10.03.2020 17:34
Risk parameters change for automatic shifts of price bands on FX, Securities and Derivatives markets
CCP NCC sets back standard values starting from 11 March 2020 for:
- parameter which defines the time an order must be near the price band to trigger an automatic shift for all instruments:
| Market | Current parameter value | New parameter value |
|---|---|---|
| FX | 15 minutes | 10 seconds |
| Securities | 15 minutes | 5 minutes |
| Derivatives | 15 minutes | 5 minutes |
- amount of shift for the following underlying assets on FX and Derivatives markets:
| Market | Underlying | Current shift parameter value | New shift parameter value |
|---|---|---|---|
| Derivatives | Si | 0.33 | 0.22 |
| Eu | 0.33 | 0.22 | |
| FX | USD | 0.3033 | 0.2 |
| EUR | 0.3033 | 0.2 |
- maximum quantity of automatic shifts for Brent and Light Sweet Crude oil futures on Derivative market:
| Underlying | Futures contract | AutoShiftNumMR | |
|---|---|---|---|
| Current value | New value | ||
| BR | BRENT oil | 2 | 10 |
| CL | Light Sweet Crude oil | 2 | 10 |