27.06.2023 14:29
Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from June, 28th 2023:
- Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits | |||
| MR1 | MR2 | MR3 | LK1 | LK2 | |
| GL | 10% | 16% | 23% | 213 000 | 1 065 000 |
- Stress collateral scenarios
| Underlying | Scen_UP | Scen_DOWN |
| GL | 10% | 10% |