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News

27 May 2016

NCC Clearing Bank is changing risk parameters starting from 30 may 2016 according to the tables below.

Minimum Initial Margin for the Interest Rate Risk

Currency pair

Term

1D (TODTOM, TOMSPT)

1W

2W

1M

2M

3M

6M

9M

1Y

USD/RUB

15%

12%

10%

8%

6%

6%

3%

3%

3%

EUR/RUB 

15%

12%

10%

8%

6%

6%

3%

3%

3%

CNY/RUB 

15%

12%

10%

10%

8%

8%

3%

-

-

GLD/RUB 

15%

12%

-

10%

-

-

3%

-

-

SLV/RUB 

15%

12%

-

10%

-

-

3%

-

-

GBP/RUB

15%

-

-

-

-

-

-

-

-

HKD/RUB

15%

-

-

-

-

-

-

-

-

BYR/RUB

15%

-

-

-

-

-

-

-

-

 

Inter-asset spread discount

Asset 1

Asset 2

Discount coefficient

EUR

USD

0.5