20.09.2019 11:48

Risk parameters change on FX and precious metals market

CCP NCC sets the following risk parameters on FX and precious metals market starting from September 23, 2019:

1. Japanese yen (JPY) will be included into inter-product spread groups.

2. The new structure of inter-product spread groups will be set:

Name of group/supergroup Assets in group/supergroup
1 EURUSD EUR, USD
2 FX_GROUP_1 CNY, HKD, JPY
3 FX_GROUP _2 GBP, CHF
4 FX_GROUP _3 EURUSD, FX_GROUP_1
5 FX_GROUP _4 FX_GROUP_2, FX_GROUP_3

3. Risk rates for FX currency pairs with JPY for calculation of inter-product spread group discounts will be set:

Asset1 Asset2 SVal1/Val2
EUR JPY 0.05
GBP JPY 0.05
CHF JPY 0.05
CNY JPY 0.05
HKD JPY 0.05
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