25.02.2022 17:45

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from February, 28 2022:

Underlying	Фьючерсный контракт на	Market risk rates			Concentration limits		MinPrice
Underlying	Фьючерсный контракт на	MR1	MR2	MR3	LK1	LK2	MinPrice
RGBI	Индекс Государственных облигаций Московской Биржи	10%	11%	12%	92310	461552	1

Underlying	T(m)	IR	VR	VVR
RGBI	1	0.06	0.2866	0.9431
RGBI	10	0.06	0.2866	0.7154
RGBI	30	0.06	0.2866	0.2093
RGBI	90	0.03	0.2108	0.1539
RGBI	180	0.025	0.1939	0.1416
RGBI	270	0.025	0.1855	0.1354
RGBI	365	0.025	0.177	0.1293
RGBI	1095	0.025	0.1349	0.0985

Underlying		RangeFut for all futures		RangeCS for all calendar spreads		MDRule for all futures		MRaddonUp for all futures		MRaddonDown for all futures
RGBI	0.5		0.9		Y		0		0

Underlying	Volat Num	M	MDtimeIcl	MDtimeEcl	freq	count	Spread	AutoShift NumMR	AutoShift NumMREvg	Window_size	SOMC
RGBI	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
RGBI	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
RGBI	N	N	1	Black model

Underlying	Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining
RGBI	2

Underlying	Num	Are included into inter-month spread
RGBI	All futures	No

Underlying	Scen_UP	Scen_DOWN
RGBI	8.5%	8.5%

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