02.12.2021 10:44
Risk parameters change on Derivatives market
According to the anti-procyclicality model МААРС of CCP NCC volatility in Brent oil futures is increasing. Therefore, CCP NCC sets the following market risk rates:
| # | Underlying | Futures contract | Current market risk rates | Market risk rates from 7 p.m. 02.12.2021 |
||||
|---|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | |||
| 1 | BR | on Brent oil | 18% | 23% | 31% | 21% | 26% | 34% |
| 2 | CL | on Light Sweet Crude Oil | 20% | 25% | 33% | 21% | 26% | 34% |
Detailed information about the anti-procyclicality model МААРС you may find at CCP NCC website.