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CCP NCC sets the following risk parameters on Derivatives market starting from 7:00 pm on August 9, 2019:
- Concentration limits (LK1, LK2):
| № | Underlying asset code | Underlying asset | Current values | New values | |||
|---|---|---|---|---|---|---|---|
| Concentration limit 1 LK1 | Concentration limits 2 LK2 | Concentration limit 1 LK1 | Concentration limits 2 LK2 | ||||
| 1 | PLT | platinum | 181 | 905 | 1 800 | 9 000 | |
| 2 | PLD | palladium | 175 | 875 | 850 | 4 250 | |
- Parameter that used to calculate inter-product spreads discounts (window_size):
| № | Underlying asset code | Underlying asset | window_size | |
|---|---|---|---|---|
| Current value | New value | |||
| 1 | CL | Light Sweet Crude Oil | 0.5 | 0.3 |
| 2 | BR | Brent oil | 0.5 | 0.4 |
| 3 | MIX | MOEX Russia Index | 0.5 | 0.1 |
| 4 | MXI | MOEX Russia Index (mini) | 0.5 | 0.1 |
| 5 | RTS | RTS Index | 0.5 | 0.6 |
| 6 | OFZ2 | 2-year Russian Federation government bonds | 0.5 | 0.3 |
| 7 | OFZ4 | 4-year Russian Federation government bonds | 0.5 | 0.3 |
| 8 | OFZ6 | 6-year Russian Federation government bonds | 0.5 | 0.3 |
| 9 | OF10 | 10-year Russian Federation government bonds | 0.5 | 0.3 |
| 10 | OF15 | 15-year Russian Federation government bonds | 0.5 | 0.3 |
- Blue Chips Index futures will be excluded from inter-product spread starting from 7:00 pm on August 9, 2019.
