Moscow Exchange

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 1^st 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 Bonds	OFZ and Bonds accepted by NCC as collateral + cash funds: RUB, USD, EUR	RU000A0JW4Z1
GCC Expanded	All securities accepted in Repo with CCP + cash funds: RUB, USD, EUR Precious metals (gold, silver)	RU000A0ZYP02
GCC Shares	Shares accepted by NCC as collateral + cash funds: RUB, USD, EUR	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

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.

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)

—

Tick the item "Qualified Investor" for every client registered with MOEX whose assets would be involved in GCC REPO trading.

List of participants

GCC REPO characteristics

GCC REPO with the CCP:
- Currency: RUB, USD, EUR, CNY
- No haircut
- The CCP is the party in the transaction; net settlement across REPOs with the CCP on a regular basis
Maturity :
- Order book: 1 day; 1 week; 2 weeks; 1 months; 2 months; 3 months, 1 year
- Off order book: up to one year
Daily revaluation of assets in the pool by the pool’s trading accounts, subject to NCC’s risk parameters.

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).