Menu

List of services

Profile

News and events

News and events

Newsroom
Events calendar
Subscription management
Subscription Print version
07.02.2022 18:31

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from February 8, 2022:

  1. Market risk rates and concentration limits:
Underlying Market risk rates Concentration limits MinPrice
MR1 MR2 MR3 LK1 LK2
CNI 19% 31% 42% 24 010 120 050 1
MMI 21% 34% 46% 108 800 544 000 1
OGI 24% 38% 53% 237 610 1 188 050 1
FNI 23% 37% 51% 120 730 603 650 1
  1. Interest risk rates and risk rates to implied volatility:
Underlying T(m) IR VR VVR r
CNI 1 0.1 0.2866 0.9431 -0.021
CNI 10 0.1 0.2866 0.7312 -0.021
CNI 30 0.1 0.2866 0.2604 -0.021
CNI 90 0.07 0.2108 0.1915 -0.0264
CNI 180 0.06 0.1939 0.1762 -0.0189
CNI 270 0.04 0.1855 0.1685 -0.0201
CNI 365 0.03 0.177 0.1608 -0.0213
CNI 1095 0.03 0.1349 0.1225 -0.0213
MMI 1 0.1 0.2866 0.9431 -0.021
MMI 10 0.1 0.2866 0.7312 -0.021
MMI 30 0.1 0.2866 0.2604 -0.021
MMI 90 0.07 0.2108 0.1915 -0.0264
MMI 180 0.06 0.1939 0.1762 -0.0189
MMI 270 0.04 0.1855 0.1685 -0.0201
MMI 365 0.03 0.177 0.1608 -0.0213
MMI 1095 0.03 0.1349 0.1225 -0.0213
OGI 1 0.1 0.2866 0.9431 -0.021
OGI 10 0.1 0.2866 0.7312 -0.021
OGI 30 0.1 0.2866 0.2604 -0.021
OGI 90 0.07 0.2108 0.1915 -0.0264
OGI 180 0.06 0.1939 0.1762 -0.0189
OGI 270 0.04 0.1855 0.1685 -0.0201
OGI 365 0.03 0.177 0.1608 -0.0213
OGI 1095 0.03 0.1349 0.1225 -0.0213
FNI 1 0.1 0.2866 0.9431 -0.021
FNI 10 0.1 0.2866 0.7312 -0.021
FNI 30 0.1 0.2866 0.2604 -0.021
FNI 90 0.07 0.2108 0.1915 -0.0264
FNI 180 0.06 0.1939 0.1762 -0.0189
FNI 270 0.04 0.1855 0.1685 -0.0201
FNI 365 0.03 0.177 0.1608 -0.0213
FNI 1095 0.03 0.1349 0.1225 -0.0213
  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
CNI 0.5 0.9 Y 0 0
MMI 0.5 0.9 Y 0 0
OGI 0.5 0.9 Y 0 0
FNI 0.5 0.9 Y 0 0
                     

 


Underlying		 Volat
Num		 M MDtimeIcl MDtimeEcl freq count Spread AutoShift
NumMR		 AutoShift
NumMREvg		 Window_size SOMC
CNI 3 10 3 2 5 12 0.2 10 0 0.5 0.1
MMI 3 10 3 2 5 12 0.2 10 0 0.5 0.1
OGI 3 10 3 2 5 12 0.2 10 0 0.5 0.1
FNI 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
CNI 10 0 0.10 Y 0.05 180 180 180 180 1 2 0.25 0.45
MMI 10 0 0.10 Y 0.05 180 180 180 180 1 2 0.25 0.45
OGI 10 0 0.10 Y 0.05 180 180 180 180 1 2 0.25 0.45
FNI 10 0 0.10 Y 0.05 180 180 180 180 1 2 0.25 0.45

 

Underlying Negative
Prices 		All
First
Priority		 StepNum OptionModel
CNI N N 1 Black’s Model
MMI N N 1 Black’s Model
OGI N N 1 Black’s Model
FNI 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
CNI 2
MMI 2
OGI 2
FNI 2

 

Underlying Num Are included into inter-month spread
CNI All futures No
MMI All futures No
OGI All futures No
FNI All futures No
  1. Stress collateral scenarios
Underlying Scen_UP Scen_DOWN
CNI 6% 6%
MMI 6% 6%
OGI 6% 6%
FNI 6% 6%
Contacts for media
+7 (495) 363-3232
Public Relations Department
Contacts for clients
+7 (495) 232-3363
Feedback form
08.02.2022
Main news