |
10 |
0 |
0.10 |
Y |
0.05 |
180 |
180 |
180 |
180 |
1 |
2 |
0.25 |
0.45 |
|
FNI |
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 |
|
CNI |
N |
N |
1 |
Black’s Model |
|
MMI |
N |
N |
1 |
Black’s Model |
|
OGI |
N |
N |
1 |
Black’s Model |
|
FNI |
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 |
|
CNI |
2 |
|
MMI |
2 |
|
OGI |
2 |
|
FNI |
2 |
|
Underlying |
Num |
Are included into inter-month spread |
|
CNI |
All futures |
No |
|
MMI |
All futures |
No |
|
OGI |
All futures |
No |
|
FNI |
All futures |
N |
Stress collateral scenarios
|
Underlying |
Scen_UP |
Scen_DOWN |
|
CNI |
6% |
6% |
|
MMI |
6% |
6% |
|
OGI |
6% |
6% |
|
FNI |
6% |
6% |