NCC | Risk parameters change on Derivatives Market for

25 December 2018 Risk parameters change on Derivatives Market for Brent and Light sweet oil futures

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
№	Underlying	Futures contract	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.