CCP NCC sets the following risk parameters for new futures on Derivatives market starting from April, 21 2022:
1. Market risk rates and concentration limits:
Underlying
Market risk rates
Concentration limits
MinPrice
MR1
MR2
MR3
LK1
LK2
CNY
15%
17%
19%
20 000 00
100 000 00
0.0005
2. Interest risk rates and risk rates to implied volatility:
T(m)
IR
VR
VVR
r
1
0.1
0.2866
0.9431
0
10
0.7312
30
0.2604
90
0.08
0.2108
0.1915
180
0.03
0.1939
0.1762
270
0.1855
0.1685
365
0.177
0.1608
1095
0.1349
0.1225
3. Other static parameters:
RangeFut for all futures
RangeCS for all calendar spreads
MDRule for all futures
MRaddonUp
for all futures
MRaddonDown
0.55
0.9
Y
Volat
Num
M
MDtimeIcl
MDtimeEcl
freq
count
Spread
AutoShift
NumMR
NumMREvg
Window_size
SOMC
3
2
5
12
0.2
0.5
AutoShiftNumIR
NumIREvg
Fut
Mon
Range
BoundsWdn
CS
TimeDay
FutMonTimeEvg
MonTimeEvg
Shift
0.10
0.05
0.22
0.29
Negative
Prices
All
First
Priority
StepNum
OptionModel
N
Black model
Number of settlement periods before the futures expiration for using “Half netting” rule for inter-month spread margining
Are included into inter-month spread
Все прочие
4. Stress collateral scenarios
Scen_UP
Scen_DOWN
7.0%
5.0%