12.09.2022 16:13
Risk parameters change
CCP NCC is changing risk parameters on FX market starting from September 13, 2022
- Interest risk rate:
| Asset | Current interest risk rate, percent per annum | Interest risk rate from 13.09.2022, percent per annum |
|---|---|---|
| CNYRUB_TOM6M | 3% | 6% |
- Ratio of the swap Indicative Rates to the swap Price Band. Set for instruments without full prefunding when settlement dates coincide with the swap maturity dates, first leg maturity TOM:
| Symbol | Current ratio | Ratio from 13.09.2022 |
|---|---|---|
| swapx | 1,4 | 1,1 |