08.03.2022 21:41
Risk parameters change on Derivatives market
CCP NCC will set the following risk parameters on Derivatives market starting from 10:00 a.m. March 9th, 2022:
| № | Underlying | Futures contracts | Current market risk rates | New market risk rates from 10:00 a.m. 09.03.2022 |
||||
|---|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR1 | MR2 | |||
| 1 | ALMN | Aluminum futures contract | 10.00% | 16.00% | 22.00% | 20.00% | 26.00% | 32.00% |
| 2 | BR | Futures on Brent oil | 15.00% | 20.00% | 28.00% | 30.00% | 35.00% | 43.00% |
| 3 | CL | Futures on Light Sweet Crude Oil | 20.00% | 25.00% | 33.00% | 30.00% | 35.00% | 43.00% |
| 4 | Co | Copper futures contract | 8.00% | 12.00% | 18.00% | 20.00% | 24.00% | 30.00% |
| 5 | Nl | Nickel futures contract | 11.00% | 17.00% | 25.00% | 30.00% | 36.00% | 44.00% |
| 6 | SILV | Futures on Silver | 17.00% | 22.00% | 30.00% | 20.00% | 25.00% | 33.00% |
| 7 | Zn | Zinc futures contract | 10.00% | 16.00% | 22.00% | 20.00% | 26.00% | 32.00% |
CCP NCC will increase the upside/downside risk rate to implied volatility (VR) by 20% for each key period (m) for the underlying assets below starting from 2 p.m. March 9th, 2022.
| № | Underlying | Futures contracts |
|---|---|---|
| 1 | BR | Futures on Brent oil |
| 2 | CL | Futures on Light Sweet Crude Oil |
| 3 | ED | Futures on EUR/USD Exchange Rate |
| 4 | Eu | Futures on EUR/RUB Exchange Rate |
| 5 | GBPU | Futures on GBP/USD Exchange Rate |
| 6 | GOLD | Gold futures |
| 7 | NG | Natural gas futures |
| 8 | PLT | Futures on platinum |
| 9 | Si | Futures on USD/RUB Exchange Rate |
| 10 | SILV | Futures on silver |
| 11 | UJPY | Futures on USD/JPY Exchange Rate |
For current values please follow the link.
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