Menu

List of services

Profile

News and events

News and events

Newsroom
Events calendar
Subscription management
Subscription Print version
05.09.2022 15:45

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from September 6th 2022:

  1. Market risk rates and concentration limits:
Underlying Market risk rates Concentration limits MinPrice
MR1 MR2 MR3 LK1 LK2
NASD 10% 14% 19% 550 2750 0.01
  1. Interest risk rates and risk rates to implied volatility:
Underlying T(m) IR VR VVR
NASD 1 0.06 0.2866 0.9431
NASD 10 0.06 0.2866 0.7378
NASD 30 0.06 0.2866 0.2815
NASD 90 0.03 0.2108 0.2070
NASD 180 0.025 0.1939 0.1905
NASD 270 0.025 0.1855 0.1822
NASD 365 0.025 0.1770 0.1739
NASD 1095 0.025 0.1349 0.1325
  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
NASD 0.5 0.9 Y 0 0

 

Underlying Volat
Num		 M MDtimeIcl MDtimeEcl freq count Spread AutoShift
NumMR		 AutoShift
NumMREvg		 Window_size SOMC
NASD 3 10 3 2 5 12 0.2 10 0 0.5 0.1

 

Underlyng 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
NASD 10 0 0.20 Y 0.05 180 900 180 900 2 2 0.25 0.45

 

Underlying Negative
Prices 		All
First
Priority		 StepNum OptionModel
NASD N N 1 Black-Scholes

 


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

 

Underlying Num Included into the inter-month spread
NASD All numbers N
  1. Stress collateral scenarios
Underlying Scen_UP Scen_DOWN
NASD 7.8% 7.8%
Contacts for media
+7 (495) 363-3232
Public Relations Department
Contacts for clients
+7 (495) 232-3363
Feedback form
06.09.2022
Main news