CCP NCC sets the following risk parameters on FX and precious metals market starting from March 29, 2021:
- XAU will be set as eligible collateral
- XAU and GLD will be included into inter-product spread groups.
- The new structure of inter-product spread groups will be set:
| № | Код группы/надгруппы | Активы в составе группы/надгруппы |
|---|---|---|
| 1 | EURUSD | EUR, USD |
| 2 | GROUP_1 | GLD, XAU |
| 3 | GROUP_2 | CNY, HKD, JPY |
| 4 | GROUP_3 | EURUSD, GROUP_1 |
| 5 | GROUP_4 | GROUP_2, GROUP_3 |
| 6 | GROUP_5 | GBP, CHF |
| 7 | GROUP_6 | GROUP_4, GROUP_5 |
- Risk rates for FX currency pairs with XAU and GLD for calculation of inter-product spread group discounts will be set:
| Asset1 | Asset2 | SVal1/Val2 |
|---|---|---|
| GLD | CHF | 0.06 |
| GLD | CNY | 0.06 |
| GLD | EUR | 0.06 |
| GLD | GBP | 0.06 |
| GLD | HKD | 0.06 |
| GLD | JPY | 0.06 |
| GLD | USD | 0.06 |
| GLD | XAU | 0.005 |
| XAU | CHF | 0.06 |
| XAU | CNY | 0.06 |
| XAU | EUR | 0.06 |
| XAU | GBP | 0.06 |
| XAU | HKD | 0.06 |
| XAU | JPY | 0.06 |
