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CCP NCC sets the following risk parameters and stress collateral scenarios on Derivatives market:
| № | Underlying | Futures contract | IM rate | Stress collateral scenarios | |
|---|---|---|---|---|---|
| Scen_UP | Scen_DOWN | ||||
| 1 | CL | Light Sweet Crude Oil | 12% | 5% | 5% |
Inter-month spread
| № | Inter-month spreads contracts list | Spread coefficient | Futures spread dates |
|---|---|---|---|
| 1 | Light Sweet Crude Oil futures | 1.2 | one following the nearest futures settlement date |
Inter-asset spread
| № | Contracts eligible for inter-asset spread | Futures spread dates |
|---|---|---|
| 1 | Brent Oil futures | Brent Oil futures and Light Sweet Crude Oil futures in the inter-month spread |
| Light Sweet Crude Oil futures |
