NCC | Risk parameters change on the Derivatives Market

News

21 November 2023 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 21, 2023:

№	Underlying asset code	Inclusion in the inter-product spreads group	window_size
1	RTSM	MIX, MXI, IMOEX, RTS	0.6
2	GOLD	GOLD, SILV	0.5
3	SILV	GOLD, SILV	0.5
4	SPYF	SPYF, NASD	0.5
5	NASD	SPYF, NASD	0.5