09.03.2020 20:43

Trading and clearing on March 10

Moscow Exchange is closely watching developments on the global markets and is preparing for heightened volatility when its markets open on Tuesday, 10 March.

Moscow Exchange’s technologies and risk management functionality are highly reliable and have demonstrated their ability to operate successfully amidst periods of volatility and high trading volume.

The Exchange operates strictly in compliance with rules and regulations that facilitate uninterrupted trading under all market conditions.

In instances of severe volatility during the trading day, the Exchange employs a discrete auction. A 20% change in the value of any MOEX Russia Index constituent stock over a 10-minute period triggers a discrete auction in that stock. A 15% change in the value of the MOEX Russia Index over a 10-minute period triggers a discrete auction for all stocks. Exchange rules allow for no more than two discrete auctions; after 16:40 Moscow time auctions are not held.

Discrete auctions are not held on the Bond Market. Repo transactions, swaps and negotiated trades will be conducted as normal.

Under clearing rules on all Moscow Exchange markets, when trade limits are reached, clearing limits are automatically expanded, allowing market participants and their clients the opportunity to complete transactions during periods of high volatility.

Given the current market dynamics and the volatility in all highly liquid assets (FX, liquid equities, commodities, index derivatives) at the start of trading on 10 March, expanded trading limits will be set. These limits will be set based on market conditions prior to the start of trading the morning of 10 March. In line with international practice, Moscow Exchange will also increase the timeframe of increasing trade limits for these instruments to 15 minutes during the trading day.

In order to provide adequate notice to all market participants about margin requirements, Moscow Exchange plans to communicate this information by 9:15 a.m. on 10 March.

Due to higher volatility, margin ratios for some instruments will be increased from 10 March.

Approximate margin ratios and trading limits will be published on Moscow Exchange’s website before the end of day on 9 March.

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