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26.07.2021 17:00

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new RTS (mini) (RTSM) futures on Derivatives market starting from July 27, 2021:

1. Market risk rates and concentration limits:

Underlying Market risk rates Concentration limits MinPrice
MR1 MR2 MR3 LK1 LK2
RTSM 12% 18% 24% 1 241 420 6 207 090 0.5

2. Interest risk rates and risk rates to implied volatility:

Underlying T(m) IR VR VVR
RTSM 1 0.06 0.2866 0.9431
RTSM 10 0.06 0.2866 0.7378
RTSM 30 0.06 0.2866 0.2815
RTSM 90 0.03 0.2108 0.207
RTSM 180 0.025 0.1939 0.1905
RTSM 270 0.025 0.1855 0.1822
RTSM 365 0.025 0.177 0.1739
RTSM 1095 0.025 0.1349 0.1325

3. 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
RTSM 0.5 0.9 Y 0 0

 

Underlying Num included in an
inter-month spread
RTSM 1 Y
RTSM 2 Y
RTSM Other numbers N

 

Underlying Volat
Num
M MD
timeIcl
MD
timeEcl
freq count Spread AutoShift
NumMR
AutoShift
NumMREvg
Window
_size
SOMC
RTSM 3 10 3 2 5 12 0.2 10 0 0.5 0.1

 

Underlying Auto
Shift
NumIR
Auto
Shift
NumIR
Evg
Fut
Mon
Range
Bounds
Wdn
CS
Mon
Range
Fut
Mon
Time
Day
Fut
Mon
Time
Evg
CS
Mon
Time
Day
CS
Mon
Time
Evg
Fut
Mon
Num
CS
Mon
Num
Fut
Shift
CS
Shift
RTSM 10 0 0.2 Y 0.05 180 180 180 `180 2 2 0.25 0.45

 

Underlying Negative
Prices
All
First
Priority
StepNum OptionModel
RTSM N N 1 Black's Model

 

Underlying Number of settlement periods before the futures expiration for its exclusion from the inter-month spread
RTSM 2

4. Stress collateral scenarios

Underlying Scen_UP Scen_DOWN
RTSM 6% 6%
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