NCC | Risk parameters for new futures on Derivatives ma

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from January, 31 2023:

1. Market risk rates and concentration limits:

2. Interest risk rates and risk rates to implied volatility:

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
UCNY		0.55		0.9	Y			0	0

Underlying	Volat Num	M	MDtimeIcl	MDtimeEcl	freq	count	Spread	AutoShift NumMR	AutoShift NumMREvg	Window_size	SOMC
UCNY	3	10	3	2	5	12	0.2	10	0	0.5	0.1

Underlying	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
UCNY	10	0	0.10	Y	0.05	180	180	180	180	2	2	0.3	0.36

Underlying	Negative Prices	All First Priority	StepNum	OptionModel
UCNY	N	N	1	Black model

Underlying	Number of settlement periods before the futures expiration for using "Half netting" rule for inter-month spread margining
UCNY	0

Underlying	Num	Are included into inter-month spread
UCNY	All	N

4. Stress collateral scenarios

Underlying	Scen_UP	Scen_DOWN
UCNY	2.0%	2.0%