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%
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