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
№	Underlying	Futures contract	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

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Risk parameters change on Derivatives Market during Holidays on foreign exchanges