20.04.2022 23:01
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from April, 21 2022:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| CNY | 15% | 17% | 19% | 20 000 00 | 100 000 00 | 0.0005 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR | r |
|---|---|---|---|---|---|
| CNY | 1 | 0.1 | 0.2866 | 0.9431 | 0 |
| CNY | 10 | 0.1 | 0.2866 | 0.7312 | 0 |
| CNY | 30 | 0.1 | 0.2866 | 0.2604 | 0 |
| CNY | 90 | 0.08 | 0.2108 | 0.1915 | 0 |
| CNY | 180 | 0.03 | 0.1939 | 0.1762 | 0 |
| CNY | 270 | 0.03 | 0.1855 | 0.1685 | 0 |
| CNY | 365 | 0.03 | 0.177 | 0.1608 | 0 |
| CNY | 1095 | 0.03 | 0.1349 | 0.1225 | 0 |
- 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 |
|||||
|---|---|---|---|---|---|---|---|---|---|---|
| CNY | 0.55 | 0.9 | Y | 0 | 0 | |||||
Underlying |
Volat Num |
M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShift NumMR |
AutoShift NumMREvg |
Window_size | SOMC |
|---|---|---|---|---|---|---|---|---|---|---|---|
| CNY | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 2 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CNY | 2 | 0 | 0.10 | Y | 0.05 | 180 | 180 | 180 | 180 | 1 | 2 | 0.22 | 0.29 |
| Underlying | Negative Prices |
All First Priority |
StepNum | OptionModel |
|---|---|---|---|---|
| CNY | N | N | 1 | Black model |
Underlying |
Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining |
|---|---|
| CNY | 2 |
| Underlying | Num | Are included into inter-month spread |
|---|---|---|
| CNY | 0 | Y |
| CNY | 1 | Y |
| CNY | Все прочие | N |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
|---|---|---|
| CNY | 7.0% | 5.0% |
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