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 |