NCC | Risk parameters change on the FX, Securities, Der

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13 October 2022 Risk parameters change on the FX, Securities, Derivatives market and Standardized OTC Derivatives market

CCP NCC sets the following risk parameters:

FX and Securities market:

#	Asset	Current concentration Limit, # of securities		New concentration Limit, # of securities from 14.10.2022
#	Asset	Level 1	Level 2	Level 1	Level 2
1	USD	1 000 000 000	5 000 000 000	500 000 000	2 500 000 000
2	EUR	700 000 000	3 500 000 000	250 000 000	1 250 000 000

Derivatives market:

#	Underlying	Current concentration Limit, # of securities		New concentration Limit, # of securities from 19:00 13.10.2022
#	Underlying	Level 1	Level 2	Level 1	Level 2
1	Si	1 000 000 000	5 000 000 000	500 000 000	2 500 000 000
2	USDRUBTOM	1 000 000 000	5 000 000 000	500 000 000	2 500 000 000
3	Eu	700 000 000	3 500 000 000	250 000 000	1 250 000 000
4	EURRUBTOM	700 000 000	3 500 000 000	250 000 000	1 250 000 000

Standardized OTC derivatives market

#	Description	Current concentration Limit, # of securities		New concentration Limit, # of securities from 14.10.2022
#	Description	Level 1	Level 2	Level 1	Level 2
1	USD	1 000 000 000	5 000 000 000	500 000 000	2 500 000 000
2	EUR	700 000 000	3 500 000 000	250 000 000	1 250 000 000