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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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