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                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%
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