CCP NCC sets the following risk parameters on Derivatives market:
| Underlying | Market risk rates | Concentration limits | Stress collateral scenarios | ||||||
|---|---|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | LK1 | LK2 | Scen_UP | Scen_DOWN | |||
| GLD | 8% | 14% | 21% | 1 000 000 | 5 000 000 | 10% | 10% | ||
| Underlying | Tenor, T(m) | IR risk scenarios, % per annum |
|---|---|---|
| GLD | 1 | 15% |
| 30 | 10% | |
| 90 | 7% | |
| 180 | 3% | |
| 270 | 3% | |
| 365 | 3% | |
| 1095 | 3% |
Static risk parameters are available at MOEX website.
