12.08.2024 18:58
Risk parameters change on the Derivatives market
CCP NCC changes risk params:
- Market risk rates, excess risk scenarios:
| Underlying | Current market risk rates, % | Current Excess Risk Scenarios UP/DOWN, % | Market risk rates from 19:00 13.08.2024, % | Excess Risk Scenarios UP/DOWN from 14.08.2024, % | ||||
|---|---|---|---|---|---|---|---|---|
| MR_1 | MR_2 | MR_3 | MR_1 | MR_2 | MR_3 | |||
| MIX | 15 | 21 | 28 | 6/6 | 10 | 16 | 22 | 11/11 |
| MXI | 15 | 21 | 28 | 6/6 | 10 | 16 | 22 | 11/11 |
| IMOEX | 15 | 21 | 28 | 6/6 | 10 | 16 | 22 | 11/11 |
| IMX | 15 | 21 | 28 | 6/6 | 10 | 16 | 22 | 11/11 |
| RTS | 15 | 21 | 28 | 6/6 | 13 | 20 | 27 | 8/8 |
| RTSM | 15 | 21 | 28 | 6/6 | 13 | 20 | 27 | 8/8 |
| BR | 18 | 23 | 31 | 5/5 | 12 | 18 | 26 | 16/16 |
| PLD | 17 | 22 | 30 | 5/5 | 14 | 21 | 28 | 8/8 |
- Concentration limits:
| Underlying | Current Concentration Limit, # of securities | Concentration Limit, # of securities from 19:00 13.08.2024 | ||
| LK1 | LK2 | LK1 | LK2 | |
| MIX | 4 300 | 21 500 | 6 369 | 31 844 |
| PLD | 850 | 4 250 | 965 | 4 822 |
| NASD | 418 440 | 2 092 200 | 591 465 | 2 957 322 |
Other risk parameters will be available on the NCC website from August, 14th 2024.- https://www.nationalclearingcentre.com/catalog/530902