2016 First Release Updates
Updates to take effect from 30 May 2016
- Margin requirements for opposite positions in EUR and USD will be reduced
Considering inter-product spreads in margin calculation will allow introducing a market risk discount for opposite positions in EUR and USD. The current margin rate for EUR and USD is 8%. Clearing members are then required to post 16% margin for opposite positions in these currencies. With margin netted between such positions, the rate will decrease to 8-9.5%.
- The interest risk exposure will be considered with regard to TOM positions. Margin requirements for overnight swaps will be set similar to long-term swaps.
Interest risk will be taken into account for instruments and swap transactions with TOM and longer maturities (currently this applies from SPT). After principles of margin calculation for overnight and long-term swaps become identical, overnight swaps will be subject to interest risk margin regardless of whether a swap spread is positive or negative.
- Technical update of the full collateral regime for UAH and KZT
Updates planned to implement from 4 July 2016
- Lots and the tick size will be reviewed for Belarus Rouble due to the currency denomination
The ISO 4217 code will be changed to BYN (from BYR); the currency number will be changed to 933 (from 974).
New parameters for Belarus Rouble instruments:
Instrument code |
Lot currency code | Trade lot | Tick size | Settlement of trades (T+n) | Trading hours |
|---|---|---|---|---|---|
| BYNRUB_TOD | BYN | BYN 1,000; BYN 1 for negotiated trades |
RUB 0.0025; RUB 0.0001 for negotiated trades | Т+0 | 10:00 – 10:45 MSK (11:00 for negotiated trades) |
| BYNRUB_TOM | BYN | BYN 1,000; BYN 1 for negotiated trades |
RUB 0.0025; RUB 0.0001 for negotiated trades | Т+1 | 10:00 – 23:50 MSK |
| BYN_TODTOM | BYN | BYN 100,000; BYN 1 for negotiated trades | RUB 0.0001 | T+0/t+1 | 10:00 – 11:00 MSK |
Please note that:
instruments BYRRUB_TOM and BYR_TODTOM will not be traded on 30 June 2016, and all BYR/RUB instruments will not be traded on 1 July 2016.
Updates planned to implement from 18 July 2016
- Launch of trading in deliverable futures on USD, EUR and CNY;
FX MARKET deliverable futures - Launch of instruments with TOD and TOM settlement and overnight swaps for the CHF/RUB currency pair.
The Swiss Frank will be launched to calculate risk parameters for CHF-denominated bonds, in order to admit these bonds to repo with the CCP and make the currency eligible as collateral.
In the initial stage, the following spot and swap transactions will be offered:
Instrument code |
Lot currency code | Trade lot | Tick size | Settlement of trades (T+n) | Trading hours |
|---|---|---|---|---|---|
| CHFRUB_TOD | CHF |
CHF 1,000; |
RUB 0.0025; RUB 0.0001 for negotiated trades | Т+0 | 10:00 – 10:45 MSK (11:00 for negotiated trades) |
| CHFRUB_TOM | CHF |
CHF 1,000; |
RUB 0.0025; RUB 0.0001 for negotiated trades | Т+1 | 10:00 – 23:50 MSK |
| CHF_TODTOM | CHF | CHF 100,000; CHF 1 for negotiated trades | RUB 0.0001 | T+0/t+1 | 10:00 – 11:00 MSK |
Please note that member firms should register accounts with NCC for refunds in CHF to be admitted to CHF/RUB trading
- Client positions in HKD, CNY, BYR and KZT will be settled during 15 minutes in the Negotiated Board
The Main Board trading session will end earlier, i.e. at 10:45 MSK instead 11:00 MSK with regard to trades with TOD settlement.