Spectra update to v. 6.0 on test

Dear MOEX derivatives market users,

We would like to inform you that starting from 01 March 2018 test environment (T+1) is to update to v 6.0. Planned date for production roll-on is Q2 2018.

What is new in version 6.0:

1. Unified Collateral Pool functionality (Phase 2) is now supported.

For detailed information, please apply to  - http://nkcbank.ru/UserFiles/File/CK27/Edinyy%20pul%20obespecheniya.pdf

The Phase 2 functionality of Unified Collateral Pool on Derivatives market includes:

• FX/security underlying asset profile transfer possibility. On transferring a non-Ruble asset profile, the client obtains a collateral security futures position (Bid or Offer) which, depending on profile transfer direction, is equal to that of the given underlying asset.
• Covered sales. A possibility to contract a sell of the asset included in the collateral structure, with reduced collateral amount.

2. New Risk Management system:

• Reduced collateral amount for calendar spreads. The Brokerage Firm level is allowed to select a rule for account hierarchy (nett/half net), and a risk measure (nett/half net) for securities. The end clearing account level is only allowed to select a risk measure (nett/half nett) for security, with ‘half nett’ as the default selection. For the Clearing Firm (trade participant) level, the account hierarchy, and risk measure for securities are set as ‘nett’, and are not subject to any change.
• Concentration limits on Derivatives market. The collateral rate on Derivatives market now depends on position volume, similar to that of FX and Securities markets. For details on new concentration limits and margin rate, please visit the National Clearing Centre website.
• New rules applied for changing risk parameters on Derivatives market during the clearing session. Cease of automatic limit change; instead, collateral rate change will be applied by NCC decision.
• New rules applied for changing risk parameters on Derivatives market during trading sessions. The new risk parameters changing model implies asymmetrical limit extension, along with availability to change limit extension rules during a trading session.
• Removal of restrictions for changing settlement price on Derivatives market. All current restrictions for changing settlement price value and price increment value during the same settlement period are removed.
• Risk parameters synchronization. Synchronous limit extension for a given underlying asset, on all markets.
• New pricing model for securities on Derivatives market. Settlement price values for illiquid futures contracts depend on price fluctuation for liquid instruments.

3. Margining for Settlement accounts (Phase 2):

• For the Settlement account level, the sole available margining type is nett type, where the Settlement account position accumulates nett positions for all end clearing sections of the given Settlement account.
• For the Brokerage Firm level, two margining types are available, i.e.:
• nett type (default), where the Brokerage Firm position accumulates nett positions for all end clearing sections of the given Brokerage Firm;
• half nett type, where the Brokerage Firm position is equal (in absolute value) to the largest of two values (Buy or Sell) of total amounts for all end clearing sections of the given Brokerage Firm.

To change margin types, a trade participant should submit the appropriate application to NCC.

4. New Brokerage Firm limit set model:

• In the version 6.0, we offer the fully revamped policy for limit settings of the Brokerage Firm level. The previous ‘donor-recipient’ model (when a Brokerage Firm limits extended due to narrowing the donor Brokerage firm limits) now ceased. Instead, a new model is provided, when a participant is able to set trading, or virtual, Brokerage Firm limits (equal to that of the end clearing sections), where limits can be bound to the collateral, changing in accordance with the collateral depositing/withdrawal. In addition, the new model allows to change limits independently of collateral depositing/withdrawal, with a sole limit change by the value of accrued/written-off variation margin, applied during the clearing session.

5. Closeout sections on special sections of Brokerage Firms:

• A new closeout section in XXYYLIK format for each Settlement account now added into a section of a special Brokerage Firm. NCC will use this closeout section in case of forced closure of a participant’s position.

6. Changes applied to the Derivatives market trading terminal according to the Unified Collateral Pool (Phase 2) and new risk management system roll-out:

• Some new functions implied, along with changes in data transmission according to roll-out of the Unified Collateral Pool and new risk management module. Additionally, some improvements and updates made to the graphical user interface of the trading terminal software.

7. Changes applied to the CGate interface:

• All tables of all replication streams will have fields amount/amount_rest/pos (i4) empty. The appropriate values must be obtained from fields xamount/xamount_rest/xpos (i8).
• Tables deal/multileg_deal deleted from replication streams FORTS_FUTTRADE_REPL и FORTS_OPTTRADE_REPL. To obtain a table containing the complete trading data, please use replication stream FORTS_DEALS_REPL.
• Added new replication stream FORTS_FEERATE_REPL, containing accurate rates for the exchange and clearing fees in tables futures_rates и option_rates, with the following fields:

