CCP NCC sets the following risk parameters for new futures on Derivatives market starting from October 14, 2020:
1. Market risk rates and concentration limits:
|
Underlying |
Market risk rates |
Concentration limits |
|||
|
MR1 |
MR2 |
MR3 |
LK1 |
LK2 |
|
|
IRAO |
31% |
44% |
69% |
62 918 300 |
314 591 500 |
|
|
35% |
49% |
78% |
83 900 |
419 500 |
|
POLY |
28% |
38% |
59% |
262 500 |
1 312 500 |
2. Interest risk rates and risk rates to implied volatility:
|
Underlying |
T(m) |
IR |
VR |
VVR |
r |
|
IRAO |
1 |
0.1 |
0.2866 |
0.9431 |
0.0401 |
|
IRAO |
10 |
0.1 |
0.2866 |
0.6387 |
0.0401 |
|
IRAO |
30 |
0.1 |
0.2866 |
0.3344 |
0.0401 |
|
IRAO |
90 |
0.07 |
0.2108 |
0.2459 |
0.0405 |
|
IRAO |
180 |
0.06 |
0.1939 |
0.2262 |
0.0413 |
|
IRAO |
270 |
0.04 |
0.1855 |
0.2164 |
0.0422 |
|
IRAO |
365 |
0.03 |
0.177 |
0.2065 |
0.0428 |
|
IRAO |
1095 |
0.03 |
0.1349 |
0.1573 |
0.0489 |
|
|
1 |
0.1 |
0.2866 |
0.9431 |
0.0401 |
|
|
10 |
0.1 |
0.2866 |
0.6387 |
0.0401 |
|
|
30 |
0.1 |
0.2866 |
0.3344 |
0.0401 |
|
|
90 |
0.07 |
0.2108 |
0.2459 |
0.0405 |
|
|
180 |
0.06 |
0.1939 |
0.2262 |
0.0413 |
|
|
270 |
0.04 |
0.1855 |
0.2164 |
0.0422 |
|
|
365 |
0.03 |
0.177 |
0.2065 |
0.0428 |
|
|
1095 |
0.03 |
0.1349 |
0.1573 |
0.0489 |
|
POLY |
1 |
0.1 |
0.2866 |
0.9431 |
0.0401 |
|
POLY |
10 |
0.1 |
0.2866 |
0.6387 |
0.0401 |
|
POLY |
30 |
0.1 |
0.2866 |
0.3344 |
0.0401 |
|
POLY |
90 |
0.07 |
0.2108 |
0.2459 |
0.0405 |
|
POLY |
180 |
0.06 |
0.1939 |
0.2262 |
0.0413 |
|
POLY |
270 |
0.04 |
0.1855 |
0.2164 |
0.0422 |
|
POLY |
365 |
0.03 |
0.177 |
0.2065 |
0.0428 |
|
POLY |
1095 |
0.03 |
0.1349 |
0.1573 |
0.0489 |
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 |
|
IRAO |
0.5 |
0.9 |
Y |
0 |
0 |
|
|
0.5 |
0.9 |
Y |
0 |
0 |
|
POLY |
0.5 |
0.9 |
Y |
0 |
0 |
|
Underlying |
Num |
included in an inter-month spread |
|
IRAO |
0 |
Y |
|
IRAO |
1 |
Y |
|
IRAO |
all other futures |
N |
|
POLY |
0 |
Y |
|
POLY |
1 |
Y |
|
POLY |
all other futures |
N |
|
|
all futures |
N |
|
Underlying |
Volat Num |
M |
MDtimeIcl |
MDtimeEcl |
freq |
count |
Spread |
AutoShift NumMR |
Window _size |
SOMC |
|
IRAO |
3 |
10 |
3 |
8 |
5 |
12 |
0.2 |
10 |
0.5 |
0.1 |
|
|
3 |
10 |
3 |
8 |
5 |
12 |
0.2 |
10 |
0.5 |
0.1 |
|
POLY |
3 |
10 |
3 |
8 |
5 |
12 |
0.2 |
10 |
0.5 |
0.1 |
|
Underlying |
AutoShift NumIR |
Fut Mon Range |
CS Mon Range |
Fut Mon Time |
CS Mon Time |
Fut Mon Num |
CS Mon Num |
Fut Shift |
CS Shift |
|
IRAO |
10 |
0.10 |
0.05 |
300 |
300 |
1 |
2 |
0.25 |
0.45 |
|
|
10 |
0.10 |
0.05 |
300 |
300 |
1 |
2 |
0.25 |
0.45 |
|
POLY |
10 |
0.10 |
0.05 |
300 |
300 |
1 |
2 |
0.25 |
0.45 |
|
Underlying |
Negative Prices |
All First Priority |
StepNum |
Option Model |
|
IRAO |
N |
N |
1 |
Black's Model |
|
|
N |
N |
1 |
Black's Model |
|
POLY |
N |
N |
1 |
Black's Model |
|
Underlying |
Number of settlement periods before the futures expiration for its exclusion from the inter-month spread |
|
IRAO |
0 |
|
|
0 |
|
POLY |
0 |
4. Stress collateral scenarios
|
Underlying |
Scen_UP |
Scen_DOWN |
|
IRAO |
10% |
10% |
|
|
10% |
10% |
|
POLY |
10% |
10% |