31.01.2020 18:25
Risk parameters for Henry Hub Natural Gas futures (NG) on Derivatives market
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 |
| Underlying | T(m) | IR | VR | VVR | r |
|---|---|---|---|---|---|
| NG | 1 | 0.141 | 0.2866 | 0.9431 | 0.279 |
| NG | 30 | 0.141 | 0.2866 | 0.1965 | 0.279 |
| NG | 90 | 0.090 | 0.2108 | 0.1445 | 0.212 |
| NG | 180 | 0.050 | 0.1939 | 0.1330 | 0.253 |
| NG | 270 | 0.038 | 0.1855 | 0.1272 | 0.272 |
| NG | 365 | 0.028 | 0.1770 | 0.1214 | 0.288 |
| NG | 1095 | 0.012 | 0.1349 | 0.0925 | 0.109 |
| Underlying | Num | RangeFut | MDRule | Intermonth spread |
|---|---|---|---|---|
| NG | 1 | 0.5 | Y | N |
| NG | 2 | 0.5 | Y | N |
| NG | 3 | 0.5 | Y | N |
| NG | 4 | 0.5 | Y | N |
| NG | 5 | 0.5 | Y | N |
| NG | 6 | 0.5 | Y | N |
| NG | 7 | 0.5 | Y | N |
| Underlying | VolatNum | M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShiftNum MR |
Window_size |
|---|---|---|---|---|---|---|---|---|---|
| NG | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 0.5 |
| Underlying | AutoShiftNumIR | Fut Mon Range |
CS Mon Range |
Fut Mon Time |
CS Mon Time |
Fut Mon Num |
CS Mon Num |
Fut Shift |
CS Shift |
|---|---|---|---|---|---|---|---|---|---|
| NG | 10 | 0.10 | 0.05 | 300 | 300 | 2 | 2 | 0.25 | 0.45 |
Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
|---|---|---|
| NG | 9% | 9% |