New edition of Forms and formats of documents and reports on Standardized Derivatives market will be in effect since May 6, .
New edition is devoted to changes in the composition of the clearing reports. The calculation time and the determination of Margin Calls will be performed till 11:00 next Settlement Day. Clearing reports will be provided:- at about 21:00 after the settlement clearing session (the header "Report on the results of the settlement clearing session for DD.MM.YYYY"")
- till 22:00 after mark-to-market session (the header: "Report on Collateral for DD.MM.YYYY" and the content of the report will change)
- till 11:00 next day, Report on Margin Calls (new report with the title "Report on Margin Calls for DD.MM.YYYY")
Please pay attention that the structure of the report content will be different. Examples of new reports and new file of XSLT style are available at: ftp.moex.com - /pub/Reports/SPFI/Examples/. The XSD schema does not change.
From 01.04.2023 till 03.04.2024 there is marketing Program in place for trades with margin options and premium options, during which basic tariffs are reduced by 5 times.
The validity period of the above Program has been extended to 01.04.2025 г. on current terms in the segment of margin options and premium options.
For more information, see the text of new version of the Tariffs.
Version 7.1 of TCS of Standardised Derivatives market provides for changes in the composition of reports.
It is planned to change time specification of Margin Calls formation procedure and clearing reports provision.
In current implementation, Margin Call calculation and determination is performed before 22:00 after mark-to-market clearing session. After trading and clearing sessions, the following clearing reports are provided:
- at about 19:00 after settlement clearing session ("Report after settlement clearing session for DD.MM.YYYY")
- at about 22:00 after mark-to-market session ("Report after settlement clearing session for DD.MM.YYYY")
After changes, Margin Call calculation and determination will be performed before 11:00 next Settlement Day. Clearing reports will be provided:
- at around 19:00 after settlement clearing session ("Report after settlement clearing session for DD.MM.YYYY")
- till 22:00 after mark-to-market session (report name: "Report on Collateral for DD.MM.YYYY" and report content will be changed)
- at about 10:00 next day, report on Margin Calls (new report with name "Report on Margin Calls for DD.MM.YYYY")
The exact date of coming changes into force will be announced later. Please note that structure of report content will be different. Examples of new reports and new XSLT style file are available at ftp.moex.com - /pub/Reports/SPFI/Examples/. The XSD schema does not change.
Due to increase of costs for supporting placement and buyback trades, gap in prices for conducting SPO or buyback in relation to the market price of the trade, as well as in order to stimulate the participation of buyers in IPO/SPO trades, sellers in buyback trades, general increase of fee level in trades is introduced, the transition to asymmetric fee model and transfer of the fee pressure on the initiator of the trade are made: for initiators, the fee increases 10 times, for acceptors, variable part of fee will not be charged, the fee amount will be 1000 rubles per quarter. The procedure for calculation of the value of trade volume is also being changed.
For more information, see the text of new version of the Tariffs.
By the NCC’s decision starting from 19.02.2024 time periods (terms) for some operations execution in Belarusian rubles were changed:
| Operation name | Old time | New time |
| Acceptance by the Clearing House Requests for Collateral return with the aim to return cash funds from Collateral / Default Funds / Collateral for Stress and Requests for depositing, and also acceptance by the Clearing House from the NSD of the Request for receiving cash funds | from 08:00 till 13:15 of a Settlement Day | from 08:00 till 15:30 of a Settlement Day |
| Execution of Standing Instructions to return collateral, which contain the feature, indicating the necessity to return the whole available amount of cash funds / whole available amount of precious metal, for external and internal payments | 13:00 | 15:30 |
| Calculation of Total Net Obligations / Total Net Claims in cash funds / precious metals (the abovementioned Total Net Claim is used for the execution of the Standing Instruction to return collateral, which contains the feature, indicating the necessity to return cash funds / precious metal in the amount of the net claim) | On the Settlement Date at 12:30 | On the Settlement Date at 15:15
(for Clearing Members which did not submit the Request for the execution of early settlement or the Standing Instruction to execute early settlement) |
| Execution by Clearing Members of Total Net Obligations in cash funds / precious metals | till 13:15 of a Settlement Date | till 15:30 of a Settlement Date
(under trades, executed on the Settlement Date till 15:15) |
| Forwarding by the Clearing House to Clearing Members of Reports on Total Net Obligations / Total Net Claims under Unified Pool Settlement Accounts, Settlement Accounts, opened for the Securities Market, Deposit Market and Credit Market, Settlement Accounts, registered for the FX Market and Precious Metals Market in cash funds | from 12:30 till 12:45 of a Settlement Date | from 15:15 till 15:30 of a Settlement Date
(under trades, executed on the Settlement Date till 15:15) |
From 01.01.2024 г. new version of Forms and formats of the documents and reports. Part II. Forms and formats on the security market, deposit market and credit market will come into force.
The document is supplemented with description of structure of XML files and forms in paper form:
- Consolidated list of Offers(EQM11)
- Extract from list of OTC trades when placing/buying back(EQM3A)
Examples of reports are available in the folder OTC Placement (MPAU) Buy back (MPBB)
From 30.10.2023 for currency pair KZT/RUB with settlements TOD, TOM, SPT and currency pairs TRY/RUB, BYN/RUB with settlements TOD, TOM are available Auctions RFS in regimes RFSP и RFSM.
New version of List of items of obligations from agreements, executed not on organized trading (in Russian) и Schedules for execution of OTC trades in foreign currency (in Russian) were published at section Documents
From 25.09.2023 procedure for transferring income under REPO trades with the Bank of Russia in bonds, income payment on which is performed through NSD, will be changed.