1. isin_id, i4 – instrument code.
2. sess_id, i4 – Session number, to which the record belongs
3. exchange_fee_negdeal, d26.2 – Exchange fee rate for negotiated trades
4. exchange_fee, d26.2 - Exchange fee rate for anonymous trades
5. clearing_fee_negdeal, d26.2 - Clearing commission fee rate for negotiated trades
6. clearing_fee, d26.2 - Clearing commission fee rate for anonymous trades

• Field ext_reserve,d26.2 deleted from table money_clearing of stream FORTS_CLR_REPL.
• Table part_forecast deleted from stream FORTS_FORECASTIM_REPL. Now, forecasted data of collateral volume after planned limit extension are transmitted for Settlement accounts only (see table part_sa_forecast).
• Tables dealer and investor added into stream FORTS_FUTINFO_REPL (similar to the current tables diler and investr), containing values to be applied during the next clearing session. The obsolete tables diler and investr will be deleted starting the next release version!
• Table delivery_report deleted from stream FORTS_FUTINFO_REPL.
• Field coeff, d9.6 deleted from table fut_sess_contents of stream FORTS_FUTINFO_REPL.
• Obsolete fields client_code, exch_pay, exch_pay_scalped, clear_pay, clear_pay_scalped, exch_pay_spot, exch_pay_spot_repo, sell_fee, buy_fee deleted from table fut_vcb of stream FORTS_FUTINFO_REPL
• Field coeff, d9.6 deleted from table fut_instrument of stream FORTS_FUTINFO_REPL
• Table fut_bond_registry of stream FORTS_FUTINFO_REPL: Field type changed from с i1 to i4 for field bond_type.
• Table diler of stream FORTS_FUTINFO_REPL now contains some new fields with values to be applied during the next evening clearing session:

1. exp_weight, d3.2 – Expiration scenario weight for BF, in total collateral..
2. num_clr_2delivery, i4 – Number of clearing sessions before expiration to start BF expiration scenarios calculation. Applied during the evening clearing session.
3. margin_type, i1 – Margin type, according to BF's sections, applied during the evening clearing session: 3 - half nett, 4 – nett
4. calendar_spread_margin_type, i1 - Margin type for calendar spreads, for BF portfolio, applied during the evening clearing session: 3 - half nett, 4 – nett
5. num_clr_2delivery_client_default, i4 – Number of clearing sessions before expiration to start clients' expiration scenarios calculation (default value). Applied during the evening clearing session.
6. exp_weight_client_default, d3.2 – Expiration scenario weight for client sections, in total collateral (default value). Applied during the evening clearing session.
7. go_ratio,d16.5 – Total collateral ratio value, for BF. Applied during the evening clearing session.
8. check_limit_on_withdrawal,i1 – Verify collateral sufficiency, for BF, upon funds depositing/withdrawal, applied during the evening clearing session: 0 – do not verify, 1 – verify.
9. limit_tied_money,i1 – BF trading limit accordance with the BF's total funds amount (all sections) :0 – maintain accordance, 1 – virtual (independent) limit.
10. limits_set,i1 Verify collateral sufficiency, for BF, upon adding orders
11. no_fut_discount,i1 – Discount prohibition on futures for BF portfolio.
12. no_fut_discount_client_default,i1 - Discount prohibition on futures for BF's clients (default value)

• Table fut_rejected_orders of stream FORTS_FUTINFO_REPL now contain field xamount, i8.
• Table investr of stream FORTS_FUTINFO_REPL now contain field calendar_spread_margin_type,i1 — Margin type for calendar spreads for client portfolio. 3 – half net, 4 – net.
• Stream FORTS_INFO_REPL now contain tables dealer and investor (similar to tables dealer and investor of stream FORTS_FUTINFO_REPL). The tables contain current trading session values.
• Field points_num,i1 deleted from table base_contract_params of stream FORTS_INFO_REPL
• Table base_contracts_params of stream FORTS_INFO_REPL now contains some new fields:           

1. spot_price, f – Theoretical price value of underlying asset on spot market reduced to number of lots of primary futures.
2. mr1, f – Market risk rate value
3. mr2, f - Market risk rate value (Concentration Limit 1).
4. mr3, f - Market risk rate value (Concentration Limit 2).
5. lk1, i8 – Amount of underlying asset, in units (Concentration Limit 1)
6. lk2, i8 - Amount of underlying asset, in units (Concentration Limit 2
7. risk_points_n, i4 – Number of contract price fluctuation scenarios near risk calculation point.

