Repo with the central counterparty (CCP)

Project description

Repo with a CCP is a type of on-exchange repo trade whereby the CCP (National Clearing Centre) acts as the trading participant's counterparty. The CCP guarantees that obligations are met to all non-defaulting parties regardless of whether obligations to the CCP have been met or not.

Benefits:

  • Market participants do not need to establish bilateral credit lines; one limit is imposed on the CCP
  • Order book repo trades are available
  • Standard discounts are employed
  • Execution of trades is quick and convenient
  • Online market repo rates for cash and securities are backed by orders and trades
  • Minimization of cash and securities assigned for settlement as a result of the netting of obligations/claims across all repo trades with CCP and T+ trades.
  • The reduction of demands on the market participant's capital (balance sheet netting of all trades)
  • The unified and reliable risk management system (membership criteria, margin requirements, sufficient guarantee funds, and the CCP's capital allow a high credit limit to be established for transactions with the CCP)
  • Boosting repo market liquidity
  • Single counterparty for all market participants (the CCP guarantees settlement of any repo trades to non-defaulting parties)

Main parameters:

The Central Counterparty (the National Clearing Center)
is the counterparty to all trades
Off order book (direct) trades Order book trades
  • OFZ (Russian Federation Government bonds),
  • Stocks ( top 50 by liquidity),
  • Corporate bonds ( more than 180 securities from the Bank of Russia's
    Lombard list with a rating of BBB- or better),
  • Eurobonds (95 issues).
Settlement codes (RUB):
  • Y0/Yi, 1<=i<=7 (delivery: 17:00; 19:00) *
  • Т0/Yi, 1<=i<=7 (prompt delivery of the first part of a repo trades)
  •  Y1/Yj, 2<=j<=7 (delivery on the next day at 17:00)
  • Y0/Y1 – Overnight (delivery: 17:00; 19:00) *
  • Y0/Y1W (delivery: 17:00; 19:00)* - 7 days
* Delivery at 17:00 for transactions executed before 16:00;
  delivery at 20:00 for transactions executed from 16:00 to 19:00
Settlement codes (USD, EUR):
  • Y0/Y1, Т0/Y1, Т0/Y2, Y1/Y2, Y0/Y2
  •  Y0/Y1
Trading:
  •  9:30 – 19:00 
  •  10:00 – 19:00 
Transactions executed "today" before 16:00 are included in the first clearing pool; other transactions are added to the second clearing pool. The second parts of repo transactions with CCP are included in the first clearing pool.
Clearing and settlement:
 • 17:00-18:00 for the first clearing pool;
 • 19:00-20:00 for the second clearing pool
Securities available from:
 • from 17:00 for the first clearing pool;
 • 20:00 to 20:30 for the second clearing pool

All times are Moscow time

Settlement instructions are not obligatory for repo with the CCP – off order book to be settled. If the settlement instruction has not been submitted by the start of the intra-day clearing session, the transaction status is automatically changed to Settled with the transaction included in the first clearing pool. This is optional facility as existing positions are changed after regular and special settlement instructions submitted by participants, are exercised (transactions are settled online in case of the urgent settlement instruction).

Downloads:

Repo with the CCP. Presentation

Contacts:

For any queries, please contact our Repo and Deposit & Credit Operations team on +7 (495) 363-3232, ext. 26129, 26125, 26126.

 

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