CCP NCC sets the following risk parameters on Securities market starting from November, 25th 2025, and on Derivatives market starting from 7 p.m. of November, 24th 2025:
- Concentration limits on Securities market:
| Underlying |
Current concentration limits, pcs |
Concentration limits from November, 25th 2025 |
| LK1 |
LK2 |
LK1 |
LK2 |
| NVTK |
744 479 |
3 722 393 |
572 571 |
2 862 855 |
- Concentration limits on Derivatives market:
| Underlying |
Current concentration limits, pcs |
Concentration limits from 7 p.m. of November, 24th 2025 |
| LK1 |
LK2 |
LK1 |
LK2 |
| NOTK |
744 479 |
3 722 393 |
572 571 |
2 862 855 |
- Market risk rates and concentration limits on Derivatives market:
| Underlying |
Market risk rates |
Concentration limit, pcs |
| MR1 |
MR2 |
MR3 |
LK1 |
LK2 |
| NOTKM |
20% |
26% |
33% |
572 571 |
2 862 855 |
| RTKMP |
25% |
31% |
38% |
459 035 |
2 295 175 |
| IVAT |
33% |
50% |
75% |
185 053 |
925 265 |
| ENPG |
33% |
50% |
75% |
118 358 |
591 790 |
- NOTK and NOTKM contracts will be included in intercontract spread group with 100% of IM discount. CCP NCC sets parameter window_size = 0. (discount within the group = (1 – window_size)).
| ICS |
IM discount |
Value of window_size, in fractions |
| NOTKM_NOTK |
100% |
0 |
Risk parameters will be available on the NCC website from November, 25th 2025.- https://www.nationalclearingcentre.com/catalog/530902
