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                27.05.2016 10:28

                FX market Risk Parameters Change

                NCC Clearing Bank is changing risk parameters starting from 30 may 2016 according to the tables below.

                Minimum Initial Margin for the Interest Rate Risk

                Currency pair Term
                1D (TODTOM, TOMSPT) 1W 2W 1M 2M 3M 6M 9M 1Y
                USD/RUB 15% 12% 10% 8% 6% 6% 3% 3% 3%
                EUR/RUB  15% 12% 10% 8% 6% 6% 3% 3% 3%
                CNY/RUB  15% 12% 10% 10% 8% 8% 3% - -
                GLD/RUB  15% 12% - 10% - - 3% - -
                SLV/RUB  15% 12% - 10% - - 3% - -
                GBP/RUB 15% - - - - - - - -
                HKD/RUB 15% - - - - - - - -
                BYR/RUB 15% - - - - - - - -

                Inter-asset spread discount

                Asset 1 Asset 2 Discount coefficient
                EUR USD 0.5

                For further information, please contact the Public Relations Department at (495) 363-3232.

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