30.10.2020 10:13
Risk parameters change on Derivatives market
CCP NCC changes the following risk parameters starting from 7 pm on 2 November 2020:
Underlying | Description | Num | Current futures spread attribute | New futures spread attribute |
---|---|---|---|---|
PLT | on Platinum | 1 | No | Yes |
2 | No | Yes | ||
SBPR | on Sberbank preferred shares | 1 | No | Yes |
2 | No | Yes |
Underlying | Description | Number of settlement periods before the futures expiration for its exclusion from the inter-month spread |
---|---|---|
PLT | on Platinum | 2 |
Underlying | Description | Key period T(m) |
Current IR risk rate | New IR risk rate | |
---|---|---|---|---|---|
PLT | on Platinum | 180 | 4% | 6% |