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                08.08.2019 19:05

                Risk parameters change on Derivatives Market

                CCP NCC sets the following risk parameters on Derivatives market starting from 7:00 pm on August 9, 2019:

                1. Concentration limits (LK1, LK2):
                Underlying asset code Underlying asset Current values New values  
                 
                Concentration limit 1 LK1 Concentration limits 2 LK2 Concentration limit 1 LK1 Concentration limits 2 LK2  
                1 PLT platinum 181 905 1 800 9 000  
                2 PLD palladium 175 875 850 4 250  
                1. Parameter that used to calculate inter-product spreads discounts (window_size):
                Underlying asset code Underlying asset window_size
                Current value New value
                1 CL Light Sweet Crude Oil 0.5 0.3
                2 BR Brent oil 0.5 0.4
                3 MIX MOEX Russia Index 0.5 0.1
                4 MXI MOEX Russia Index (mini) 0.5 0.1
                5 RTS RTS Index 0.5 0.6
                6 OFZ2 2-year Russian Federation government bonds 0.5 0.3
                7 OFZ4 4-year Russian Federation government bonds 0.5 0.3
                8 OFZ6 6-year Russian Federation government bonds 0.5 0.3
                9 OF10 10-year Russian Federation government bonds 0.5 0.3
                10 OF15 15-year Russian Federation government bonds 0.5 0.3
                1. Blue Chips Index futures will be excluded from inter-product spread starting from 7:00 pm on August 9, 2019.
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