24.12.2021 15:10
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from December 27, 2021:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| EGBP | 5% | 8% | 12% | 760511 | 3802554 | 0,0001 |
| ECAD | 5% | 8% | 12% | 881627 | 4408134 | 0,0001 |
| EJPY | 5% | 8% | 12% | 1693918 | 8469590 | 0,01 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR |
|---|---|---|---|---|
| EGBP | 1 | 0.06 | 0.2866 | 0.9431 |
| EGBP | 10 | 0.06 | 0.2866 | 0.7114 |
| EGBP | 30 | 0.06 | 0.2866 | 0.1965 |
| EGBP | 90 | 0.03 | 0.2108 | 0.1445 |
| EGBP | 180 | 0.025 | 0.1939 | 0.133 |
| EGBP | 270 | 0.025 | 0.1855 | 0.1272 |
| EGBP | 365 | 0.025 | 0.177 | 0.1214 |
| EGBP | 1095 | 0.025 | 0.1349 | 0.0925 |
| ECAD | 1 | 0.06 | 0.2866 | 0.9431 |
| ECAD | 10 | 0.06 | 0.2866 | 0.7114 |
| ECAD | 30 | 0.06 | 0.2866 | 0.1965 |
| ECAD | 90 | 0.03 | 0.2108 | 0.1445 |
| ECAD | 180 | 0.025 | 0.1939 | 0.133 |
| ECAD | 270 | 0.025 | 0.1855 | 0.1272 |
| ECAD | 365 | 0.025 | 0.177 | 0.1214 |
| ECAD | 1095 | 0.025 | 0.1349 | 0.0925 |
| EJPY | 1 | 0.06 | 0.2866 | 0.9431 |
| EJPY | 10 | 0.06 | 0.2866 | 0.7114 |
| EJPY | 30 | 0.06 | 0.2866 | 0.1965 |
| EJPY | 90 | 0.03 | 0.2108 | 0.1445 |
| EJPY | 180 | 0.025 | 0.1939 | 0.133 |
| EJPY | 270 | 0.025 | 0.1855 | 0.1272 |
| EJPY | 365 | 0.025 | 0.177 | 0.1214 |
| EJPY | 1095 | 0.025 | 0.1349 | 0.0925 |
- 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 |
|---|---|---|---|---|---|
| EGBP | 0.5 | 0.9 | Y | 0 | 0 |
| ECAD | 0.5 | 0.9 | Y | 0 | 0 |
| EJPY | 0.5 | 0.9 | Y | 0 | 0 |
Underlying |
Volat Num |
M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShift NumMR |
AutoShift NumMREvg |
Window_size | SOMC |
|---|---|---|---|---|---|---|---|---|---|---|---|
| EGBP | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 0 | 0.5 | 0.1 |
| ECAD | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 0 | 0.5 | 0.1 |
| EJPY | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 10 | 0 | 0.5 | 0.1 |
| Underlying | AutoShiftNumIR | AutoShift NumIREvg |
Fut Mon Range |
BoundsWdn | CS Mon Range |
Fut Mon TimeDay |
FutMonTimeEvg | CS Mon TimeDay |
CS MonTimeEvg |
Fut Mon Num |
CS Mon Num |
Fut Shift |
CS Shift |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| EGBP | 10 | 0 | 0.10 | Y | 0.05 | 180 | 900 | 180 | 900 | 1 | 2 | 0.25 | 0.45 |
| ECAD | 10 | 0 | 0.10 | Y | 0.05 | 180 | 900 | 180 | 900 | 1 | 2 | 0.25 | 0.45 |
| EJPY | 10 | 0 | 0.10 | Y | 0.05 | 180 | 900 | 180 | 900 | 1 | 2 | 0.25 | 0.45 |
| Underlying | Negative Prices |
All First Priority |
StepNum | OptionModel |
|---|---|---|---|---|
| EGBP | N | N | 1 | Black’s Model |
| ECAD | N | N | 1 | Black’s Model |
| EJPY | N | N | 1 | Black’s Model |
| Underlying | Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining |
|---|---|
| EGBP | 2 |
| ECAD | 2 |
| EJPY | 2 |
| Underlying | Num | Are included into inter-month spread |
|---|---|---|
| EGBP | All futures | No |
| ECAD | All futures | No |
| EJPY | All futures | No |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
|---|---|---|
| EGBP | 2% | 2% |
| ECAD | 2% | 2% |
| EJPY | 2% | 2% |