29.12.2021 15:17
Risk parameters change on Derivatives market
According to the anti-procyclicality model МААРС of CCP NCC volatility in Brent oil futures is decreasing. CCP NCC sets the following market risk rates from 7 p.m. on January, 10, 2022:
| # | Underlying | Futures contract | Current market risk rates | Market risk rates from 7 p.m. 10.01.2022 |
||||
|---|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | |||
| 1 | BR | on Brent oil | 25% | 30% | 38% | 15% | 20% | 28% |
| 2 | CL | on Light Sweet Crude Oil | 25% | 30% | 38% | 20% | 25% | 33% |
Detailed information about the anti-procyclicality model МААРС you may find at CCP NCC website.