• Fields limit,f and spot_signs,i1 deleted from table futures_params of stream FORTS_INFO_REPL.
• Table futures_params of stream FORTS_INFO_REPL now contains some new fields:

1. interest_rate_risk_up, f – Interest risk variable rate on rate up scenario
2. interest_rate_risk_down, f - Interest risk variable rate on rate down scenario
3. time_to_expiration, f – Time before instrument expiration, in fraction of year
4. normalized_spot, f – Theoretical price value of underlying asset on spot market, in points, reduced to dimension of the futures

• Fields is_net_positive,i1/ volat_range,f/ t_squared,f/ max_addrisk,f deleted from table virtual_futures_params of stream FORTS_INFO_REPL
• Table virtual_futures_params of stream FORTS_INFO_REPL now contains some new fields:

1. exp_clearings_sa, i4 – Number of clearing sessions before expiration to start risk calculation for series of options settlement
2. volatility_risk, f – Volatility risk range rate
3. volatility_risk_mismatch, f - Volatility risk variable rate for different maturity dates of series of options
4. time_to_expiration, f – Time before instrument expiration, in fraction of year.

• Tables fut_mm_info и opt_mm_info of stream FORTS_MM_REPL now contain fields xamount_sells,i8/ xamount_buys,i8/ xmm_amount,i8.
• Field isin_is_spec, i1 deleted from table common of stream FORTS_OPTCOMMON_REPL.
• Obsolete fields client_code,  exch_pay, exch_pay_scalped, clear_pay, clear_pay_scalped, is_spec, spec_spread, sell_fee, buy_fee deleted from table opt_vcb of stream FORTS_OPTINFO_REPL.
• Table opt_rejected_orders of stream FORTS_OPTINFO_REPL now contains field xamount, i8.
• Table opt_exp_orders of stream FORTS_OPTINFO_REPL now contains fields xamount,i8/ xamount_apply,i8
• Fields pledge_free,d26.2/ pledge_blocked,d26.2/ coeff_liquidity,d16.5/ pledge_old,d26.2/ pledge_amount,d26.2 deleted from table part of stream FORTS_PART_REPL.
• Fields pledge_amount,d26.2/ liquidity_ratio,d16.5 deleted from table part_sa of stream FORTS_PART_REPL.
• Table part_sa of stream FORTS_PART_REPL now contain some new fields:

1. money_blocked, d26.2 – Blocked cash amount.
2. vm_reserve, d26.2 – Reserved variation margin.
3. vm_intercl, d26.2 – Variation margin withdrawn or deposited during the intraday clearing session.
4. fee, d26.2 – Total fee withdrawn.

• Stream FORTS_POS_REPL now contains table position_sa, with fields similar to that of table position. The values applied to Settlement account only.
• Table position of stream FORTS_POS_REPL now contain field account_type,i1 – account type. 0 – Clearing firm, 1 – Brokerage firm, 2 – Client.

8. Changes applied to command scheme repository:

• New command FutChangeBFLimit – set trading (virtual) limit for Brokerage firm. Similar to command FutChangeClientMoney for clients.
• New command FutChangeBFParameters – set Brokerage firm parameters.
• New command FutChangeClientParameters – Change parameters of client sections.
• New command FutChangeBFClientDefaultParameters – Change default parameters of clients’ clearing sections.

 9. Ceased 32-bit CGate version for Linux. 32-bit CGate version for Windows is still supported.

10. New SpectraIM version roll-out, with new Risk Management system implied.

11. Changes applied to reports:

• Reports fposXXYY.csv (obligations on trades), oposXXYY.csv (obligations on option contracts), riskposXX00.csv (positions for instruments) now omit information on obligations for position accounting sections with Clearing Participant ID (code ‘RF’), and contain the total obligation data accounted on position accounted sections within the same Settlement account (code ‘RK’).
• Report moncbXX00.csv (FX and securities as pledged as collateral) now omits information on FX/securities accounted on all sections of cash account/collateral depositary account of Clearing firm (code ‘RF’), and contain information on FX/securities accounted on all sections within the same Settlement account (code ‘RF’).
• Report monXX00.csv (funds in Rubles, FX, and securities as pledged collateral), and preliminary report daymonXX00.csv (funds in Rubles, FX, and securities as pledged collateral) now omit the Clearing firm level information (code ‘RF’).
• Consolidated financial statement F14_XX00.xls now omits the following consolidated data on cash accounts and collateral accounts of Clearing firm:

- ‘Cash collateral account, total’;

- ‘Depositary collateral account, total’.

• Reports fposXXYY.csv/oposXXYY.csv (information on position status of Clearing participant/Brokerage firm, and their respective clients), and reports fposclXXYYZZZ.csv/oposclXXYYZZZ.csv (information on position status of clients for futures/option instruments) now contain a new field VAR_MARG_PROM with intraday clearing variation margin value.

Software distribution kits and documentation for developers will be available soon at ftp://ftp.moex.com/pub/ClientsAPI/Spectra/CGate/test/