Old procedure: by changing amount of claims/obligations under the second part of REPO trade.
New procedure: by performing operation on income transfer.
Amount of obligation to transfer/claim to receive income will be calculated according to the formula established by p. 48.3 of the Clearing Rules on the securities market, deposit market and credit market.
Income transfer will be made without taxes under the following corporate actions:
- Coupon income payment
- Partial early principal redemption
- Interest income payment
Obligation to transfer/claim to receive income:
Will be reflected:
- in Report on obligations to transfer/claims to receive Income (EQM98)
- in Cash flow report (CCX99) by trades
- in table "Transfers" in Trading System under regime TRAD
Will not be reflected:
- in Extract from list of trades, accepted for clearing (EQM06)
Will not be included:
- into clearing pools and in net value, reflected in Report on Total Net Obligations / Total Net Claims (EQM13) and in Report on Obligations under Trades Т+ (EQM23)
From 31.07.2023 in clearing reports (CCX44, CCX84, EQM44, EQM45, EQM84, EQM92, EQM93, EQM94) and on pages of site with asset parameters the value of Collateral acceptance limit (CollateralAcceptLimit) is reflected without feature Accepted as Collateral (InSingleLim). The procedure of Collateral value reflection (Value) in reports on collateral (EQM84, CCX84) is not changed.
We remind you that Collateral value depends on the amount of asset recorded under the Settlement Account and risk parameters and reflected differently when recording under Unified Pool Settlement Accounts and ordinary Settlement Accounts (not Unified Pool Settlement Accounts).
Under ordinary Settlement Accounts:
- If asset is accepted as collateral (InSingleLim = "Y"), then Collateral amount depends on the Collateral acceptance limit, as well as on Lower Bound of market risk (RTL_Rub) (taking into account concentration ranges (NoLim)).
- If asset is not accepted as collateral (InSingleLim = "N"), then Collateral amount is equal to 0.
Under Unified Pool Settlement Accounts:
- If asset is included into asset pool, then its Collateral value does not depend on acceptance as collateral, but depends on risk parameters (Collateral acceptance limit, Lower Bound of market risk).
- If asset was excluded from list of assets included into asset pool, then Collateral value of such asset becomes equal to 0.
Where are risk parameters values published?
- Values of parameters Accepted as Collateral, Collateral acceptance limit, accepted to Default fund and unified pools for each asset are published at section Clearing:
– Securities parameters;
– Foreign currency and precious metals parameters. - Parameters values of bounds of market risk are published at section Risk management / Risk parameters (by markets and assets):
– For securities;
– For foreign currencies and precious metals. - In reports on risk parameters (EQM44 – for securities market, CCX44 – for FX market) information on Acceptance as Collateral, Collateral acceptance limit, Bounds of market risk.
From June 5, 2023 the ability of tracking payments in foreign currency is realized in the Clearing Terminal
In reports ССХ97 (Notification on debiting and crediting under Collateral account) and ССХ96 (Cancellation of notification on debitind and crediting under Collateral account) the field "UETR код" for ability to track status of payments in foreign currency using GPI tracker in SWIFT system is added. In addition, the field "Transport system", which reflects the message delivery system by which the NCC sent the payment to the Settlement Bank (SWIFT / SPFS) is appeared.
In the Clearing Terminal ССХ97/ССХ96 reports correspond to the incoming document Memo.
New scheme and style files for reports ССХ97/ССХ96 on FTP-server:
• new scheme https://ftp.moex.com/pub/Reports/Currency/XSD/CCX_CCPS_05062023.xsd
• new style https://ftp.moex.com/pub/Reports/Currency/XSLT/CCX96_97_RU_05062023.xsl
From May 1, 2023 the ability to send Request for choosing fee tariff is realized in the Clearing Terminal.
In order to send to the NCC Request for choosing fee tariff, go to the section "Trading identifiers" in menu section "Catalogue". In the card of Trading identifier of the fx market or security market choose tab card "Fee tariffs". The request window is opened by pressing the button opposite the corresponding fee tariff (п. 12.2.1.6 Clearing Terminal User's Guide WEB UI 1.6).
Please pay attention, that the Clearing Terminal – is the only place where information about the current fee tariff is reflected, broken down by exchange fee and clearing fee, as well as about the fee tariff established from next month.
We remind you that Request for choosing fee tariff is submitted to the NCC no later than 5 (five) business days before the first day of the month from which the selected fee tariff will be valid, but not earlier than the first day of the month preceding the month from which the selected fee tariff will be valid, except in cases of initial admission for trading / clearing services.
From April 3, 2023 the ability to send free format message is realized in the Clearing Terminal. Clearing Terminal
On 22.02.2021 new version of the Clearing terminal is planned to be implemented. This version provides an opportunity to manage restriction regarding start time for execution of trades on the FX and Derivatives markets ("Morning trading").
New in the Clearing terminal ver. 1.5.6, including admission to the "morning trading":
API: description of changes, documents
API: instruction to manage restriction regardinbg start time for trades execution ("Morning trading")
Innovations archives
Since the end of May 2020 the following will be changed in the procedure for recording foreign currency on the Derivatives market:
collateral in the foreign currency on the Derivatives Market will be recorded by NCC as the "other collateral";
collateral in the foreign currency on the Derivatives Market will be recorded by NCC as the "other collateral";
JPMorgan, Bank of New York Mellon (for crediting US dollars);
JPMorgan (for crediting euro)
collateral posted in foreign currency will be recorded in the NCC internal accounting under 47405 balance accounts (instead of 30420 accounts).
If you have any questions please contact Your personal manager by the phone number +7 (495) 363-32-32.
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 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)