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08.04.19


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