16.04.2019 14:41
Risk parameters change on Derivatives Market during Holidays on foreign exchanges
Due to changes of macroeconomic factors and Holidays on foreign exchanges on 19th of April CCP NCC sets the following risk parameters on Derivatives market:
1. Market risk rates for Brent and Light sweet oil futures will not be changed:
| № | Underlying | Futures contract | Current market risk rates | Market risk rates from 19:00 16.04.2019 | Market risk rates from 19:00 17.04.2019 to 19:00 22.04.2019 | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | |||
| 1 | BR | BRENT oil | 10% | 15% | 23% | 10% | 15% | 23% | 10% | 15% | 23% |
| 2 | CL | Light Sweet Crude Oil | 10% | 15% | 23% | 10% | 15% | 23% | 10% | 15% | 23% |
2. The width of the price bands (RangeFut) will be changed for Brent and Light Sweet Crude Oil futures from 19:00 18.04.2019 to 14:00 22.04.2019:
| № | Underlying | Futures contract | RangeFut parameter | |
|---|---|---|---|---|
| Current value | Value from 19:00 18.04.2019 to 14:00 22.04.2019 | |||
| 1 | BR | Light Sweet Crude Oil | 0.66 | 0.3 |
| 2 | CL | BRENT oil | 0.66 | 0.3 |
3. Maximum number of expansion of trading limits (AutoShiftNumMR):
| № | Underlying | Futures contract | AutoShiftNumMR | |
|---|---|---|---|---|
| Current value | Value from 19:00 18.04.2019 to 19:00 19.04.2019 | |||
| 1 | BR | BRENT oil | 10 | 0 |
| 2 | CL | Light Sweet Crude Oil | 10 | 0 |