18.09.2023 16:27
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from September, 19th 2023:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | |||
| MR1 | MR2 | MR3 | LK1 | LK2 | |
| SUGAR | 16% | 25% | 36% | 300 000 | 1 500 000 |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
| SUGAR | 5% | 5% |
Other risk parameters will be available on the NCC website from September, 19th 2023.- https://www.nationalclearingcentre.com/catalog/530902
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