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              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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              23.11.2022
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