Moscow Exchange will change the rules for holding discrete auctions of shares and depositary receipts of companies that are not part of its key IMOEX index. The new order will come into force on October 30, reported press service of the trading platform.
The exchange allowed an unlimited number of discrete auctions to be held for each security. According to the current rules, their number cannot exceed two series.
The time for such auctions will increase. From October 30, they can start at the main session from 10:09 to 18:10 Moscow time (currently from 10:14 to 16:40). The Moscow Exchange will also allow discrete auctions to be held in the evening session. The time for trading was set from 19:14 to 23:20.
Another change in the rules is a reduction in the time of continuous price deviation by more than 20% from the price of the previous trading day or auction. Moscow Exchange has reduced this period from 10 to five minutes.
The trading platform has not changed the composition of the discrete auction session – as before, it will consist of three auctions of 10 minutes each. After 30 minutes from the start of the auction, trading in shares and receipts will resume as usual.
The price based on the results of the Moscow Exchange auction will be calculated using a standard algorithm. It does not include special conditions that apply to securities from IMOEX – the volume of supply and demand, the number of auction participants and the spread.
The exchange emphasized in its message that the rules for conducting discrete auctions for shares and receipts included in the key index have not changed.
The trading platform explained that updating the discrete auction mechanism is part of a set of measures to combat destabilization and high volatility in the value of shares of the second and third echelons. The Moscow Exchange developed new rules jointly with the Bank of Russia and market participants.
The exchange began introducing measures against destabilization and volatility on September 21. The first step was to limit the maximum deviation in prices of applications for the purchase of shares and depositary receipts of Russian issuers included in the third level of listing. The upper limit was set at 22% of the closing price of the previous trading day.
About plans to improve the Moscow Exchange discrete auction mechanism announced at the end of summer. Director of the stock market department of the site Boris Blokhin explained that the mechanism should act as a kind of “speed bump” in the way of unreasonably strong price increases.