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Information product Instrument Period Price

    Terms of Data

    22.11.2022 19:40

    Risk parameters on Securities and Derivatives markets

    CCP NCC sets the following risk parameters starting from November 23, 2022:

    1. on Securities market:
    2. on Derivatives market:
    Ticker Current parameters New parameters
    S1_min S2_min S3_min LK1 LK2 S1_min S2_min S3_min LK1 LK2
    1 POSI 70% 80% 95% 10 711 53 556 50% 75% 95% 17 285 84 852
    1. Market risk rates and concentration limits:
    Underlying Market risk rates Concentration limits MinPrice
    MR1 MR2 MR3 LK1 LK2
    POSI 50% 75% 95% 17 285 84 852 1
    1. Interest risk rates and risk rates to implied volatility:
    Underlying T(m) IR VR VVR
    POSI 1 0.1 0.2866 0.9431
    POSI 10 0.1 0.2866 0.7542
    POSI 30 0.1 0.2866 0.3344
    POSI 90 0.07 0.2108 0.2459
    POSI 180 0.06 0.1939 0.2262
    POSI 270 0.04 0.1855 0.2164
    POSI 365 0.03 0.1770 0.2065
    POSI 1095 0.03 0.1349 0.1573
    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
    POSI 0.5 0.9 Y 0 0
                         

     

    Underlying Volat
    Num
    M MDtimeIcl MDtimeEcl freq count Spread AutoShift
    NumMR
    AutoShift
    NumMREvg
    Window_size SOMC
    POSI 3 10 3 13 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
    POSI 10 0 0.20 Y 0.05 180 180 180 180 1 2 0.25 0.45

     

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

     


    Underlying
    Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining
    POSI 0

     

    Underlying Num Included into the inter-month spread
    POSI All numbers N
    1. Stress collateral scenarios
    Underlying Scen_UP Scen_DOWN
    POSI 10% 10%
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