10.02.2020 10:04
Risk parameters for RUSFARUSD futures (1MDR) on Derivatives market
CCP NCC sets the following risk parameters on Derivatives market:
| Underlying | Market risk rates | Concentration limits | |||
|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | |
| 1MDR | 1.5% | 2.5% | 4.5% | 1 000 000 | 5 000 000 |
| БА | T(m) | IR | VR | VVR | r |
|---|---|---|---|---|---|
| 1MDR | 1 | 0 | 0.2866 | 0.9431 | 0 |
| 1MDR | 30 | 0.5 | 0.2866 | 0.1965 | 0 |
| 1MDR | 90 | 0.5 | 0.2108 | 0.1445 | 0 |
| 1MDR | 180 | 0.5 | 0.1939 | 0.133 | 0 |
| 1MDR | 270 | 0.5 | 0.1855 | 0.1272 | 0 |
| 1MDR | 365 | 0.5 | 0.177 | 0.1214 | 0 |
| 1MDR | 1095 | 0.5 | 0.1349 | 0.0925 | 0 |
| Underlying | Num | RangeFut | MDRule | Intermonth spread |
|---|---|---|---|---|
| 1MDR | 1 | 0.5 | Y | Y |
| 1MDR | 2 | 0.5 | Y | Y |
| 1MDR | 3 | 0.5 | Y | Y |
| 1MDR | 4 | 0.5 | Y | Y |
| 1MDR | 5 | 0.5 | Y | Y |
| 1MDR | 6 | 0.5 | Y | Y |
| 1MDR | 7 | 0.5 | Y | Y |
| 1MDR | 8 | 0.5 | Y | Y |
| 1MDR | 9 | 0.5 | Y | Y |
| 1MDR | 10 | 0.5 | Y | Y |
| 1MDR | 11 | 0.5 | Y | Y |
| 1MDR | 12 | 0.5 | Y | Y |
| 1MDR | 13 | 0.5 | Y | Y |
| Underlying | Volat Num |
M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShift NumMR |
Window_size | SOMC |
|---|---|---|---|---|---|---|---|---|---|---|
| 1MDR | 3 | 10 | 3 | 2 | 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 |
|---|---|---|---|---|---|---|---|---|---|
| 1MDR | 10 | 0.10 | 0.05 | 300 | 300 | 12 | 2 | 0.25 | 0.45 |
| Underlying | α | T_min | T_max |
|---|---|---|---|
| 1MDR | 1 | 30/365 | 5/365 |
Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
|---|---|---|
| 1MDR | 0% | 0% |