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
Contacts for media
+7 (495) 363-3232
Public Relations Department
Contacts for clients
+7 (495) 232-3363
Feedback form