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01.09.17


Risk Parameters for USD/RUB and EUR/RUB fixings


NCC Clearing Bank sets the following risk parameters for instruments of USD/RUB and EUR/RUB fixings starting from September 4, 2017:

Ticker

Spot risk rate

Concentration limits

IR risk rate

1st level,
S_1_min

2nd level,
S_2_min

3rd level,
S_3_min

1st level

2nd level

TODTOM tenor

USDRUB_FIX0

10%

12%

14%

1 000 000 000

5 000 000 000

40%

EURRUB_FIX0

10%

12%

14%

700 000 000

3 500 000 000

40%