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21 August 2023

CCP NCC sets the following risk parameters for new futures on Derivatives market starting from August, 22th 2023:

  1. Market risk rates and concentration limits:
Underlying Market risk rates Concentration limits
MR1 MR2 MR3 LK1 LK2
BANE 50% 75% 95% 6 250 31 250
BSPB 40% 57% 82% 155 618 778 090
CBOM 40% 57% 82% 13 120 769 65 603 845
KMAZ 50% 75% 95% 141 515 707 576
MVID 50% 75% 95% 55 132 275 660



 

  1. Stress collateral scenarios
Underlying Scen_UP Scen_DOWN
BANE 10% 10%
BSPB 6% 6%
CBOM 10% 10%
KMAZ 10% 10%
MVID 7% 7%


Other risk parameters will be available on the NCC website from August, 22th 2023.- https://www.nationalclearingcentre.com/catalog/530902