27.10.2025 14:01
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from 7 p.m. of October, 27th 2025:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limit, pcs | |||
|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | |
| BRAZIL | 13% | 21% | 29% | 4 250 | 21 250 |
| CHINA | 11% | 17% | 25% | 2 000 | 10 000 |
| SAUDI | 10% | 16% | 22% | 3 035 | 15 175 |
| AFRICA | 11% | 17% | 25% | 2 000 | 10 000 |
| ARGT | 12% | 19% | 27% | 1 690 | 8 450 |
- The width (in a unit fraction) of the price band for underlying asset and of the calendar spread on trading days at weekends:
| Code | Price band for underlying asset on trading days at weekends | Price band of the calendar spread on trading days at weekends |
|---|---|---|
| OffDaysTradingPriceRangeShift | OffDaysTradingRangeCS | |
| BRAZIL | 0.03 | 1.8 |
| CHINA | 0.03 | 1.8 |
| SAUDI | 0.03 | 1.8 |
| AFRICA | 0.03 | 1.8 |
| ARGT | 0.03 | 1.8 |
Risk parameters will be available on the NCC website from October, 28th 2025.- https://www.nationalclearingcentre.com/catalog/530902