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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:

  1. Market risk rates and concentration limits:
Underlying Market risk rates Concentration limits
MR1 MR2 MR3 LK1 LK2
IRAO 31% 44% 69% 62 918 300 314 591 500
MAIL 35% 49% 78% 83 900 419 500
POLY 28% 38% 59% 262 500 1 312 500
  1. Interest risk rates and risk rates to implied volatility:
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
  1. Other static parameters:
Underlying RangeFut for all futures RangeCS for all calendar spreads MDRule for all futures MRaddonUp
for all futures		 MRaddonDown
for all futures
IRAO 0.5 0.9 Y 0 0
MAIL 0.5 0.9 Y 0 0
POLY 0.5 0.9 Y 0 0

 

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
  1. Stress collateral scenarios
Underlying Scen_UP Scen_DOWN
IRAO 10% 10%
MAIL 10% 10%
POLY 10% 10%
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14.10.2020
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