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%
Inter-month spread
Inter-month spreads contracts list
Spread coefficient
Futures spread dates
Light Sweet Crude Oil futures
1.2
one following the nearest futures settlement date
Inter-asset spread
Contracts eligible for inter-asset spread
Brent Oil futures
Brent Oil futures and Light Sweet Crude Oil futures in the inter-month spread
