GCC REPO

Key features

General Collateral Certificate (GCC):

  • A new security type,
  • Served as homogeneous universal collateral for CCP-cleared REPO transactions,  
  • Treated as individual clearing collateral; accepted as collateral for other transactions with the CCP (and also included in the Single Limit),
  • Obtained through repo transactions or by posting assets to the pool.

GCC issue procedure

Participant
Securities worth RUB 100
90 GCCs, or assets estimate at RUB 90 (subject to a NCC discount) 

GCC pool
Участник
90 GCCs, or assets estimate at RUB 90 (subject to a NCC discount)
Securities worth RUB 100
GCC pool

Example. A CCP-cleared REPO transaction in GCCs
(the 1st part)

Participant 1
RUB 90 under the REPO with the CCP
90 GCCs under the REPO with the CCP
Participant 2
Participant 1
90 GCCs under the REPO with the CCP
90 руб. по сделке РЕПО с ЦК
Participant 2

Benefits

  • A collateral-giver remains the owner of assets posted to the pool, entitled to:
    • Receive income
    • Vote
  • Effective collateral management in transactions with the CCP:
  • Online substitution of collateral assets via the MOEX terminal
  • An option for automatic selection of assets to the pool under rules established by the participant
  • An option to settle CCP-cleared REPO transactions and T+ trades by using assets in the pool. Cash income received from such transactions goes to the pool    
  • The Money Market liquidity concentrates within one order book
  • No corporate actions, accumulated coupon income and changes in the GCC value: easy transaction record-keeping and support     
  • Portfolio-based margining
  • Net position exposures for different maturities

1-day repo wih the GCC

GCC pools

CLEARING MEMBER

Posts securities and cash to the pool trading account

NCC creates the pool and issues GCCs

POOL PARTICIPANT

CLEARING MEMBER

Posts securities and cash to the pool trading account

NCC creates the pool and issues GCCs

POOL PARTICIPANT
POOL PARTICIPANT
  Securities acceptable to the pools ISIN
GCC OFZ All RUB-denominated OFZs and cash in RUB RU000A0ZYP10
GCC Bonds All bonds accepted by NCC as collateral and cash RU000A0JW4Z1
GCC Expanded All bonds admitted to REPO with the CCP, including bonds other than those accepted by NCC as collateral, and cash RU000A0ZYP02
GCC Shares All shares accepted by NCC as collateral and cash RU000A0WKG5

Admission to GCC REPO

Only members admitted to REPO with the CCP can trade GCC REPO.
There are two ways to enter:

1
To post assets to the pool
2
To execute GCC REPOs without posting assets to the pool
  1. Register at least one trading account attached to the pool, which is ties to the existing trading account by submitting the Pool Trading Account Registration Application.
  1. Submit the Supplementary Form to the Depo Account Agreement to National Settlement Depository (NSD).
    The following documents need to be in place for using tagging and collateral selection functionality:
    • Collateral Management Agreement (NSD)
    • Clearing Service Agreement (NSD)
  1. Tick the item "Qualified Investor" for every client registered with MOEX whose assets would be involved in GCC REPO trading.

GCC REPO characteristics

  • Collateral management by NSD

GCC clearing reports

Report code Name Comment
EQM06 Extract from the transaction register accepted for clearing Contains GCC REPO transactions
EQM45 Assets posted to the pools Contains information on each trading account of the asset pool:
  • The amount of the asset deposited in the account and its estimated value;
  • Total value of the assets;
  • The nominal value of GCCs issued;
A margin call in relation to the poo
EQM99 Collateral report Contains information on GCCs issued/cancelled following the events described below (Operation Codes 22 and 23). The information is given by 36 sections of the T+ trading accounts:
  • Depositing/withdrawing assets to/from the pool’s trading account by the clearing member and NCC, including through collateral selection;
Revaluation of assets following changes in risk parameters.
EQM46 GCC valuation for regulatory purposes Contains the following information on each pool of assets:
  • The value of assets in the pool corrected for the Bank of Russia’s discounts applied to calculate prudential supervision ratios;
  • The total nominal value of GCCs issued;
GCC value determined for regulatory purposes.

Fees

  • Fees for GCC REPO trading are similar to fees for REPO with the CCP,
  • Fees for record-keeping of assets in the pool are similar to fees for the MOEX Equity & Bond Market (please refer to Clause 3, Section 2 Clearing Center Fees for All On-exchange Markets, Part 2 Tariffs, NCC Clearing Rules,
  • A monthly fee for keeping GCCs is RUB 1,000 per securities account section in which a GCC was kept in the reporting month (please refer to Clause 2.1.4 of the NSD Fees for Depository Service).

Related materials

Testing

 

For any questions regarding GCC REPO testing, please contact out Technical Support Service:

Telephone: +7 (495) 733 9507

e-mail:

Contacts

Money Market Department team

Telephone +7 (495) 363-3232, доб. 29129, 26125, 26126, 26129

e-mail: repo@moex.com