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

Source: Moscow Stock Exchange

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.

Contacts for clients+7 (495) 363-3232+7 (495) 232-3363Feedback form

MIL OSI