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Risk Management - Stock Market


Stock Market risk management system
Trade organizer  

Moscow Exchange Group

Central transaction party   CJSC JSCB National Clearing Centre
Clearing house   CJSC JSCB National Clearing Centre
Requirement system for participants   Special requirements for candidates and section members / trade participants.
Financial condition disclosure requirements.
Limit system   The system limits trading order parameters – when exceeded these are automatically declined. Also, a list of securities or trade modes can be set, as well as participant categories for which corresponding limits are set.
Additionally, restrictions apply to trading orders resulting in:
1. Completion of transactions not resulting in changes of security ownership.
2. Completion of transactions between trade participants acting on their behalf and own account, or on behalf and account with client permission, on the one hand, and the same participant acting on account of funds located in trust management, on the other hand.
Deposit system   The value of initial margin depends on the trade regime and settlement code:
- when closing deals with code T0 in System (main) trade mode, with codes T0 and Z0 in negotiated deals mode, and with codes Z0 and Rb in repo modes, 100% initial margin with MICEX commission is taken.
- when closing deals with codes B0-B30 in Non-systemic (address) transactions more, and deals with codes S0, S1 and S2 in repo modes, funds are deposited at the rate necessary for paying MICEX commission fees. Real time initial deposit management is possible through changes in the starting values of depo and cash positions.
Funds system   A fund created from clearing activity commissions of about 100 million roubles.
System of additional financial provisions   None
Settlement principle   Settlement with participants is carried out according to the DVP (delivery versus payment) principle.
Settlement procedure in event of insolvency   Settlement of obligations is carried out on a bilateral basis, either on account of two-sided agreements between participants (if committed), or in accordance with the order indicated in appendix #14 to MICEX securities trading rules; and the MICEX clearing activity rules on the securities market.
Information about a participant not complying with a deal is made available on the MICEX internet page and is sent to the Federal Financial Markets Service. Furthermore, a participant who defaults on the terms of the deal, is obliged to pay a fixed reimbursement (if set by the sides in the deal) and alternative compensation (if the deal was made about securities for which such compensation is accounted for).
Monitoring Regarding participants   A list of trade participant actions considered a violation of exchange rules has been set.
Regarding trades   Constant monitoring of trades and risks arising with price fluctuations:
- a trading halt procedure is in place
- trades are monitored for unusual deals