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
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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