SPECTRA UAT update to v.5.0

Dear clients of MOEX Derivatives market,

Please be informed that UAT environment serving MOEX Derivatives market will be unavailable from 17 to 24 March 2016 due to system upgrade to v.5.0.

Preliminary date for production system upgrade – 27 June 2016.

What"s new in v.5.0:

1. Step three of billing subsystem update.

In scope of billing subsystem update we plan to implement new billing module calculating market member"s commission fees which will be provided in a separate FORTS_FEE_REPL replication stream. Commission fees in FORTS_FUT/OPTTRADE_REPL replication stream will only contain approximate fees estimation which is greater than or equal to exact commission fee.

Billing subsystem is planned to be updated in 3 steps:

- Service availability on UAT environment (including new FORTS_FEE_REPL replication stream) and billing module setup similar to current commission fee calculation. Step one is complete.

- Technical implementation on production (including new FORTS_FEE_REPL replication stream) and billing module setup similar to current commission fee calculation. Step two is complete.

- New billing server launch on production with new commission fee calculation parameters.

Last step does not require any changes on client side. Reporting subsystem also does not require any changes.

2. New margin layer over Settlement Accounts is implemented. This change will be available later on UAT environment, additional notifications will be sent out.

New margin layer over settlement account (SA) is added to the current hierarchy of margining. Clearing member (clearing firm) may have several Settlement Accounts, one settlement account can have several broker firms linked to ensure unified margining across those broker firms. Please, note that one settlement account should be linked to broker firms of one type (own, clients or segregated broker).

This changes also will eliminate possible risks for major Clearing members who might run out of available client"s clearing accounts.

To support this change we implement the following changes in client side API interfaces:

- New table part_sa is added into FORTS_PART_REPL replication stream

- New table fut_settlement_account is added into FORTS_FUTINFO_REPL replication stream.

- New table fut_margin_type is added into FORTS_FUTINFO_REPL replication stream.

- New table money_clearing_sa is added into FORTS_CLR_REPL replication stream.

- New tables fut_pos_sa/opt_pos_sa are added into FORTS_CLR_REPL replication stream.

Report subsystem changes:

- New field margin_type reflecting SC-based margining type is added to clientsXX00.csv report

3. New options" risk calculation algorithm.

Current initial margin calculation algorithm can cause sudden collateral increase for clients. For more flexible management, new parameters allowing the broker to set IM calculation algorithm for clients, will be added into the trading system.

Expiration scenario parameters: 

- exp_clearings_bf  - this parameter is set by NCC globally which defines quantity of clearing sessions before expiration for series of options. During those clearing sessions IM calculated on expiration model"s basis will be blocked for Broker. Starting from (exp_clearings_bf/2) days before the expiration date volatility model will be used. This is applied only during evening or intermediate clearing session. Can differ for different underlying assets.

- exp_weight   - Weight of risk profile in accordance with expiration scenario.

- exp_weight (client): Can be changed by Broker per client by sending new OptChangeRiskParameters transaction, will be applied after the nearest clearing session.

- exp_weight (broker): Can be set by Broker via EDI. In this case exp_weight (broker) parameter will be set for all clients without exp_weight (client) parameter, i.e. works as parameter by default.

If the Broker does not set weights of risk-profile, for all his clients NCC default parameters will be applied.

- exp_clearings_cc - this parameter is set by NCC per all clearing participants and defines quantity of clearing sessions during which risk profile weight exp_weight might be applied for clients. Can be applied only after evening or intermediate clearing session.

- NCLR2Delivery – existing parameter, can be set by Broker per client by sending new OptChangeRiskParameters transaction. Defines quantity of clearing sessions during which risk profile weight exp_weight is applied for clients. If NCLR2Delivery is less then exp_clearings_cc then NCLR2Delivery will have more priority then exp_clearings_cc.

This parameter can also be set by Clearing member via EDI, in this case it will be applied to all clients for whom NCLR2Delivery parameter is not set and works as a default parameter.

To support this change we made the following changes in client side API interfaces:

- New non-trading transaction OptChangeRiskParameters with parameters NCLR2Delivery (i4), exp_weight (с4) and flags UseBrokerNCLR2Delivery и UseBrokerExpWeight (flags are active when NCLR2Delivery, exp_weight parameters are set by Broker) is added.

- NCLR2Delivery parameter in non-trading transaction FutChangeClientMoney has been removed. For old versions of this transaction this field will be ignored in case if set.

- New exp_weight (d3.2) field is added into table part in FORTS_PART_REPL replication stream.

- New NCLR2Delivery (i4) field is added into table part in FORTS_PART_REPL replication stream.

- calc_exp_extra_risk (i1) field was removed from table part in FORTS_PART_REPL replication stream.

- New exp_clearings_bf (i4) field is added into table virtual_futures_params in FORTS_INFO_REPL replication stream.

- New exp_clearings_cc (i4) field is added into table virtual_futures_params in FORTS_INFO_REPL replication stream.

Scheme for non-trading transaction OptChangeRiskParameters:

4. Wrong-way risk.

In accordance with new regulation the Exchange will not be accepting securities issued by clearing member or its affiliated structures as collateral from clearing member and its affiliated structures.

The list of clearing members and securities that are not accepted as a collateral is managed by NCC and reviewed monthly or more frequently if needed.

5. New options" maturity parameter.

New parameter for options" maturity is added. Possible values are "day", "week" or "month".

To support this change we implement the following changes in client-side API interfaces:

- New exec_name (c1) field is added into table fut_instruments in FORTS_FUTINFO_REPL replication stream. Possible values are "D" - day, "W" - week or "M" - month.

6. Update in Derivatives market terminal.  

The changes include improved GUI, new features for version 5.0 are supported. Please note that old versions of Derivatives market terminal are no longer supported.

Documentation and distributives of SPECTRA terminal new version are available at: ftp://ftp.moex.com/pub/Terminals/Spectra/.

7. Technology changes.

- Due to changes in indexes calculation and translation replication stream RTS_INDEXLOG_REPL translation will be ceased.

- New UAT environment connectivity addresses were added, new UAT environment connectivity scheme fully reflects production scheme.

New version distributives will be sent out later and will be available at: ftp://ftp.moex.com/pub/FORTS/test/.

For further information, please contact the Public Relations Department at (495) 363-3232.