20.05.2019 16:21
Risk parameters for RUSFAR rate futures (1MFR) on Derivatives market
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 | VolatNum | M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShiftNumMR |
|---|---|---|---|---|---|---|---|---|
| 1MFR | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 |
| Underlying | AutoShiftNumIR | FutMonRange | CSMonRange | FutMonTime | CSMonTime | FutMonNum | FutShift | CSShift |
|---|---|---|---|---|---|---|---|---|
| 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% |