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                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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                07.02.2023
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