Exclude Auction Volume

Firms can optionally specify whether to exclude auction volume from the underlying limit counters for all risk limits of type abs_vol, abs_count, rate_vol and rate_count in a Risk Profile.

Firms that do not use this functionality are effectively configuring risk to include auction volume.

Use of this global risk limit determines whether or not volume associated with AIM, C-AIM, SAM, C-SAM, SUM and COA auctions are considered in the implementation of the affected risk limit types (i.e., abs_vol, abs_count, rate_vol and rate_count).