15.06.2018 18:20
Risk parameters for Solactive US Large Cap Index futures on Derivatives market
CCP NCC sets the following risk parameters and stress collateral scenarios on Derivatives market:
| Underlying | IM rates | Concentration limits | Stress collateral scenarios | ||||||
|---|---|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | Scen_UP | Scen_DOWN | |||
| U500 | 7% | 11% | 16% | 16 000 | 80 000 | 6% | 6% | ||