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03 August 2010 On 15 July 2010, CJSC JSCB National Clearing Centre (NCC) introduced a new mode of holding the Additional Session
Pursuant to the works aiming to improve the risk management system in the MICEX currency exchange market, the Supervision Board of CJSC JSCB National Clearing Centre, on 24 November 2009 (Minutes No. 9) approved the Amendments and Supplements No. 4 to the Rules for Performance of Clearing Operations by the Joint-Stock Commercial Bank “National Clearing Centre” (Closed Joint-Stock Company) at the Unified Trading Session of Interbank Currency Exchanges, approved by the Supervision Board of CJSC JSCB National Clearing Centre on 25 December 2008 (Minutes No. 13), with amendments and supplements approved by the Supervision Board of CJSC JSCB National Clearing Centre on 10 February 2009 (Minutes No. 2), 10 September 2009 (Minutes No. 7), 23 October 2009 (Minutes No. 8) (hereinafter the Amendments and Supplements No. 4 to the Clearing Rules), which, along with the two currently effective modes of holding the Additional Session of CJSC JSCB National Clearing Centre (hereinafter the NCC), introduce a new, third mode which, in essence, secures postponement of the deadline for performance of obligations by the Clearing Participant till the next trading day.
Under the first mode of the Additional Session with the Defaulting Clearing Participant (hereinafter DCP), NCC concludes a conversion transaction, upon the results whereof the DCP’s obligations equal zero. The cash deposited by DCP is used to cover the exchange risks borne by NCC under the conversion transaction also concluded at the Additional Session with the Bank of Russia. The monetary funds received from the Bank of Russia upon conclusion of the Additional Session are remitted by NCC to non-defaulting participants, and on the following day, NCC, using the cash posted by DCP, also pays the Bank of Russia a premium for participation in the Additional Session. The Amendments and Supplements No. 4 to the Clearing Rules contemplate holding the Additional Session in the first mode, provided that NCC decides to suspend/terminate clearing services to DCP, starting from the next trading day.
The second mode contemplates holding the Additional Session with the Clearing Participants, whose banking license has been withdrawn or cancelled by the Bank of Russia.
The new mode of holding the Additional Session has the following key peculiarities:
- the new mode of the Additional Session does not provide for final liquidation of obligations of the Clearing Participants, and it also does not stipulate payment of premium to the Bank of Russia for participation in the Additional Session, thus considerably reducing the costs borne by the Clearing Participants in case of their participation in the Additional Session;
- under the new mode of the Additional Session, NCC and the Clearing Participant conclude two opposite transactions with instruments settled on the same day (hereinafter TOD) and on the next day (hereinafter TOM). Upon conclusion of the Additional Session, the obligations of the Clearing Participant essentially equal zero, but it also involves the adjustment of the Clearing Participant’s position in TOM instrument for the amount of its obligations under the TOM transaction;
-under the new mode of the Additional Session, NCC and the Bank of Russia also conclude two opposite transactions with TOD and TOM instruments. Using the monetary funds received from non-defaulting participants, NCC performs obligations to the Bank of Russia under the TOD transaction, and the monetary funds received from the Bank of Russia are remitted to the non-defaulting participants on the same trading day. At the same time, the TOM position of the Bank of Russia is adjusted for the amount of its obligations under the TOM transaction.
The implementation of the third mode of the Additional Session as a basic arrangement for settlement of the Clearing Participants’ default will enable a considerable reduction of the costs borne by the Clearing Participants in case of their participation in the Additional Session.
Pursuant to the Resolution of the Management Board dated 29 July 2010 (Minutes No. 41), the Amendments and Supplements No. 4 to the Rules for Performance of Clearing Operations by the Joint-Stock Commercial Bank “National Clearing Centre” (Closed Joint-Stock Company) at the Unified Trading Session of Interbank Currency Exchanges (approved by the Supervision Board of CJSC JSCB National Clearing Centre on 25 December 2008 (Minutes No. 13), with amendments and supplements approved by the Supervision Board of CJSC JSCB National Clearing Centre on 10 February 2009 (Minutes No. 2), 10 September 2009 (Minutes No. 7), 23 October 2009 (Minutes No. 8), become effective on 15 July 2010.
Effective 15 July 2010, CJSC JSCB National Clearing Centre, in coordination with the Bank of Russia, sets the following parameters of the transactions concluded in the new mode of the Additional Session:
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No.
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Parameter
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Value
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1.
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K$tod
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Official USD rate set by the Bank of Russia for the date of holding the Additional Session.
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2.
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K€tod
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Official EUR rate set by the Bank of Russia for the date of holding the Additional Session.
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3.
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K€/$tod
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Ratio of the official EUR rate set by the Bank of Russia to the official USD rate set by the Bank of Russia for the date of holding the Additional Session.
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4.
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PS$
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FEDERAL FUNDS TARGET RATE + 3%
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5.
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PS1$
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FEDERAL FUNDS TARGET RATE
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6.
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PSrub
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Double refinancing rate of the Bank of Russia
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7.
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PS€
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ECB MINIMUM BID RATE AT REFINANCING TENDER + 3%
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8.
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PS1€
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ECB MINIMUM BID RATE AT REFINANCING TENDER
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