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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
Derivatives	Eu	0.33	0.22
FX	USD	0.3033	0.2
FX	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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