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Due to changes of macroeconomic factors and Holidays on foreign exchanges on 19th of April CCP NCC sets the following risk parameters on Derivatives market:
1. Market risk rates for Brent and Light sweet oil futures will not be changed:
| № | Underlying | Futures contract | Current market risk rates | Market risk rates from 19:00 16.04.2019 | Market risk rates from 19:00 17.04.2019 to 19:00 22.04.2019 | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | MR1 | MR2 | MR3 | |||
| 1 | BR | BRENT oil | 10% | 15% | 23% | 10% | 15% | 23% | 10% | 15% | 23% |
| 2 | CL | Light Sweet Crude Oil | 10% | 15% | 23% | 10% | 15% | 23% | 10% | 15% | 23% |
2. The width of the price bands (RangeFut) will be changed for Brent and Light Sweet Crude Oil futures from 19:00 18.04.2019 to 14:00 22.04.2019:
| № | Underlying | Futures contract | RangeFut parameter | |
|---|---|---|---|---|
| Current value | Value from 19:00 18.04.2019 to 14:00 22.04.2019 | |||
| 1 | BR | Light Sweet Crude Oil | 0.66 | 0.3 |
| 2 | CL | BRENT oil | 0.66 | 0.3 |
3. Maximum number of expansion of trading limits (AutoShiftNumMR):
| № | Underlying | Futures contract | AutoShiftNumMR | |
|---|---|---|---|---|
| Current value | Value from 19:00 18.04.2019 to 19:00 19.04.2019 | |||
| 1 | BR | BRENT oil | 10 | 0 |
| 2 | CL | Light Sweet Crude Oil | 10 | 0 |
