Obligations under Trades T+ are included in the Unified Clearing Pool and participate in calculation Total Net Obligations/Total Net Claims.
Unified Clearing Pool consists of the following obligations and claims of the Clearing Member with the arrived Settlement date:
Outstanding debt in Russian rubles at the time of calculation Total Net Obligations / Total Net Claims in rubles;
obligations and claims in cash and securities under Trades T+ with the arrived Settlement date;
obligations / claims under REPOs of the Clearing House;
income transfer obligations;
obligations to pay fees;
obligations to pay fines, penalties, forfeits, delay interest, cancellation compensation;
additionally, for the Unified Pool Settlement Account:
Regarding obligations included in the Unified Clearing Pool, NCC calculates Total Net Obligations / Total Net Claims for each Clearing Member and forwards clearing report on Total Net Obligations / Total Net Claims.
Clearing Member must fulfill its Total Net Obligations within the time frames defined by the Time Specification.
| Time frames for fulfilment by a Clearing Member of its Total Net Obligations in securities | |
|---|---|
| under trades executed before 16:00 | 17:00 |
| under trades executed from 16:00 to 19:00 | 19:00 |
| Time frames for fulfilment by a Clearing Member of its Total Net Obligations in cash | |
| in euros under trades executed until 15:15 | 17:00 / 18:00 |
| in rubles, in US dollars under trades executed from 16:00 to 19:00 in euros for trades executed from 15:15 to 19:00 |
20:00 |
| Settlement time for all currencies is indicated in the Time Specification (Supplement №6 to the Common part of the Clearing Rules) | |
If Total Net Obligations in cash are fulfilled in violation of the deadline defined by the Time Specification, the NCC charges a penalty for undue fulfilment of cash obligations (a penalty for cut-off time).
NCC fulfills Total Net Claims of the Clearing Member under the condition that the Clearing Member fulfils its Total Net Obligations.
In case of non-fulfilment by a Clearing Member of its Total Net Obligations, the NCC executes settlement trades.
To fulfill a Total Net Obligation NCC executes with a Defaulting Clearing member settlement trades* without orders submission:
If there is no sufficient number in security – general collateral certificate, determined in the Unified clearing pool, NCC forms in the Clearing System the instruction to transfer cash funds in Russian rubles from the Trade Account T+ to the Asset Pool Trade Account, in the amount, corresponding to the nominal value of general collateral certificate, which is lacked for the fulfillment of the Total Net Obligation.
If cash funds, recorded under a Settlement Account, which is a part of a Trade Account T+, is not enough to fulfill this transfer, insufficient amount of cash funds is recorded as a cash obligation of a Pool Member towards NCC.
Time frames for execution the settlement trades.
| Settlement trades | Moscow Time |
|---|---|
| REPO trades/ buy-sell trades in securities in case if there are Total Net Obligations / Total Net Claims in securities for the fulfillment of which there is no sufficient number of securities under trades executed on the Settlement Date till 16:00 | From 17.00 till 17.30 of a Settlement Date |
| REPO trades / buy-sell trades in securities in case if there are Total Net Obligations / Total Net Claims in securities for the fulfillment of which there is no sufficient amount of securities under trades executed on the Settlement Date from 16:00 till 19:00 | From 19.00 till 19.30 of a Settlement Date |
| Swap / REPO trades in case if there are Total Net Obligations / Total Net Claims in cash funds / precious metals, for the fulfillment of which there is no sufficient amount of cash funds / precious metals | From 20.00 till 20.30 of a Settlement Date |
* Time frames for execution settlement trades do not exceed 2 Settlement Days in a row for cash / precious metals and 4 Settlement Days in a row for securities. If the time frames are exceeded, the NCC executes closing and/or balancing trades for the purchase and sale of securities / foreign currency / precious metal and charges a penalty from a Defaulting Clearing Member (for closing a position).
If there are Defaulting Clearing Members, which have Total Net Obligations in cash / precious metals / securities, to fulfill Total Net Claims in cash / precious metals / securities of Non-defaulting Clearing Members the Clearing House performs actions in the following consequence:
The time frames for concluding trades do not exceed 2 Settlement Days in a row for cash / precious metals and 4 Settlement Days in a row for securities. If the time frames are exceeded, the NCC executes closing and/or balancing trades for the purchase and sale of securities / foreign currency / precious metal and charges a penalty from a Defaulting Clearing Member (for closing a position).
