CCP NCC sets the following risk parameters on Derivatives market:
Underlying
Market risk rates
Concentration limits
MR1
MR2
MR3
LK1
LK2
NG
18%
28%
40%
12 000 000
60 000 000
T(m)
IR
VR
VVR
r
1
0.141
0.2866
0.9431
0.279
30
0.1965
90
0.090
0.2108
0.1445
0.212
180
0.050
0.1939
0.1330
0.253
270
0.038
0.1855
0.1272
0.272
365
0.028
0.1770
0.1214
0.288
1095
0.012
0.1349
0.0925
0.109
Num
RangeFut
MDRule
Intermonth spread
0.5
Y
N
2
3
4
5
6
7
VolatNum
M
MDtimeIcl
MDtimeEcl
freq
count
Spread
AutoShiftNum
MR
Window_size
10
12
0.2
AutoShiftNumIR
Fut
Mon
Range
CS
Time
Shift
0.10
0.05
300
0.25
0.45
Stress collateral scenarios
Scen_UP
Scen_DOWN
9%