Moscow Exchange: Risk Parameters Change On Derivatives Market

Source: Mondo Visione 2020-07-15

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	0.5

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