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FX Market and Precious Metals Market


The NCC Clearing Bank performs clearing, acting as a central counterparty under all trades, party to which is a Clearing Member, on the FX Market and Precious Metals Market of the PJSC Moscow Exchange in accordance with the Clearing Rules on the FX market and Precious Metals Market.

The NCC performs clearing of partially secured trades under Trades, concluded by Clearing Members of the category “O” or “B”, and clearing of secured trades under Trades, concluded by Clearing Member of the category “C”. The NCC is entitled to set the feature “short-sales prohibition” under a foreign currency / precious metal and perform clearing of secured trades in such foreign currency / precious metal.

1.      Clearing Members Categories. The Default Fund

As the way to secure the fulfillment of obligations, accepted for clearing, the NCC uses Collateral of Clearing Members, Collateral for Stress of Clearing Members, the Default Fund. The Default Fund (collective clearing collateral) is formed by the Default Fund contributions of all Clearing Members of the categories “O” and “B”.

2.     Settlement Account, Trade account of the 1st, 2nd and of the 3rd level.

The procedure for the registration of a Clearing Member stipulates the assignment of the Identifier of a Clearing Member. If a Clearing member is a Market Participant, the Identifier of a Clearing Member coincides with the Registration Code of a Market Participant.

Clearing Member registers a Trade Account in the NCC using the Application for the Trade Account Registration, where he indicates the Settlement Account type (proprietary, client, trust management) which forms a part of the Trade Account.

Clearing Member in the Application for the Trade Account Registration also indicates the list of foreign currencies to record which the NCC registers Collateral Accounts.

Attention: In case of conclusion of Trades at the expenses of clients, Clearing Member shall register client Trade Account, in case of conclusion of Trades using cash funds which are in trust management of a Clearing Member, Clearing Member shall register Trust Management Trade Account.

Clearing Member may register Trade Account of the 2nd level for its client, working on the basis of the agency contract, Market Participant inclusively.

Clearing Member of the category “O” may act as a Clearing Broker for one or several Market Participants, which are not Clearing Members.

Market Participant, which concluded with the Clearing House the agreement on keeping clearing registers, stipulated by the Common part of the Clearing Rules,  is entitled to register in the NCC a Trade Account of the 3rd level for its proprietary operations or for the operations of its clients.

Separating statuses of Clearing member and Market Participant.

3.     Clearing Registers

The NCC executes internal recording on clearing registers in the Clearing System, stipulated by the Law on Clearing. The NCC records on clearing registers per Settlement Account:

·           Single Limit;

·           Obligations arising from Trades accepted for clearing;

·           Set of Risk Management Instructions;

·           Obligations of a Clearing Member and of the NCC to pay variation margin;

·           Net Obligation / Net Claim with each Settlement Date in each currency and each precious metal;

·           Total Net Obligation / Total Net Claim in each currency and in each precious metal;

·           Collateral in each currency and each precious metal;

·           Margin Call (if any).

The NCC records on clearing registers per Settlement Account of the 2nd level / Settlement Account of the 3rd level (in case if Market Participant provides the NCC with the Application on Trade Account of the 3rd level registration, per):

·           Information on Collateral in each currency and each precious metal posted with the indication of the Settlement Account of the 2nd level / Settlement Account of the 3rd level;

·           Information on Net obligations / Net claims with each Settlement Date in each currency and in each precious metal arising from Trades concluded under Trade Account of the 2nd level and/or Trade Account of the 3rd level / Trade Account of the 3rd level;

·           Information on obligations to pay variation margin under Trades concluded under the Trade Account of the 2nd level and/or Trade Account of the 3rd level / Trade Account of the 3rd level;

·           Information on termination of obligations arising from Trades concluded under Settlement Account of the 2nd level and/or Trade Account of the 3rd level / Trade Account of the 3rd level, including information on termination of obligations to pay variation margin under the defined Trades;

·           Information on the Single Limit.

4.     Individual clearing collateral. Transactions with Collateral.

5.     Transactions of the NCC during the clearing session

Every day till 10:00 the NCC during the clearing session:

·           sets risk parameters;

·           defines Settlement Prices;

·           calculates new values of Single Limits for Settlement Accounts of Clearing Members, Settlement Accounts of the 2nd level and (for Market Participants that concluded agreement on keeping clearing registers with the NCC) for Settlement Accounts of the 3rd level;

·           defines obligations to pay variation margin;

·           records termination of counter obligations arising from futures contracts and swap contracts;

·           forwards Report on obligations under Derivatives;

·           forwards to Clearing Members (if any) Claim to pay the Debt;

·           forwards to Clearing Members (if any) Report on Margin Call.

5.1.  Termination of obligations arising from Derivatives

Terms of termination of counter obligations arising from futures contracts and swap contracts

1.      counter obligations;

2.      obligations in one underlying asset and one currency;

3.      obligations with one Settlement Date;

4.      obligations with the same lots;

5.      obligations arising from futures and swap contracts, which are concluded on the basis of orders, in which the same client code is indicated (or client code in both orders is not indicated) and the same Trade Account of the 1st, 2nd or of the 3rd level is indicated;

Firstly, obligations under futures contracts and swap contracts with earlier date and time of conclusion (FIFO method) are terminated.

Information on termination of obligations recorded under Settlement Accounts of the 1st and of the 2nd level is provided to Clearing Member as a part of the Report on Derivatives obligations (CCX17). Market Participant also receives information on termination of obligations recorded under Settlement Accounts of the 2nd or of the 3rd level as the part of the Report on Derivatives obligations (CCX17).

5.2.  Margin Call fulfillment

If the Single Limit for the Settlement Account of a Clearing Member (SA of the 1st level) on the basis of the clearing session results becomes negative then emerges Margin Call, which member shall pay out on the day of emergence till 17:30.

