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Due to Holidays on foreign exchanges CCP NCC sets the following risk parameters on Derivatives market:
1. Market risk rates for Brent and Light sweet oil futures:
|
№ |
Underlying |
Futures contract |
Current market risk rates |
Market risk rates from 7:00 pm 16.04.2019 |
Market risk rates from 7:00 pm 17.04.2019 to 7:00 pm 22.04.2019 |
||||||
|
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% |
2. Amount of time required on Derivatives market to expand trading limits (FutMonTime) and maximum number of expanding trading limits (AutoShiftNumMR):
|
№ |
Underlying |
Futures contract |
FutMonTime |
AutoShiftNumMR |
|||
|
Current value |
Value from 18.04.2019 19:00 to 19.04.2019 19:00 |
Current value |
Value from 18.04.2019 19:00 to 19.04.2019 19:00 |
||||
|
1 |
BR |
BRENT oil |
5 minutes |
30 minutes |
10 |
2 |
|
|
2 |
CL |
Light Sweet Crude Oil |
5 minutes |
30 minutes |
10 |
2 |
|
|
3 |
ED |
Euro/USD |
5 minutes |
30 minutes |
10 |
2 |
|
|
4 |
UCHF |
USD/CHF |
5 minutes |
30 minutes |
10 |
2 |
|
|
5 |
GBPU |
GBP/USD |
5 minutes |
30 minutes |
10 |
2 |
|
|
6 |
UCAD |
USD/CAD |
5 minutes |
30 minutes |
10 |
2 |
|
|
7 |
AUDU |
AUD/USD |
5 minutes |
30 minutes |
10 |
2 |
|
|
8 |
UJPY |
USD/JPY |
5 minutes |
30 minutes |
10 |
2 |
|
|
9 |
UINR |
USD/INR |
5 minutes |
30 minutes |
10 |
2 |
|
|
10 |
SUGR |
sugar |
5 minutes |
30 minutes |
10 |
2 |
|
|
11 |
U500 |
US500 index |
5 minutes |
30 minutes |
10 |
2 |
|
3. Amount of time required on Derivatives market to expand trading limits (FutMonTime) and maximum number of expanding trading limits (AutoShiftNumMR):
|
№ |
Underlying |
Futures contract |
FutMonTime |
AutoShiftNumMR |
|||
|
Current value |
Value from 18.04.2019 19:00 to 22.04.2019 19:00 |
Current value |
Value from 18.04.2019 19:00 to 22.04.2019 19:00 |
||||
|
1 |
GOLD |
gold |
5 minutes |
30 minutes |
10 |
2 |
|
|
2 |
SILV |
silver |
5 minutes |
30 minutes |
10 |
2 |
|
|
3 |
PLT |
platinum |
5 minutes |
30 minutes |
10 |
2 |
|
|
4 |
PLD |
palladium |
5 minutes |
30 minutes |
10 |
2 |
|
|
5 |
ALMN |
aluminum |
5 minutes |
30 minutes |
10 |
2 |
|
|
6 |
Co |
copper |
5 minutes |
30 minutes |
10 |
2 |
|
|
7 |
Nl |
nickel |
5 minutes |
30 minutes |
10 |
2 |
|
|
8 |
Zn |
zinc |
5 minutes |
30 minutes |
10 |
2 |
|