18.12.2020 16:09

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from December 21, 2020:

  1. Market risk rates and concentration limits:
Underlying Market risk rates Concentration limits MinPrice
MR1 MR2 MR3 LK1 LK2
WH4 15% 24% 34% 50 000 100 000 1 430
  1. Interest risk rates and risk rates to implied volatility:
Underlying T(m) IR VR VVR
WH4 1 0.1 0.2866 0.9431
WH4 10 0.1 0.2866 0.764
WH4 30 0.1 0.2866 0.1965
WH4 90 0.07 0.2108 0.1445
WH4 180 0.06 0.1939 0.133
WH4 270 0.04 0.1855 0.1272
WH4 365 0.03 0.177 0.1214
WH4 1095 0.03 0.1349 0.0925
  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
WH4 0.5 0.9 Y 0 0

 

Underlying Num included in an inter-month spread
WH4 all futures N

 

Underlying Volat
Num
M MDtimeIcl MDtimeEcl freq count Spread AutoShift
NumMR
Window
_size
SOMC
WH4 3 10 60 60 5 696 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
WH4 10 0.10 0.05 180 180 1 2 0.25 0.45

 

Underlying Negative
Prices
All
First
Priority
StepNum Option
Model
WH4 N N 1 Black's Model

 

Underlying Number of settlement periods before the futures expiration for its exclusion from the inter-month spread
WH4 0

4. Stress collateral scenarios

Underlying Scen_UP Scen_DOWN
WH4 5% 5%

 

 

 

 

 

 

 

 

 

 

 

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