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13.08.2026 16:56

Risk parameters changes on Derivatives market

  1. CCP NCC changes the following risk parameters on Derivatives market starting from 23:50 August, 17th 2026:

Market risk rates:

BC Market risk rates
MR1 MR2 MR3
RAGR 25% 31% 75%

Concentration limits:

BC Concentration limits
LK1 LK2
ASTRM 352 723 1 763 615
BELUGAM 101 764 508 820
FIXR 50 811 974 254 059 870
RAGR 879 800 4 399 000

Intercontract spreads:

ICS BC IM discount Value of window_size, in fractions
ASTR-ASTRM ASTR, ASTRM 100% 0
BELUGA-BELUGAM BELUGA, BELUGAM 100% 0

 

  1. CCP NCC changes the following risk parameters on Securities market starting from August, 18th 2026:

Ticker Current Market risk rates Market risk rates from 18.08.2026
S_1_min S_2_min S_3_min S_1_min S_2_min S_3_min
RAGR 33% 50% 90% 25% 31% 75%

 

Ticker Current Concentration limits, pcs Concentration limits from 18.08.2026, pcs
LK1 LK2 LK1 LK2
ASTR 103 624 518 120 352 723 1 763 615
BELU 82 083 410 415 101 764 508 820
FIXR 36 919 188 184 595 940 50 811 974 254 059 870
RAGR 513 137 2 565 685 879 800 4 399 000
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