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CCP NCC sets the following risk parameters on Derivatives market:
|
Underlying |
Market risk rates |
Concentration limits |
|||
|
MR1 |
MR2 |
MR3 |
LK1 |
LK2 |
|
|
1MFR |
1.5% |
2.5% |
4.5% |
1 000 000 |
5 000 000 |
|
Underlying |
T(m) |
IR |
VR |
VVR |
r |
|
1MFR |
1 |
0 |
0.2866 |
0.9431 |
0 |
|
1MFR |
30 |
0.5 |
0.2866 |
0.1965 |
0 |
|
1MFR |
90 |
0.5 |
0.2108 |
0.1445 |
0 |
|
1MFR |
180 |
0.5 |
0.1939 |
0.1330 |
0 |
|
1MFR |
270 |
0.5 |
0.1855 |
0.1272 |
0 |
|
1MFR |
365 |
0.5 |
0.1770 |
0.1214 |
0 |
|
1MFR |
1095 |
0.5 |
0.1349 |
0.0925 |
0 |
|
Underlying |
Num |
RangeFut |
MDRule |
Intermonth spread |
|
1MFR |
1 |
0.5 |
Y |
Y |
|
1MFR |
2 |
0.5 |
Y |
Y |
|
1MFR |
3 |
0.5 |
Y |
Y |
|
1MFR |
4 |
0.5 |
Y |
Y |
|
1MFR |
5 |
0.5 |
Y |
Y |
|
1MFR |
6 |
0.5 |
Y |
Y |
|
1MFR |
7 |
0.5 |
Y |
Y |
|
1MFR |
8 |
0.5 |
Y |
Y |
|
1MFR |
9 |
0.5 |
Y |
Y |
|
1MFR |
10 |
0.5 |
Y |
Y |
|
1MFR |
11 |
0.5 |
Y |
Y |
|
1MFR |
12 |
0.5 |
Y |
Y |
|
Underlying |
Volat Num |
M |
MDtimeIcl |
MDtimeEcl |
freq |
count |
Spread |
AutoShiftNumMR |
|
1MFR |
3 |
10 |
3 |
2 |
5 |
12 |
0.2 |
10 |
|
Underlying |
AutoShiftNumIR |
Fut Mon Range |
CS Mon Range |
Fut Mon Time |
CS Mon Time |
Fut Mon Num |
Fut Shift |
CS Shift |
|
1MFR |
10 |
0.10 |
0.05 |
300 |
300 |
12 |
0.25 |
0.45 |
|
Underlying |
α |
Tmax |
Tmin |
|
1MFR |
1 |
30/365 |
5/365 |
Stress collateral scenarios
|
Underlying |
Scen_UP |
Scen_DOWN |
|
1MFR |
0% |
0% |