On Oct. 15, BVMF issued market risk to trade metric in line clearing.
BVMF issued new aggregated market risk to trade (RMKTN) metric in line clearing.
RMKTN aims to mitigate the increase in risk generated by the set of trades carried out throughout the day compared to the risk of the opening portfolio of a given principal.
Line Clearing
Assignment of limits to the new metric will be mandatory at the document level and its configuration is responsibility of trading participant/responsible settlement participant.
Metric violation or failure to set a limit, will result in all open orders being canceled.
Workshop
Technical workshop on TV B3 will be held on Oct. 24th, 2024 and Oct. 25th, 2024.
Oct. 31, 2024 BVMF Simulated Session
On Oct. 31, 2024, BVMF published Circular letter 146/2024-PRE re LiNe Clearing.
The RMKTN will be moved to the operational production format on Dec. 9, 2024.
RMKTN available in parallel production format in simulated session as of Nov. 9, 2024.
During this parallel production period, the RMKTN metric will be calculated and its results can be consulted in the LiNe Clearing system on the same production screens.
Violating assigned limits will not imply triggering protected mode or subsequent effect.
Technical specifications of RMKTN metric are available in Annex I of the circular letter.
As of its production launch, RMKTN metric assignment limits will become mandatory.
Also, on Dec. 9, 2024, RMKTN will be part of metrics evaluated by BVMF monitoring of limits assigned by participants for the aggregate risk metrics of their investors in LiNe.
