27.10.2016 13:14
Risk parameters for ROUNIA futures in November 2016
NCC Clearing Bank sets the following risk parameters for RUONIA futures in November 2016:
| № | Code | Futures contract |
Basic IM Rate | |||
|---|---|---|---|---|---|---|
| from 7:00 pm 31.10.2016 |
from 7:00 pm 09.11.2016 |
from 7:00 pm 16.11.2016 |
from 7:00 pm 23.11.2016 |
|||
| 1 | RUON-11.16 | RUONIA rate | 2.5% | 2.0% | 1.5% | 1.0% |
| Instrument/ Period | Inter-month spread coefficient | |||
|---|---|---|---|---|
| from 7:00 pm 31.10.2016 |
from 7:00 pm 09.11.2016 |
from 7:00 pm 16.11.2016 |
from 7:00 pm 23.11.2016 |
|
| RUON-12.16 | 1 | 1.25 | 1.67 | 2.50 |
| RUON-1.17 | 1 | 1.25 | 1.67 | 2.50 |
| RUON-2.17 | 1 | 1.25 | 1.67 | 2.50 |
| RUON-3.17 | 1 | 1.25 | 1.67 | 2.50 |
| RUON-4.17 | 1.2 | 1.50 | 2 | 3 |
| RUON-5.17 | 1.5 | 1.88 | 2.50 | 3.75 |
| RUON-6.17 | 1.5 | 1.88 | 2.50 | 3.75 |
| RUON-7.17 | 1.5 | 1.88 | 2.50 | 3.75 |
| RUON-8.17 | 1.5 | 1.88 | 2.50 | 3.75 |
| RUON-9.17 | 1.5 | 1.88 | 2.50 | 3.75 |
| RUON-10.17 | 1.5 | 1.88 | 2.50 | 3.75 |
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