25.12.2018 15:22
Risk parameters change on Derivatives Market for Brent and Light sweet oil futures
CCP NCC sets the following risk parameters on Derivatives market starting from 7:00 pm on December 25, 2018:
1. Market risk rates for Brent and Light sweet oil futures will be increased. Considering New Year/Christmas planned risk parameters change market risk rates will be set as follows:
| № | Underlying | Futures contract | Current market risk rates |
Market risk rates from 7:00 pm 25.12.2018 |
Market risk rates from 7:00 pm 27.12.2018 till 7:00 pm 09.01.2019 |
||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | |||
| 1 | BR | BRENT oil | 10% | 15% | 23% | 12% | 17% | 25% | 15% | 20% | 28% |
| 2 | CL | Light Sweet Crude Oil | 10% | 15% | 23% | 12% | 17% | 25% | 15% | 20% | 28% |
The market risk rates will be set back to the current values from 7:00 pm 09.01.2019.
2. The width of the price bands will be changed for Brent and Light Sweet Crude Oil futures:
| № | Underlying | Futures contract | Current parameter value for price bands RangeFut | New parameter value for price bands RangeFut |
|---|---|---|---|---|
| 1 | BR | Light Sweet Crude Oil | 0.5 | 0.66 |
| 2 | CL | BRENT oil | 0.5 | 0.66 |
RangeFut parameter defines width of the price bands for the futures during trading session in relation to the market risk rate.