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03 April 2023

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

2. 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

 

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
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 AutoShift
NumIR		 AutoShift
NumIREvg		 Fut
Mon
Range		 Bounds
Wdn		 CS
Mon
Range		 Fut
Mon
TimeDay		 FutMonTime
Evg		 CS
Mon
TimeDay		 CS
MonTime
Evg		 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

4. Stress collateral scenarios

Underlying Scen_UP Scen_DOWN
AED 7% 7%
INR 7% 7%