Русский RU

Inter-Dealer Repo

1,800 securities
The most extensive list of instruments available

FEATURES

  • Currency: RUB, USD or EUR
  • Eligible settlement codes: S0 – S2, Rb, Z0
  • term: 1-365 days
  • Haircuts to settlement prices apply (initial, maximum and minimal)
  • Control of market risks through issuing mark-to-market margin calls
  • REPOs are available
  • The option to walk away from the first part of a REPO is available for inter-dealer REPOs with S0-S5 settlement codes, subject to approval from the counterparty.

MARK-TO-MARKET MARGIN CALLS

MARK-TO-MARKET MARGIN CALLS ARE ISSUED:

  1.  In cash – if the settlement price becomes lower than the price with min. haircut, the REPO amount reduces
  1. In securities – if the settlement price exceeds the price with max. haircut, the amount of securities for the transaction reduces

SETTLEMENT CODES

Execution of the 1st leg:

Execution of the 2nd leg:

  • 2nd leg of REPO is executed only by submitting a settlement instruction
  • 2nd leg of REPO may be netted with the first leg of a new REPO trade
  • Settlement in securities under 2nd leg is done either following the nearest clearing session after settlement instruction, or immediately ("urgent settlement instruction")
  • Settlement in cash is done immediately

Key features of REPO trades settled in foreign currency:

  • REPO transactions are executed in USD;
  • All transaction parameters are computed in USD;
  • Market value and accrued coupon income of ruble-denominated securities are  converted to USD at the Bank of Russia’s official exchange rate
  • Mark-to-market margin calls in cash or securities are issued subject to changes in the USD/RUB official exchange rate and security’s market value
  • Mark-to-market margin in cash is posted in USD;
  • Volume-related fee is charged in RUB in accordance with effective rates as converted from USD at the Bank of Russia’s official exchange rate as of the REPO transaction date;
  • The REPO amount is to be decreased by a coupon or partial par value payment actually made with respect to the ruble-denominated bond as converted to USD at the Bank of Russia's official exchange rate as of the payment date

PRICE USE PROCEDURE

Securities with ISIN "RU..." (excl. OFZs)
1. MarketPrice 3
2. MIRP
3. NSDPrice
4. LastPrice
OFZ
1. MarketPrice 3
2. MIRP
3. LastPrice
 
Securities other than with ISIN "RU..." (excl. Russian Eurobonds)
1. MIRP
2. NSDPrice
3. MarketPrice 3
4. LastPrice
Russian Eurobonds
1. MIRP
2. MarketPrice 3
3. LastPrice
 

MIRP – indicative price of security provided Ьу NFA on the previous day;

MarketPrice 3 – market price (3) on the previous trading day;

NSDPrice – price provided bу the NSD Valuation Centre;

LastPrice – last available settlement price.

CONTACTS

Money Market Department team

Telephone: : +7 (495) 363-3232, ext. 5424, 5398, 5396, 5455

e-mail: repo@moex.com