13.10.2020 15:55

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from October 14, 2020:

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
MAIL	1	0.1	0.2866	0.9431	0.0401
MAIL	10	0.1	0.2866	0.6387	0.0401
MAIL	30	0.1	0.2866	0.3344	0.0401
MAIL	90	0.07	0.2108	0.2459	0.0405
MAIL	180	0.06	0.1939	0.2262	0.0413
MAIL	270	0.04	0.1855	0.2164	0.0422
MAIL	365	0.03	0.177	0.2065	0.0428
MAIL	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

Underlying	RangeFut for all futures	RangeCS for all calendar spreads	MDRule for all futures
IRAO	0.5	0.9	Y
MAIL	0.5	0.9	Y
POLY	0.5	0.9	Y

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
MAIL	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
MAIL	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
MAIL	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
MAIL	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
MAIL	0
POLY	0

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