06.02.2023 21:23

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from February 7th 2023:

  1. Market risk rates and concentration limits:
Underlying Market risk rates Concentration limits MinPrice
MR1 MR2 MR3 LK1 LK2
DAX 11% 17% 24% 101 647 508 234 0.01
  1. Interest risk rates and risk rates to implied volatility:
Underlying T(m) IR VR VVR
DAX 1 0.06 0.2866 0.9431
DAX 10 0.06 0.2866 0.7378
DAX 30 0.06 0.2866 0.2815
DAX 90 0.03 0.2108 0.2070
DAX 180 0.025 0.1939 0.1905
DAX 270 0.025 0.1855 0.1822
DAX 365 0.025 0.1770 0.1739
DAX 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
DAX 0.5 0.9 Y 0 0
                     

 

Underlying Volat
Num
M MDtimeIcl MDtimeEcl freq count Spread AutoShift
NumMR
AutoShift
NumMREvg
Window_size SOMC
DAX 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
DAX 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
DAX N N 1 Black-Scholes

 


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

 

Underlying Num Included into the inter-month spread
DAX All numbers N
  1. Stress collateral scenarios
Underlying Scen_UP Scen_DOWN
DAX 4.5% 4.5%
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