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25.12.18


Risk parameters change on Derivatives Market for Brent and Light sweet oil futures


CCP NCC sets the following risk parameters on Derivatives market starting from 7:00 pm on December 25, 2018:

1.      Market risk rates for Brent and Light sweet oil futures will be increased. Considering New Year/Christmas planned risk parameters change market risk rates will be set as follows:

Underlying

Futures contract

Current market risk rates

Market risk rates

from 7:00 pm 25.12.2018

Market risk rates

from 7:00 pm 27.12.2018

 till 7:00 pm 09.01.2019

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%

The market risk rates will be set back to the current values from 7:00 pm 09.01.2019.

 

2. The width of the price bands will be changed for Brent and Light Sweet Crude Oil futures:

Underlying

Futures contract

Current parameter value for price bands RangeFut

New parameter value for price bands RangeFut

1

BR

Light Sweet Crude Oil

0.5

0.66

2

CL

BRENT oil

0.5

0.66

RangeFut parameter defines width of the price bands for the futures during trading session in relation to the market risk rate.