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.
