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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