National Settlement Depository

National Settlement Depository (NSD) is the central securities depository of the Russian Federation

National Clearing Centre

Central Counterparty National Clearing Centre acts as a Clearing House and CCP in the Russian financial market

National Mercantile Exchange

Regulated commodity markets

Subscription Print version

03.04.2023 13:57

Risk parameters for new futures on Derivatives market

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from April 4th 2023:

Market risk rates and concentration limits:

Underlying	Market risk rates			Concentration limits		MinPrice
Underlying	MR1	MR2	MR3	LK1	LK2	MinPrice
AED	20%	32%	45%	474 384	2 371 920	0.001
INR	20%	32%	45%	10 630 382	53 151 910	0.0001

Interest risk rates and risk rates to implied volatility:

Underlying	T(m)	IR	VR	VVR
AED	1	0.06	0.2866	0.9431
AED	10	0.06	0.2866	0.7312
AED	30	0.06	0.2866	0.2604
AED	90	0.03	0.2108	0.1915
AED	180	0.025	0.1939	0.1762
AED	270	0.025	0.1855	0.1685
AED	365	0.025	0.1770	0.1608
AED	1095	0.025	0.1349	0.1225
INR	1	0.06	0.4866	0.9431
INR	10	0.06	0.4866	0.7312
INR	30	0.06	0.4866	0.2604
INR	90	0.03	0.4108	0.1915
INR	180	0.025	0.3939	0.1762
INR	270	0.025	0.3855	0.1685
INR	365	0.025	0.3770	0.1608
INR	1095	0.025	0.3349	0.1225

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
AED		0.55		0.9	Y			0	0
INR		0.55		0.9	Y			0	0

Underlying	Volat Num	M	MDtimeIcl	MDtimeEcl	freq	count	Spread	AutoShift NumMR	AutoShift NumMREvg	Window_size	SOMC
AED	3	10	3	2	5	12	0.2	10	0	0.5	0.1
INR	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
AED	10	0	0.20	Y	0.05	180	180	180	180	5	5	0.22	0.36
INR	10	0	0.20	Y	0.05	180	180	180	180	5	5	0.22	0.36

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

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

Underlying	Num	Included into the inter-month spread
AED	All numbers	N
INR	All numbers	N

Stress collateral scenarios

Underlying	Scen_UP	Scen_DOWN
AED	7%	7%
INR	7%	7%

Contacts for media
+7 (495) 363-3232
Public Relations Department

Contacts for clients
+7 (495) 232-3363
Feedback form