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22 April 2022 Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from April, 26 2022:
1. Market risk rates and concentration limits:
|
Underlying |
Market risk rates |
Concentration limits |
MinPrice |
|||
|
MR1 |
MR2 |
MR3 |
LK1 |
LK2 |
||
|
CNYRUBF |
15% |
17% |
19% |
20 000 00 |
100 000 00 |
0.01 |
|
USDRUBF |
15% |
17% |
19% |
1 000 000 000 |
5 000 000 000 |
0.01 |
|
EURRUBF |
15% |
17% |
19% |
700 000 000 |
3 500 000 000 |
0.01 |
2. Interest risk rates and risk rates to implied volatility:
|
Underlying |
T(m) |
IR |
VR |
VVR |
|
CNYRUBF |
1 |
0.1 |
0.2866 |
0.9431 |
|
CNYRUBF |
10 |
0.1 |
0.2866 |
0.7312 |
|
CNYRUBF |
30 |
0.1 |
0.2866 |
0.2604 |
|
CNYRUBF |
90 |
0.08 |
0.2108 |
0.1915 |
|
CNYRUBF |
180 |
0.03 |
0.1939 |
0.1762 |
|
CNYRUBF |
270 |
0.03 |
0.1855 |
0.1685 |
|
CNYRUBF |
365 |
0.03 |
0.177 |
0.1608 |
|
CNYRUBF |
1095 |
0.03 |
0.1349 |
0.1225 |
|
USDRUBF |
1 |
0.060 |
0.4866 |
0.9431 |
|
USDRUBF |
10 |
0.060 |
0.4866 |
0.7312 |
|
USDRUBF |
30 |
0.060 |
0.4866 |
0.2604 |
|
USDRUBF |
90 |
0.030 |
0.4108 |
0.1915 |
|
USDRUBF |
180 |
0.025 |
0.3939 |
0.1762 |
|
USDRUBF |
270 |
0.025 |
0.3855 |
0.1685 |
|
USDRUBF |
365 |
0.025 |
0.377 |
0.1608 |
|
USDRUBF |
1095 |
0.025 |
0.3349 |
0.1225 |
|
EURRUBF |
1 |
0.060 |
0.4866 |
0.9431 |
|
EURRUBF |
10 |
0.060 |
0.4866 |
0.7312 |
|
EURRUBF |
30 |
0.060 |
0.4866 |
0.2604 |
|
EURRUBF |
90 |
0.030 |
0.4108 |
0.1915 |
|
EURRUBF |
180 |
0.025 |
0.3939 |
0.1762 |
|
EURRUBF |
270 |
0.025 |
0.3855 |
0.1685 |
|
EURRUBF |
365 |
0.025 |
0.377 |
0.1608 |
|
EURRUBF |
1095 |
0.025 |
0.3349 |
0.1225 |
3. 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 |
|||||
|
CNYRUBF |
0.55 |
0.9 |
Y |
0 |
0 |
|||||
|
USDRUBF |
0.55 |
0.9 |
Y |
0 |
0 |
|||||
|
EURRUBF |
0.55 |
0.9 |
Y |
0 |
0 |
|||||
|
Underlying |
Volat Num |
M |
MDtime Icl |
MDtime Ecl |
freq |
count |
Spread |
AutoShift NumMR |
AutoShift NumMREvg |
Window_size |
SOMC |
|
CNYRUBF |
3 |
10 |
3 |
2 |
5 |
12 |
0.2 |
2 |
0 |
0.5 |
0.1 |
|
USDRUBF |
3 |
10 |
3 |
2 |
5 |
12 |
0.2 |
2 |
0 |
0.5 |
0.1 |
|
EURRUBF |
3 |
10 |
3 |
2 |
5 |
12 |
0.2 |
2 |
0 |
0.5 |
0.1 |
|
Underlying |
AutoShift NumIR |
AutoShift NumIREvg |
Fut Mon Range |
Bounds Wdn |
CS Mon Range |
Fut Mon TimeDay |
FutMon TimeEvg |
CS Mon TimeDay |
CSMon TimeEvg |
Fut Mon Num |
CS Mon Num |
Fut Shift |
CS Shift |
|
CNYRUBF |
2 |
0 |
0.10 |
Y |
0.05 |
180 |
180 |
180 |
180 |
1 |
2 |
0.22 |
0.29 |
|
USDRUBF |
2 |
0 |
0.10 |
Y |
0.05 |
180 |
180 |
180 |
180 |
1 |
2 |
0.22 |
0.29 |
|
EURRUBF |
2 |
0 |
0.10 |
Y |
0.05 |
180 |
180 |
180 |
180 |
1 |
2 |
0.22 |
0.29 |
|
Underlying |
Number of settlement periods before the futures expiration for using “Half netting” rule for inter-month spread margining |
|
CNYRUBF |
4 |
|
USDRUBF |
4 |
|
EURRUBF |
4 |
|
Underlying |
Num |
Are included into inter-month spread |
|
CNYRUBF |
0 |
Y |
|
USDRUBF |
0 |
Y |
|
EURRUBF |
0 |
Y |
4. Stress collateral scenarios
|
Underlying |
Scen_UP |
Scen_DOWN |
|
CNYRUBF |
7.0% |
5.0% |
|
USDRUBF |
7.0% |
5.0% |
|
EURRUBF |
7.0% |
5.0% |