Inter-Dealer Repo

• 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 ARE ISSUED:

1.  In cash – if the settlement price becomes lower than the price with min. haircut, the REPO amount reduces

2. In securities – if the settlement price exceeds the price with max. haircut, the amount of securities for the transaction reduces

Execution of the 1^st leg:

Execution of the 2^nd leg:

• 2^nd leg of REPO is executed only by submitting a settlement instruction
• 2^nd leg of REPO may be netted with the first leg of a new REPO trade
• Settlement in securities under 2^nd 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

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.