NCC | Risk parameters for new futures on Derivatives ma

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27 March 2023 Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from March 28th 2023:

Market risk rates and concentration limits:

Underlying	Market risk rates			Concentration limits		MinPrice
Underlying	MR1	MR2	MR3	LK1	LK2	MinPrice
NIKK	14%	22%	30%	6 008	30 040	0.1

Interest risk rates and risk rates to implied volatility:

Underlying	T(m)	IR	VR	VVR
NIKK	1	0.06	0.2866	0.9431
NIKK	10	0.06	0.2866	0.7378
NIKK	30	0.06	0.2866	0.2815
NIKK	90	0.03	0.2108	0.2070
NIKK	180	0.025	0.1939	0.1905
NIKK	270	0.025	0.1855	0.1822
NIKK	365	0.025	0.1770	0.1739
NIKK	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
NIKK		0.5		0.9	Y			0	0

Underlying	Volat Num	M	MDtimeIcl	MDtimeEcl	freq	count	Spread	AutoShift NumMR	AutoShift NumMREvg	Window_size	SOMC
NIKK	3	10	3	2	5	12	0.2	10	0	0.5	0.1

Underlyng	AutoShift NumIR	AutoShift NumIREvg	Fut Mon Range	Bounds Wdn	CS Mon Range	Fut Mon TimeDay	FutMonTi meEvg	CS Mon TimeDay	CS MonTi meEvg	Fut Mon Num	CS Mon Num	Fut Shift	CS Shift
NIKK	10	0	0.20	Y	0.05	180	900	180	900	2	2	0.25	0.45

Underlying	Negative Prices	All First Priority	StepNum	OptionModel
NIKK	N	N	1	Black-Scholes

Underlying	Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining
NIKK	2

Underlying	Num	Included into the inter-month spread
NIKK	All numbers	N

Stress collateral scenarios

Underlying	Scen_UP	Scen_DOWN
NIKK	8.5%	8.5%