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                29.12.2021 15:17

                Risk parameters change on Derivatives market

                According to the anti-procyclicality model МААРС of CCP NCC volatility in Brent oil futures is decreasing. CCP NCC sets the following market risk rates from 7 p.m. on January, 10, 2022:

                # Underlying Futures contract Current market risk rates Market risk rates
                from 7 p.m. 10.01.2022
                MR1 MR2 MR3 MR1 MR2 MR3
                1 BR on Brent oil 25% 30% 38% 15% 20% 28%
                2 CL on Light Sweet Crude Oil 25% 30% 38% 20% 25% 33%


                Detailed information about the anti-procyclicality model МААРС you may find at CCP NCC website.

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