NCC Clearing Bank is changing Securities market risk parameters starting from August 01, 2017 according to the tables below.
Spread ID
Interproduct spread
OFZ 1
57%
OFZ 2
44%
OFZ 1-2
43%
OFZ 3
56%
AIZK_1
50%
AIZK_2
61%
DELTA_ALL
51%
DELTA_1
52%
DELTA_2
58%
FEES_ALL
FEES_1
FEES_2
60%
RSHB_2
RZD_ALL
55%
RZD_2
VEB_ALL
VEB_1
VEB_2