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National Settlement Depository
National Settlement Depository (NSD) is the central securities depository of the Russian Federation
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Central Counterparty National Clearing Centre acts as a Clearing House and CCP in the Russian financial market
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Regulated commodity markets

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    30.09.2024 13:40

    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 September, 30th 2024:

    1. Market risk rates and concentration limits:
    Underlying Market risk rates Concentration limit
    MR1 MR2 MR3 LK1 LK2
    GAZPF 17% 23% 30% 3 903 574 19 517 870
    SBERF 17% 23% 30% 6 273 214 31 366 070
    1. Parameter that used to calculate inter-product spreads discounts (window_size):
    № Underlying asset code Inclusion in the inter-product spreads group window_size
    1 SBRF SBRF, SBERF 0.3
    2 SBERF SBRF, SBERF 0.3
    3 GAZR GAZR, GAZPF 0.4
    4 GAZPF GAZR, GAZPF 0.4

    Other risk parameters will be available on the NCC website from October, 1st 2024.- https://www.nationalclearingcentre.com/catalog/530902

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