21.08.2023 17:24
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from August, 22th 2023:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | |||
| MR1 | MR2 | MR3 | LK1 | LK2 | |
| BANE | 50% | 75% | 95% | 6 250 | 31 250 |
| BSPB | 40% | 57% | 82% | 155 618 | 778 090 |
| CBOM | 40% | 57% | 82% | 13 120 769 | 65 603 845 |
| KMAZ | 50% | 75% | 95% | 141 515 | 707 576 |
| MVID | 50% | 75% | 95% | 55 132 | 275 660 |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
| BANE | 10% | 10% |
| BSPB | 6% | 6% |
| CBOM | 10% | 10% |
| KMAZ | 10% | 10% |
| MVID | 7% | 7% |
Other risk parameters will be available on the NCC website from August, 22th 2023.- https://www.nationalclearingcentre.com/catalog/530902