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10.10.18


Risk parameters for deliverable gold futures (GLD) on Derivatives market


CCP NCC sets the following risk parameters on Derivatives market:

Underlying

Market risk rates

Concentration limits

Stress collateral scenarios

MR1

MR2

MR3

LK1

LK2

Scen_UP

Scen_DOWN

GLD

8%

14%

21%

1 000 000

5 000 000

10%

10%

 

Underlying

Tenor, T(m)

IR risk scenarios, % per annum

GLD

1

15%

30

10%

90

7%

180

3%

270

3%

365

3%

1095

3%

 

Static risk parameters are available at MOEX website.