28.04.2020 11:53
Risk parameters change on Derivatives market
CCP NCC sets the following risk parameters on Derivatives market starting from 2:00 pm April 28, 2020:
1. Margin rates:
| № | Underlying | Current margin rates | New margin rates | ||||
|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | ||
| 1 | CL | 50% | 55% | 63% | 65% | 70% | 78% |
2. Interest risk rates:
| № | Underlying | Key terms (m) | Interest risk rate (IR(m)) |
|---|---|---|---|
| 1 | CL | 1 day | 0% |
| 10 days | 0% |
3. The maximum number of changes in the limits of the Price Band during the Settlement Period:
| № | Underlying | AutoShiftNumMR |
|---|---|---|
| 1 | CL | 1 |