01.09.2022 18:22
Risk Parameters Change for Securities and Derivatives
CCP NCC sets the following risk parameters on Derivatives market starting from 7 pm Moscow time, September 2, 2022:
| Underlying | Maximum futures spread dates |
|---|---|
| CNY | the second settlement day in the quarter cycle |
| T(m) | Interest risk rate | |
|---|---|---|
| Current | New | |
| 1 | 10% | 10% |
| 10 | 10% | 10% |
| 30 | 10% | 10% |
| 90 | 8% | 8% |
| 180 | 3% | 4% |
| 270 | 3% | 4% |
| 365 | 3% | 4% |
| 1095 | 3% | 4% |
| Underlying | Number of settlement periods before expiration during which applies rule "Semi-netting" |
|
|---|---|---|
| Current | New | |
| CNY | 2 | 10 |
| Eu | 2 | 10 |
| Si | 2 | 10 |
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