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:
- 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 |
- 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