NCC | Risk parameters for new futures on Derivatives ma

27 June 2023 Risk parameters for new futures on Derivatives market

Risk parameters for new futures on Derivatives market
CCP NCC sets the following risk parameters for new futures on Derivatives market starting from June, 28th 2023:

1. Market risk rates and concentration limits:

Underlying	Market risk rates			Concentration limits
Underlying	MR1	MR2	MR3	LK1	LK2
GL	10%	16%	23%	213 000	1 065 000

2. Stress collateral scenarios

Underlying	Scen_UP	Scen_DOWN
GL	10%	10%