NCC | Risk parameters changes on Derivatives market

12 March 2026 Risk parameters changes on Derivatives market

CCP NCC changes the following risk parameters on Derivatives market starting from 7 p.m. of March, 12^th 2026:

1. Market risk rates and concentration limits:

BC	Current market risk rates			Market risk rates from 7 p.m. March, 12th 2026			Current concentration limits, pcs		Concentration limits rates from 7 p.m. March, 12th 2026, pcs
BC	MR_1	MR_2	MR_3	MR_1	MR_2	MR_3	LK1	LK2	LK1	LK2
BR	12%	18%	26%	18%	24%	32%	3 547 706	17 738 528	605 291	3 026 457
BRM	12%	18%	26%	18%	24%	32%	3 547 706	17 738 528	605 291	3 026 457

BC	Current market risk rates			Market risk rates from 7 p.m. March, 12th 2026
BC	MR_1	MR_2	MR_3	MR_1	MR_2	MR_3
TTF	43%	61%	82%	43%	52%	70%

2. The width (in a unit fraction) of the price band for every underlying asset on trading days at weekends (OffDaysTradingPriceRangeShift):

BC	Current value OffDaysTradingPriceRangeShift	Value OffDaysTradingPriceRangeShift from 7 p.m. of March, 12^th 2026
BR	0,04	0,06
BRM	0,04	0,06

3. Collateral for stress scenarios:

BC	Current Scenarios		Scenarios starting from 7 p.m. March, 12th 2026
BC	Scen_UP	Scen_DOWN	Scen_UP	Scen_DOWN
BR	16%	16%	10%	10%
BRM	16%	16%	10%	10%
TTF	12%	12%	20%	12%