14.07.2020 15:27

Risk parameters change on Derivatives Market

CCP NCC includes futures on EUR/RUB and USD/RUB exchange rates into inter-product spread on Derivatives market starting from 7:00 pm on July 14, 2020 with the following risk parameters that are used to calculate inter-product spreads discounts:

Underlying asset code Underlying asset window_size
1 Eu Futures on EUR/RUB Exchange Rate 0.5
2 Si Futures on USD/RUB Exchange Rate 0.5


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Risk parameters