16.04.2019 14:41

Risk parameters change on Derivatives Market during Holidays on foreign exchanges

Due to changes of macroeconomic factors and Holidays on foreign exchanges on 19th of April CCP NCC sets the following risk parameters on Derivatives market:

1. Market risk rates for Brent and Light sweet oil futures will not be changed:

Underlying Futures contract Current market risk rates Market risk rates from 19:00 16.04.2019 Market risk rates from 19:00 17.04.2019 to 19:00 22.04.2019
MR1 MR2 MR3 MR1 MR2 MR3 MR1 MR2 MR3
1 BR BRENT oil 10% 15% 23% 10% 15% 23% 10% 15% 23%
2 CL Light Sweet Crude Oil 10% 15% 23% 10% 15% 23% 10% 15% 23%

2. The width of the price bands (RangeFut) will be changed for Brent and Light Sweet Crude Oil futures from 19:00 18.04.2019 to 14:00 22.04.2019:

Underlying Futures contract RangeFut parameter
Current value Value from 19:00 18.04.2019 to 14:00 22.04.2019
1 BR Light Sweet Crude Oil 0.66 0.3
2 CL BRENT oil 0.66 0.3

3. Maximum number of expansion of trading limits (AutoShiftNumMR):

Underlying Futures contract AutoShiftNumMR
Current value Value from 19:00 18.04.2019 to 19:00 19.04.2019
1 BR BRENT oil 10 0
2 CL Light Sweet Crude Oil 10 0
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