NCC | Risk parameters change on FX and precious metals

News

20 September 2019 Risk parameters change on FX and precious metals market

CCP NCC sets the following risk parameters on FX and precious metals market starting from September 23, 2019:

Japanese yen (JPY) will be included into inter-product spread groups.
The new structure of inter-product spread groups will be set:

№	Name of group/supergroup	Assets in group/supergroup
1	EURUSD	EUR, USD
2	FX_GROUP_1	CNY, HKD, JPY
3	FX_GROUP _2	GBP, CHF
4	FX_GROUP _3	EURUSD, FX_GROUP_1
5	FX_GROUP _4	FX_GROUP_2, FX_GROUP_3

3. Risk rates for FX currency pairs with JPY for calculation of inter-product spread group discounts will be set:

Asset1	Asset2	S_Val1/Val2
EUR	JPY	0.05
GBP	JPY	0.05
CHF	JPY	0.05
CNY	JPY	0.05
HKD	JPY	0.05