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Moscow Exchange: Risk Parameters For New Futures On Derivatives Market

CCP NCC sets the following risk parameters for new PIKK futures on Derivatives market starting from August 23, 2021:


  1. Market risk rates and concentration limits:
Underlying Market risk rates Concentration limits MinPrice
MR1 MR2 MR3 LK1 LK2
PIKK 50% 75% 95% 39 385 196 925 1
  1. Interest risk rates and risk rates to implied volatility:
Underlying T(m) IR VR VVR
PIKK 1 0.1 0.2866 0.9431
PIKK 10 0.1 0.2866 0.7542
PIKK 30 0.1 0.2866 0.3344
PIKK 90 0.07 0.2108 0.2459
PIKK 180 0.06 0.1939 0.2262
PIKK 270 0.04 0.1855 0.2164
PIKK 365 0.03 0.1770 0.2065
PIKK 1095 0.03 0.1349 0.1573
  1. 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
PIKK 0.5 0.9 Y 0 0

 

Underlying Num included in an
inter-month spread
PIKK All futures N

 

Underlying Volat
Num
M MD
timeIcl
MD
timeEcl
freq count Spread AutoShift
NumMR
AutoShift
NumMREvg
Window
_size
SOMC
PIKK 3 10 3 8 5 12 0.2 10 0 0.5 0.1

 

Underlying Auto
Shift
NumIR
Auto
Shift
NumIR
Evg
Fut
Mon
Range
Bounds
Wdn
CS
Mon
Range
Fut
Mon
Time
Day
Fut
Mon
Time
Evg
CS
Mon
Time
Day
CS
Mon
Time
Evg
Fut
Mon
Num
CS
Mon
Num
Fut
Shift
CS
Shift
PIKK 10 0 0.2 Y 0.05 180 900 180 `900 1 2 0.25 0.45

 

Underlying Negative
Prices
All
First
Priority
StepNum OptionModel
PIKK N N 1 Black's Model

 

Underlying Number of settlement periods before the futures expiration for its exclusion from the inter-month spread
PIKK 0
  1. Stress collateral scenarios
Underlying Scen_UP Scen_DOWN
PIKK 12% 12%

 

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