27.08.2019 14:58

Changes on Securities market on September 16, 2019

Dear clients,
 
On 16 September 2019 we plan to introduce the following updates on the Securities market:
 
Federal Treasury deposit auctions with CCP 
 
A project that has been introduced in the previous release is now going live
 
We remind you that the following new boards will be added:
FKRP - Auct. CCP with GCP 1 day
FKOW - Auct. CCP with GCP 7 day
FKSW - Auct. CCP with GCP 14 day
FKOM - Auct. CCP with GCP 1 m.
FKSM - Auct. CCP with GCP 2 m.
FKTM - Auct. CCP with GCP 3 m.
FKUM - Auct. CCP with GCP 6 m.
FKOY - Auct. CCP with GCP 1 year
ADEP - Deposits CCP auction settled
  
In order to support this mode a new LSECCODE field has been added to the CCP_REPO_ORDER transaction of the new IFCBroker34 interface. This field should be used to indicate a particular general collateral certificate instrument. A new Federal Treasury GCP Basket instrument should be indicated in the SECCODE field.
 
Also a new ActTime field will be added to the RECORDS node of the SEM02D trading report to indicate time when an order was activated in the trading system.
 
This update is already available on the INET_GATEWAY test environment.
 
New trading boards for 9 month REPO with general collateral certificates and deposits with CCP 
 
As part of Moscow Exchange strategy of long term deals development we are announcing new boards for money market:
 
GCNM - REPO with CCP with GCP 9 m.
GUNM - REPO with CCP with GCP 9m. USD
GENM - REPO with CCP with GCP 9m. EUR (EUR)
 
In addition to the base functionality of REPO with general collateral certificates new boards also support deposits with CCP for deposit market members having access to long term deals (longer than overnight) in a relevant currency.
 
This update is already available on the INET_GATEWAY test environment.
 
Position tags description (POSITION.TAG) 
 
Text descriptions of the following position tags will be changed:
 
MCCU: "Margin call for FX market, RUB" -> "Negative single limit on FX market"
MCFO: "Margin call for derivatives market, RUB" -> "Negative single limit on derivatives market"
MCOT: "Margin call for OTC market, RUB" -> "Negative single limit on OTC market"
 
There are no changes in calculation algorithm.

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