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:
- 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 |
- 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 |
- 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 |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
| PIKK | 12% | 12% |