NCC | Risk parameters change on Derivatives Market

CCP NCC sets the following risk parameters on Derivatives market starting from 7:00 pm on August 9, 2019:

1. Concentration limits (LK1, LK2):

2. Parameter that used to calculate inter-product spreads discounts (window_size):

№	Underlying asset code	Underlying asset	window_size
№	Underlying asset code	Underlying asset	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

3. Blue Chips Index futures will be excluded from inter-product spread starting from 7:00 pm on August 9, 2019.