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 |
