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:
auctionH is set to Yes for this currency pair;
the number of previous shifts of the lower boundary for buying or selling this pair meets or exceeds nChangeAuctH;
no price update auction is conducted by the Moscow Exchange in case of price corridor boundary changes
600
10
uT_L
Waiting time at the lower boundary of the price corridor applies under the following conditions:
auctionL is set to Yes for this currency pair;
the number of previous shifts of the lower boundary for buying or selling this pair meets or exceeds nChangeAuctL;
no price update auction is conducted by the Moscow Exchange in case of price corridor boundary changes
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.
