22.04.2022 18:29
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from April, 26 2022:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | MinPrice | |||
|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | ||
| CNYRUBF | 15% | 17% | 19% | 20 000 00 | 100 000 00 | 0.01 |
| USDRUBF | 15% | 17% | 19% | 1 000 000 000 | 5 000 000 000 | 0.01 |
| EURRUBF | 15% | 17% | 19% | 700 000 000 | 3 500 000 000 | 0.01 |
- Interest risk rates and risk rates to implied volatility:
| Underlying | T(m) | IR | VR | VVR |
|---|---|---|---|---|
| CNYRUBF | 1 | 0.1 | 0.2866 | 0.9431 |
| CNYRUBF | 10 | 0.1 | 0.2866 | 0.7312 |
| CNYRUBF | 30 | 0.1 | 0.2866 | 0.2604 |
| CNYRUBF | 90 | 0.08 | 0.2108 | 0.1915 |
| CNYRUBF | 180 | 0.03 | 0.1939 | 0.1762 |
| CNYRUBF | 270 | 0.03 | 0.1855 | 0.1685 |
| CNYRUBF | 365 | 0.03 | 0.177 | 0.1608 |
| CNYRUBF | 1095 | 0.03 | 0.1349 | 0.1225 |
| USDRUBF | 1 | 0.060 | 0.4866 | 0.9431 |
| USDRUBF | 10 | 0.060 | 0.4866 | 0.7312 |
| USDRUBF | 30 | 0.060 | 0.4866 | 0.2604 |
| USDRUBF | 90 | 0.030 | 0.4108 | 0.1915 |
| USDRUBF | 180 | 0.025 | 0.3939 | 0.1762 |
| USDRUBF | 270 | 0.025 | 0.3855 | 0.1685 |
| USDRUBF | 365 | 0.025 | 0.377 | 0.1608 |
| USDRUBF | 1095 | 0.025 | 0.3349 | 0.1225 |
| EURRUBF | 1 | 0.060 | 0.4866 | 0.9431 |
| EURRUBF | 10 | 0.060 | 0.4866 | 0.7312 |
| EURRUBF | 30 | 0.060 | 0.4866 | 0.2604 |
| EURRUBF | 90 | 0.030 | 0.4108 | 0.1915 |
| EURRUBF | 180 | 0.025 | 0.3939 | 0.1762 |
| EURRUBF | 270 | 0.025 | 0.3855 | 0.1685 |
| EURRUBF | 365 | 0.025 | 0.377 | 0.1608 |
| EURRUBF | 1095 | 0.025 | 0.3349 | 0.1225 |
- 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 |
|||||
|---|---|---|---|---|---|---|---|---|---|---|
| CNYRUBF | 0.55 | 0.9 | Y | 0 | 0 | |||||
| USDRUBF | 0.55 | 0.9 | Y | 0 | 0 | |||||
| EURRUBF | 0.55 | 0.9 | Y | 0 | 0 | |||||
Underlying |
Volat Num |
M | MDtimeIcl | MDtimeEcl | freq | count | Spread | AutoShift NumMR |
AutoShift NumMREvg |
Window_size | SOMC |
|---|---|---|---|---|---|---|---|---|---|---|---|
| CNYRUBF | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 2 | 0 | 0.5 | 0.1 |
| USDRUBF | 3 | 10 | 3 | 2 | 5 | 12 | 0.2 | 2 | 0 | 0.5 | 0.1 |
| EURRUBF | 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CNYRUBF | 2 | 0 | 0.10 | Y | 0.05 | 180 | 180 | 180 | 180 | 1 | 2 | 0.22 | 0.29 |
| USDRUBF | 2 | 0 | 0.10 | Y | 0.05 | 180 | 180 | 180 | 180 | 1 | 2 | 0.22 | 0.29 |
| EURRUBF | 2 | 0 | 0.10 | Y | 0.05 | 180 | 180 | 180 | 180 | 1 | 2 | 0.22 | 0.29 |
Underlying |
Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining |
|---|---|
| CNYRUBF | 4 |
| USDRUBF | 4 |
| EURRUBF | 4 |
| Underlying | Num | Are included into inter-month spread |
|---|---|---|
| CNYRUBF | 0 | Y |
| USDRUBF | 0 | Y |
| EURRUBF | 0 | Y |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
|---|---|---|
| CNYRUBF | 7.0% | 5.0% |
| USDRUBF | 7.0% | 5.0% |
| EURRUBF | 7.0% | 5.0% |