25.11.2024 15:04
Risk parameters change on the Derivatives Market
CCP NCC sets the parameter that used to calculate inter-product spreads discounts (window_size) on the Derivatives market starting from 7:00 pm on November 25th, 2024:
| № | Underlying asset code | Inclusion in the inter-product spreads group | window_size |
|---|---|---|---|
| 1 | SBPR | SBRF, SBERF | 0.3 |
| 2 | TATN | TATN, TATP | 0.5 |
| 3 | TATP | TATN, TATP | 0.5 |