15.07.2025 12:13
Risk parameters changes on Derivatives and Securities market
CCP NCC changes the following risk parameters on Securities market starting from July,16th 2025 and on Derivatives market starting from 7 p.m. of July,15th 2025:
Securities market:
Market risk rates and concentration limits:
| Underlying | Current market risk rates | Market risk rates from July, 16th 2025 | Current concentration limits, pcs | Concentration limits from July, 16th 2025 | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| S1_min | S2_min | S3_min | S1_min | S2_min | S3_min | LK1 | LK2 | LK1 | LK2 | |
| X5 | 50% | 75% | 95% | 25% | 31% | 38% | 54 315 | 271 575 | 144 937 | 724 686 |
Derivatives market:
Market risk rates and concentration limits:
| Underlying | Current Minimum Initial Margin for the Market Risk, % | Minimum Initial Margin for the Market Risk, % from 7 p.m. of July, 15th 2025 | Current concentration limits, pcs | Concentration limits from 7 p.m. of July, 15th 2025 | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | LK1 | LK2 | LK1 | LK2 | |
| X5 | 50% | 75% | 95% | 25% | 31% | 38% | 54 315 | 271 575 | 144 937 | 724 686 |