24.04.2018 11:09

Risk parameters for Light Sweet Crude Oil futures on Derivatives market

CCP NCC sets the following risk parameters and stress collateral scenarios on Derivatives market:

№	Underlying	Futures contract	IM rate	Stress collateral scenarios
№	Underlying	Futures contract	IM rate	Scen_UP	Scen_DOWN
1	CL	Light Sweet Crude Oil	12%	5%	5%

Inter-month spread

№	Inter-month spreads contracts list	Spread coefficient	Futures spread dates
1	Light Sweet Crude Oil futures	1.2	one following the nearest futures settlement date

Inter-asset spread

№	Contracts eligible for inter-asset spread	Futures spread dates
1	Brent Oil futures	Brent Oil futures and Light Sweet Crude Oil futures in the inter-month spread
1	Light Sweet Crude Oil futures

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