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:

  1. Market risk rates and concentration limits:
Underlying Market risk rates Concentration limits MinPrice
MR1 MR2 MR3 LK1 LK2
AED 20% 32% 45% 474 384 2 371 920 0.001
INR 20% 32% 45% 10 630 382 53 151 910 0.0001
  1. 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
  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
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
  1. Stress collateral scenarios
Underlying Scen_UP Scen_DOWN
AED 7% 7%
INR 7% 7%
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