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28 February 2023

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from March, 1st 2023:

1. Market risk rates and concentration limits:

Underlying Market risk rates Concentration limits MinPrice
MR1 MR2 MR3 LK1 LK2
TRY 20% 32% 45% 4 130 000 20 650 000 0.001
HKD 15% 22% 35% 4 600 000 23 000 000 0.001

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

Underlying T(m) IR VR VVR r
TRY 1 0.15 0.4866 0.9431 -0.0102
TRY 10 0.10 0.4866 0.7312 -0.0225
TRY 30 0.10 0.4866 0.2604 -0.1047
TRY 90 0.08 0.4108 0.1915 -0.1274
TRY 180 0.03 0.3939 0.1762 -0.1614
TRY 270 0.03 0.3855 0.1685 -0.1675
TRY 365 0.03 0.3770 0.1608 -0.1735
TRY 1095 0.03 0.3349 0.1225 -0.2229

 

Underlying T(m) IR VR VVR r
HKD 1 0.06 0.4866 0.9431 0.0629
HKD 10 0.06 0.4866 0.7312 0.0630
HKD 30 0.06 0.4866 0.2604 0.0640
HKD 90 0.03 0.4108 0.1915 0.0656
HKD 180 0.025 0.3939 0.1762 0.0679
HKD 270 0.025 0.3855 0.1685 0.0690
HKD 365 0.025 0.3770 0.1608 0.0701
HKD 1095 0.025 0.3349 0.1225 0.0792

 

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
TRY 0.75 0.9 Y 0 0
HKD 0.75 0.9 Y 0 0

 


Underlying		 Volat
Num		 M MDtimeIcl MDtimeEcl freq count Spread AutoShift
NumMR		 AutoShift
NumMREvg		 Window_size SOMC
TRY 3 10 3 2 5 12 0.2 10 0 0.5 0.1
HKD 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
TRY 10 0 0.10 Y 0.05 180 180 180 180 2 2 0.22 0.36
HKD 10 0 0.10 Y 0.05 180 180 180 180 2 2 0.22 0.36


 

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

 


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

 

Underlying Num Are included into inter-month spread
TRY All N
HKD All N


 

4. Stress collateral scenarios

Underlying Scen_UP Scen_DOWN
TRY 7% 7%
HKD 7% 5%