24.02.2025 09:34
Risk parameters change on FX Market
CCP NCC sets the following risk parameters on FX market for all currency pairs where the price update auction is conducted by Moscow Exchange, starting from February 24, 2025:
| № | Parameter | Description | Value |
|---|---|---|---|
| 1 | auctionH | Auction is allowed when the upper boundary of the price corridor shifts. | Yes |
| 2 | auctionL | Auction is allowed when the lower boundary of the price corridor shifts. | Yes |
| 3 | nChangeAuctH | Number of upper boundary shifts without starting an auction. | 0 |
| 4 | nChangeAuctL | Number of lower boundary shifts without starting an auction. | 1 |
| 5 | uAuctH | Waiting time at the upper boundary of the price corridor before a shift when auction is Yes. | 10 |
| 6 | uH | Waiting time at the upper boundary of the price corridor before a shift when auction is No. | 10 |
| 7 | uAuctL | Waiting time at the lower boundary of the price corridor before a shift when auction is Yes. | 10 |
| 8 | uL | Waiting time at the lower boundary of the price corridor before a shift when auction is No. | 10 |
| 9 | uT_H | Waiting time at the upper boundary of the price corridor applies under the following conditions:
|
600 |
| 10 | uT_L | Waiting time at the lower boundary of the price corridor applies under the following conditions:
|
600 |
The list of financial instruments on the currency market, subject to a price update auction, is provided on the web-site of Moscow Exchange.