NCC | Risk parameters for new futures on Derivatives ma

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from April 18th 2023:

1. Market risk rates and concentration limits:

2. Interest risk rates and risk rates to implied volatility:

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
ISKJ	0.5		0.9	Y		0	0

Underlying	Volat Num	M	MDtimeIcl	MDtimeEcl	freq	count	Spread	AutoShift NumMR	AutoShift NumMREvg	Window_size	SOMC
ISKJ	3	10	3	13	5	12	0.2	10	0	0.5	0.1

Underlyng	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
ISKJ	10	0	0.20	Y	0.05	180	180	180	180	1	2	0.25	0.45

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

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

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

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

Underlying	Option series	Included into the inter-month spread
ISKJ	All numbers	N

4. Stress collateral scenarios

Underlying	Scen_UP	Scen_DOWN
ISKJ	25%	25%