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Planned changes in clearing and reporting for the derivatives market

With the planned release of the updated derivative market trade system SPECTRA, scheduled for September 2017, the following changes will occur.

Please note there will be a separate announcement for when these changes step into effect.

1. Denial from Filegate for collateral transfers on the derivatives market (to be announced separately when enters into effect).

For collateral transfers the following methods will remain available:
 

  • Wed clearing or the new MTRNRQ command
  • SWIFT
  • Stream command "FutExchangeBFMoney" (Functionality for transfers between broker firms on the derivatives market)

2. Creation of new special broker codes (will be created in the closest release of the derivatives market, planned date – 4th of September 2017).

  • Special broker codes will be created automatically for every settlement code.
  • Special broker codes are used for payments associated with settlement codes and not for specific 7-character clearing register codes (for example, fine for cut-off time, see point 3.)
  • To the market participants discretion the special broker codes can be used as to hold collateral for the settlement code without the need to specify 7-character codes.
  • Special broker codes cannot be used for trading operations.
  • In the log "clients" there will be an extra column called "SB". For special broker codes the value assigned is 1, and for other values will be 0.
  • The special broker code will receive no commission for account reports.

3. Fine for Ruble debt of the equities market (will come into effect closer to the release date of the securities market, planned for autumn 2017).

The ruble debt penalty is calculated based on the results of the evening clearing session of the previous day, at the level of settlement code.

  • The fine is calculated on the remaining debt at 20.00 of that day.
  • The fine is deducted from the special broker code (see point 2).
  • The formula for the fine is specified in the general section of the clearing rules of NCC:

    Penalty(Rub) = D × C × R × n / 365, 
    where:
    D – the sum of leftover debt for the market participant, in the relevant currency, including Russian roubles.
    С – the exchange rate of the foreign currency to the Russian rouble, set by the Bank of Russia on the date of calculation for the fine.
    R – the penalty rate, which is published on the NCC site (in the column PENALTY RATE FOR DELIVERY FAILS, %)
    n – number of calendar days between the date of calculation and the next settlement day for the relevant currency.
  • The fee is deducted in the next evening clearing.
  • The sum of the fine is not subject to VAT (value added tax).

4. Transfer of foreign currency collateral from NRD to foreign banks (available now).

Clearing members can send an application in to have their foreign currency collateral moved to foreign bank accounts of the NCC (JPMorgan, BONY), and payments can potentially become faster.

5. Minor changes in "clients" report (new field sb, will come into effect in the closest release of the derivatives market, planned date – 4th of September 2017).

6. Minor changes in reports "clients" (new field rk_uf), "F14", "daymon", "mon" (will come into effect in the closest release of the securities market, planned for autumn 2017).