08.04.2019 12:37
Risk parameters change on Derivatives Market during Holidays on foreign exchanges
Due to Holidays on foreign exchanges CCP NCC sets the following risk parameters on Derivatives market:
1. Market risk rates for Brent and Light sweet oil futures:
| № | Underlying | Futures contract | Current market risk rates | Market risk rates from 7:00 pm 16.04.2019 | Market risk rates from 7:00 pm 17.04.2019 to 7:00 pm 22.04.2019 | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 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% |
2. Amount of time required on Derivatives market to expand trading limits (FutMonTime) and maximum number of expanding trading limits (AutoShiftNumMR):
| № | Underlying | Futures contract | FutMonTime | AutoShiftNumMR | |||
|---|---|---|---|---|---|---|---|
| Current value | Value from 18.04.2019 19:00 to 19.04.2019 19:00 | Current value | Value from 18.04.2019 19:00 to 19.04.2019 19:00 | ||||
| 1 | BR | BRENT oil | 5 minutes | 30 minutes | 10 | 2 | |
| 2 | CL | Light Sweet Crude Oil | 5 minutes | 30 minutes | 10 | 2 | |
| 3 | ED | Euro/USD | 5 minutes | 30 minutes | 10 | 2 | |
| 4 | UCHF | USD/CHF | 5 minutes | 30 minutes | 10 | 2 | |
| 5 | GBPU | GBP/USD | 5 minutes | 30 minutes | 10 | 2 | |
| 6 | UCAD | USD/CAD | 5 minutes | 30 minutes | 10 | 2 | |
| 7 | AUDU | AUD/USD | 5 minutes | 30 minutes | 10 | 2 | |
| 8 | UJPY | USD/JPY | 5 minutes | 30 minutes | 10 | 2 | |
| 9 | UINR | USD/INR | 5 minutes | 30 minutes | 10 | 2 | |
| 10 | SUGR | sugar | 5 minutes | 30 minutes | 10 | 2 | |
| 11 | U500 | US500 index | 5 minutes | 30 minutes | 10 | 2 | |
3. Amount of time required on Derivatives market to expand trading limits (FutMonTime) and maximum number of expanding trading limits (AutoShiftNumMR):
| № | Underlying | Futures contract | FutMonTime | AutoShiftNumMR | |||
|---|---|---|---|---|---|---|---|
| Current value | Value from 18.04.2019 19:00 to 22.04.2019 19:00 | Current value | Value from 18.04.2019 19:00 to 22.04.2019 19:00 | ||||
| 1 | GOLD | gold | 5 minutes | 30 minutes | 10 | 2 | |
| 2 | SILV | silver | 5 minutes | 30 minutes | 10 | 2 | |
| 3 | PLT | platinum | 5 minutes | 30 minutes | 10 | 2 | |
| 4 | PLD | palladium | 5 minutes | 30 minutes | 10 | 2 | |
| 5 | ALMN | aluminum | 5 minutes | 30 minutes | 10 | 2 | |
| 6 | Co | copper | 5 minutes | 30 minutes | 10 | 2 | |
| 7 | Nl | nickel | 5 minutes | 30 minutes | 10 | 2 | |
| 8 | Zn | zinc | 5 minutes | 30 minutes | 10 | 2 | |