20.03.2023 17:46
Risk parameters for futures on Derivatives market
CCP NCC changes the following risk parameters for futures on Derivatives market starting from 7 p.m. of March, 20th 2023:
Market risk rates and concentration limits:
| Underlying | Current Market risk rates | Market risk rates from 7 p.m. 20.03.2023 | ||||
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | |
| MXI | 20% | 26% | 33% | 15% | 21% | 28% |
| MIX | 20% | 26% | 33% | 15% | 21% | 28% |
| RTS | 20% | 26% | 33% | 15% | 21% | 28% |
| RTSM | 20% | 26% | 33% | 15% | 21% | 28% |
| Underlying | Current Concentration limits | Concentration limits from 7 p.m. 20.03.2023 | ||
| LK1 | LK2 | LK1 | LK2 | |
| MXI | 156740 | 783700 | 34078 | 170390 |
| MIX | 15674 | 78370 | 3582 | 17910 |
| RTS | 124142 | 620709 | 18578 | 92890 |
| RTSM | 1241420 | 6207090 | 177052 | 885260 |
| NASD | 55640 | 278200 | 418440 | 2092200 |
| SPYF | 144000 | 720000 | 12258 | 61290 |
| FNI | 120700 | 603500 | 1430 | 7150 |
| CNI | 24010 | 120050 | 1834 | 9170 |
| MMI | 108800 | 544000 | 1492 | 7460 |
| OGI | 237610 | 1188050 | 1750 | 8750 |