In case of non-fulfillment of Margin Call under the Settlement Account, the NCC:

1.      Notifies the Exchange on the necessity to suspend submission of orders from the Trade Account, into the structure of which such Settlement Account is included;

2.      Is entitled to forward to the Exchange notification on the necessity to withdraw all or part of trades from the Trade Account, into the structure of which such Settlement Account is included;

3.      Concludes with Clearing Member closing Trades in foreign currency / precious metals, which lead to the enlargement of the Single Limit for such Settlement Account. After conclusion of closing trades the NCC notifies the Exchange on derestriction on orders submission.

6.      Risk management

7.      Obligations fulfillment

8.      Segregated Client

9.      Documents provision. Clearing Reports

Electronic documents interchange between Clearing Members and the NCC is executed via the EDI Sub-system of the NCC and/or via S.W.I.F.T. Information is published on the NCC’s website on the section “IT-services”.

Forms and formats of documents provided by Clearing Members and/or by its clients are set out in the document “Forms and formats of documents provided by Clearing Members in accordance with the Clearing Rules on the FX market and precious metals market”.

The NCC produces the following clearing reports to Clearing members and Market Participants, which signed the Agreement on keeping clearing registers:

Report

code

Report Title

Description of the Report

For

Clearing

Member

For

Market

Participant

ССХ03

 

ССХ3А

Clearing Report

 

Clearing Report

contains information on trades with arrived settlement date, are provided in jointly with the Preliminary Net Execution Report and Net Execution Report in accordance with the Time Schedule (Supplement 1 to the Clearing Rules on the FX market and precious metals market)

CCX3A is provided till 20:45 if there is a Debt and/or obligations, not secured with funds for the fulfillment (in case of conclusion by the NCC of rollover trades)

ü

û

ССХ4Р

 

ССХ04

 

ССХ4А

Preliminary Net Execution Report

 

Net Execution Report

 

Net Execution Report

CXX4P is provided under currencies, trading in which is terminated earlier than trading in USD;

CCX04 is submitted under all currencies including USD;

contains information of net obligations / net claims with arrived settlement date, are submitted jointly with the Clearing Report on groups of currencies in accordance with the Time Schedule:

from 11:00 till 11:15 – in yuan, Belorussian rubles, tenge, Hong Kong dollars, somonis, Swiss francs;

from 15;15 till 15:30 – in euro, pounds sterling, hryvnias;

from 17:30 till 17:45 – in USD.

CCX4A is provided till 20:45 if there is a Debt and/or obligations not secured with funds for the fulfillment (in case of conclusion of rollover trades)

ü

û

ССХ10

Report on fees

contains information on variable and fixed parts of the fee in favor of the NCC and of the Exchange under trades concluded on the FX market and Precious metals market and also on service fees stipulated by the Tariffs of the NCC. This Report is provided on the following settlement day till 9:30

ü

û

ССХ11

Margin Call Report

contains information on the Margin call amount under each Settlement Account, is provided in case if Margin Call emerges on the day of Margin Call emergence till 10:00

ü

û

ССХ14

Report on trades, Settlement Date for which was extended

is provided rarely, in case of extension of trades because of holidays according to the Russian Federation Government decree

ü

ü

ССХ15

Report on Risk Management Instructions

contains information on obligations / claims under Risk Management Instructions under each Settlement Account

ü

û

ССХ17

Report on obligations arising from Derivatives

contains information on derivatives trades per Settlement Account and underlying asset under all settlement dates, on variation margin relating to each trade, and also on termination of trades. This report is provided till 9:30, daily

ü

ü

ССХ18

Report on Settlement Prices

contains information on previous and current Settlement price of each currency and precious metal

ü

ü

ССХ19

Report on Clearing Logins

contains information on clearing logins powers (Clearing manager, Operator, Transfers)

ü

ü

ССХ20

Report on Trade Accounts

contains information on Settlement Accounts, Trade Accounts and identification data of clients in case of its indication when registering Trade Accounts

ü

ü

ССХ37

Report on obligations / claims

contains information on positions in instruments under Derivatives trades at the beginning of settlement day and at the end of settlement day, and also on variation margin relating to each position

ü

ü

ССХ43

Statement from the list of trades, accepted for clearing

contains information on all trades, concluded on the FX market and Precious metals market under all settlement dates including rollover trades and closing trades of the NCC

ü

ü

ССХ69

Claim on paying the Debt

contains information on the size of a Debt under each Settlement Account, is provided when Debt is available till 09:30

ü

û

ССХ84

Collateral Assessment Report

contains information on assessment of collateral of a clearing member in order to calculate liquidity norms H2, H3

ü

û

ССХ89

Collateral Report

contains information on collateral, recorded by the NCC under Settlement Accounts of the 2nd and of the 3rd level

ü

ü

CCX91

Report on Total Net Obligations which will be terminated

is provided to a Defaulting Clearing Member in case of extension by the NCC of his obligations for more than 2 settlement days in a row

ü

û

CCX96

Cancellation of Notification on crediting and debiting Collateral Account

is provided in case if the NCC cancels Collateral Accounts debiting

ü

û

CCX97

Notification on crediting and debiting Collateral Account

is provided after each Collateral Account debit or credit during the day

ü

û

CCX98

Report on Settlement Accounts and details of a Clearing Member

contains information on all Settlement Accounts registered on the FX market and also on details of the Account for Collateral Return, fixed to Settlement Accounts. This Report is provided upon request CODEINFORQ

ü

û

CCX99

Cash Flow Statement

extract under accounts of the NCC for the previous Settlement Day is provided on the current Settlement Day till 11:00 or upon request PQACCSTMNT

ü

û

 
Reports formats specification. Reports examples.

10.   Fee for recording Collateral in foreign currency