CCP NCC includes futures on EUR/RUB and USD/RUB exchange rates into inter-product spread on Derivatives market starting from 7:00 pm on July 14, 2020 with the following risk parameters that are used to calculate inter-product spreads discounts:
№
Underlying asset code
Underlying asset
window_size
1
Eu
Futures on EUR/RUB Exchange Rate
0.5
2
Si
Futures on USD/RUB Exchange Rate
