25.03.2024 13:43
Risk parameters for new futures on the Derivatives market
CCP NCC sets the following risk parameters for new futures on the Derivatives market starting from 7 p.m. of March, 25th 2024:
Market risk rates and concentration limits:
| Underlying | Market risk rates | Concentration limits, rub. | |||
|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | |
| DJ30 | 10% | 14% | 19% | 10 000 000 | 50 000 000 |
| R2000 | 10% | 14% | 19% | 10 000 000 | 50 000 000 |
Other risk parameters will be available on the NCC website from March, 26th 2024.- https://www.nationalclearingcentre.com/catalog/530902