NCC | Risk parameters for new futures on the Derivative

CCP NCC sets the following risk parameters for new futures on the Derivatives market starting from 7 p.m. of September, 30th 2024:

1. Market risk rates and concentration limits:

2. 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