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% |