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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, |
2nd level, |
3rd level, |
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% |
