Clearing innovations

Please kindly note that the main changes, to be implemented on the 21st of May, 2018, are connected with the 2-nd stage of ‘Unified Collateral Pool’ project and with the Risk Management System on Derivatives Market with regard to the implementation of the following:

covered sales (through transferring profiles of securities and foreign currency between Trading Clearing Systems of the Securities and Derivatives Markets within ‘Unified Collateral Pool’);

calendar spreads;

margining on the Settlement Account using netting instead of the existing rule of the “long leg” margining

other changes.

Changes in the clearing reports within the release 2018

New XSLT reports styles:

on the FX Market and Precious Metals Market

on the Securities Market and Deposits Market

Description of amendments to the Common Part of Clearing Rules:

1. The new name of NCC’s web-site is www.nationalclearingcentre.com (term of ‘Clearing House’s website’ in the Article 2)

2. The procedure for choosing Settlement Account for deduction the fee for recording collateral in FX is changed (subparagraph 49.15.3)

in case of closing Settlement Account under which the collateral in FX was recorded the fee for recording collateral will be deducted from the main Settlement Account for fee deduction

3. The period of time for acceptance by the Clearing House of Requests for Collateral Return from Collateral / Default Funds / Collateral for Stress is prolonged (paragraph 2.5 of Supplement 6)

Currency Before After
CNY; till 11:00 till 11:15
EUR, GBP from the clearing accounts with NSD; - till 16:25
EUR, GBP from the clearing / correspondent accounts with other Settlement organizations / Settlement banks; till 17:00 till 17:00

4. The amendments on prolongation of cut-off time for CNY, CHF and GBP, specified previously in the separate Order, are transferred to the Clearing Rules as follows (paragraph 5.4 of Supplement 6)

Operation name Before After
Fulfilment of Total Net Obligations by Clearing Members in cash funds:
CNY and CHF under trades, executed until 11:00;
till 11:00 till 13:00
EUR, GBP from the clearing accounts with NSD; - till 16:25
EUR under trades, executed until 15:15; till 17:00 till 17:00* /
till 18:00**

* During summer time period on the territory of the European Union

** During winter time period on the territory of the European Union

5. The time period is amended by the time frame of return by the Clearing House to Clearing Members of cash funds recorded as Collateral – Default Funds contributions – Collateral for Stress basing on the Request for Collateral Return (paragraph 5.14 of Supplement 6)

on the Settlement Day when the Request for Collateral Return was received

Description of amendments to Tariffs:

1. Tariffs for REPO trades within ‘Unified Collateral Pool’ project are changed (subparagraphs 4.4, 4.5 of paragraph 4, Section III):

increase of aggregate fee by 3% for REPO with CCP trades executed with Unified Pool Settlement Accounts only – from 01.08.2018;

increase of aggregate fee by 6% for REPO with CCP trades executed with any Settlement Account – from 01.11.2018;

Fixed parts of tariff plans remain the same.

2. Tariffs for SWAP trades on FX Market are changed (subparagraphs 2.2, 2.3 of paragraph 2, Section IV):

increase of aggregate fee by 10% for SWAP trades executed with Unified Pool Settlement Accounts only – from 01.08.2018 to 31.10.2018;

increase of aggregate fee by 10% for SWAP trades executed with any Settlement Account – from 01.11.2018 to 02.12.2018;

increase of aggregate fee by 20% for SWAP trades executed with any Settlement Account with long-dated instruments (more 6 or 7 days) – from 03.12.2018

Fixed parts of tariff plans for all instruments of FX Market and Precious Metals Market, the procedure for minimum fee calculation (25 RUB),the procedure for Additional Fee calculation and tariffs for SPOT trades (fixed trades inclusively) remain the same. Also the variable parts of tariff plans for Precious Metals Market instruments remain unchanged.

3. The tariff structure on Derivatives Market is changed and clearing fee is increased (paragraphs 7-11, Section V):

charge rate is divided into 2 parts: clearing fee and trading fee – from 02.07.2018;

increase of aggregate fee by 10% for all contracts

For Clearing Members, payed clearing fee in an amount more than 50 000 (fifty thousands) RUB during calendar month, the 50% rebate is provided (from 01.11.2018 to 31.10.2018).

4. Tariffs on Deposits Market are changed (subparagraph 7.2, Section III):

From 01.06.2018 the tariff plans for deposits are introduced (DEPO_0 / DEPO_50 / DEPO_150 / DEPO_400).

If you have any questions regarding the abovementioned changes, please direct them to the e-mail address ps@moex.com

Changes in clearing, which were implemented by two stages, were provided within a framework of releases on markets: SM2017-2, DM2017-2, FXM2017-1.

The 1st stage consisting of release of FX Market & Precious Metals Market and Derivatives Market, was implemented on the 4th of September 2017.

The 2nd stage, consisting of release of Securities Market, was implemented on the 4th of December 2017.

These changes affect all Clearing Members

Table showing changes in respect of each market and time frames for stages implementation

List of changes in II stage:

1. Implementation of TRAN transactions on Securities Market

2. Change in the order for cash funds return

3. Change in the order for fee charging. Blocking fee amount in the Single Limit

4. Penalties for cut-off time breach*

5. Increase of minimum size of Default fund contribution up to 10 million RUB on

6. Changing the status of collateral from the Individual Clearing Collateral to the other collateral (optionally)

7. Widening of list of assets accepted as collateral on Securities market

8. Changes in clearing reports

Please kindly note that the NCC made the decision to implement the penalty for cut-off time breach in Russian rubles from the 22nd of January, 2018:

on the Derivatives Market – in a size equal to the value of the Bank of Russia base rate;

on the Securities Market and Deposits Market, on the FX Market and the Precious Metals Market, for Unified Pool Settlement Accounts as well, with a Derivatives Market scope inclusively – in a size equal to the double value of the Bank of Russia base rate.

Please kindly note that the recording of Total Net Obligations fulfilment time, indicated in Time Specifications, for purposes of penalty for cut-off time accruing on all markets is performed automatically and there is no opportunity of manual corrections.

Fulfilment of Total Net Obligations by Clearing Members in cash funds / precious metals on the Securities Market, FX Market and Derivatives Market:
- in CNY, BYN, HKD, CHF under trades, executed until 11:00 until 12:00
of Settlement Date
- in EUR, GBP under trades, executed until 15:15 until 17:00
of Settlement Date
- in USD, RUB, precious metals until 20:00
of Settlement Date

Materials:

Description of changes in clearing within releases on markets in 2017

Changes in clearing reports within releases on markets

Examples of reports and new XML-styles of FX Market clearing reports are placed here

Examples of reports and new XML-styles of Securities Market clearing reports are placed here

On November 8, 2017 the webinar on clearing innovations within II stage of markets release was held.

The recording of webinar (in Russian)

On August 3, 2017, the seminar “Clearing innovations and the Unified Collateral Pool” was held.

The recording of the seminar (in Russian):

Part I. Clearing Innovations

Part II. Advantages of Unified Collateral Pool

Part III. Unified Collateral Pool Management

Part IV. Specifics of Unified Collateral Pool use

On July 18, 2017, the webinar “Clearing innovations within releases on markets in 2017” was held.

The recording of the webinar (in Russian) (upon demand)

Webinar Q&A