Penalty for cut-off time
In case of the fulfillment of the Total Net Obligation in cash with the breach of time, defined in the Time Specification, a Clearing Member must pay the penalty for undue fulfillment of obligations in cash, the amount of which is calculated according to the following formula:
Penalty = D × C × R × n / 365, where
D is the sum of the Total Net Obligation of a Clearing Member in cash in the relevant currency, including Russian rubles, fulfilled with the breach of time, defined in the Time Specifications/the sum of the Debt in the relevant currency,
C is the exchange rate of the foreign currency in respect of Russian rubles, set out by the Bank of Russia on the date of the penalty calculation,
R is the rate, defined by the Clearing House in accordance with the Risk parameters on the FX Market and Precious metals Market Calculation Methodology and which is applied in cases of settlement of obligations under Partially Secured Trades, to fulfill which there is no sufficient cash funds,
n is a number of calendar days between the date of calculation of the penalty and the following Settlement Day for the relevant currency.
Penalty rates for settlement trades
1. SWAP trades
Swap trade price is calculated according to the following formula:
Swap_Price = Rc_ VAL1_VAL2 × S × n / 365, где
Rc_VAL1_VAL2 is the Central exchange rate for buy-sell trades in foreign currency / precious metal VAL1 for currency VAL2 defined in accordance with the Risk parameters for FX and Precious Metals Market Calculation Methodology at 19:00 Moscow time on the current Trading Day,
VAL is the currency of a swap trade lot,
S is the rate set out by the Clearing House in accordance with the Risk parameters for FX and Precious Metals Market Calculation Methodology and applied in the events of settling obligations under Partially Secured Trades to fulfill which there is no sufficient amount of cash funds,
n is the number of calendar days between the settlement dates of the first and of the second part of swap trade.
2. REPO trades (Y0/Y1)
REPO sum (sum of the first buy-sell trade in securities) is calculated as the product of the number of securities in the trade and the last Settlement Price for securities calculated by NCC.
Cost of the buyback (the sum of the second buy-sell trade in securities) is calculated according to the following formula:
, where
S2 is the Cost of the buyback (the sum of the second buy-sell trade in securities);
S1 is the REPO sum (the sum of the first buy-sell trade in securities);
R is the REPO rate, applied to cases of settling obligations under Trades T+, to fulfill which there is not sufficient amount of cash funds / securities, set by the Clearing House in accordance with the Risk Parameters of the Securities Market and Deposit Market Calculation Methodology;
T365 is the number of days between the execution of the first and of the second parts of the REPO (first and second buy-sell trade in securities) in the calendar year, which consists of 365 days;
T366 is the number of days between the execution of the first and of the second parts of the REPO (first and second buy-sell trade in securities) in the calendar year, which consists of 366 days.
Penalty for closing position
If the number of Settlement Days during which the Clearing Member may have a Total Net Obligation for cash / securities, for which there is no sufficient amount of cash funds / securities for one Settlement account/ Trade account, is exceeded, the Clearing Member is charged a penalty calculated according to the following formula:
Penalty = ROUND (VAL_OBL × C × K × R / 365;2), where
Penalty is the penalty amount to be charged if the closing trade is executed, denominated in Russian rubles ,
VAL_OBL is the volume of securities / cash funds / precious metals, obligation under which has not been fulfilled by the Defaulting Clearing Member, in the closing trade, executed by NCC on behalf of the Defaulting Clearing Member,
C is the central exchange rate for the foreign currency / precious metal, defined in accordance with the Risk parameters for the FX and Precious metals Market Calculation Methodology / security Settlement price / C=1 if the Clearing Member has not fulfilled the obligation, denominated in Russian rubles;
K is the ratio set by the decision of the Clearing House, by default K=5;
R is the rate equal to the REPO rate, applicable for cases of settlement of obligations under Trades T+, for the fulfillment of which there is no sufficient amount of cash funds / securities, set by the Clearing House according to the Risk parameters for the Securities and Deposit Markets Calculation Methodology, or to the rate set by the Clearing House according to the Risk parameters for the FX and Precious metals Market Calculation Methodology.