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
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