Transcript Заголовок слайда отсутствует

Order-Driven Trading
General Description
RTS Stock Exchange
September, 2007
Stocks
EESR
GAZP
GMKN
LKOH
MTSS
ROSN
RTKM
SNGS
RAO UES of Russia
Gazprom
Norilsk Nickel
LUKOil
Mobile TeleSystems
Rosneft
Rostelecom
Surgutneftegaz
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Benefits
• State-of-the-art Trading Technology
• Anonymous / Named Orders
• Fast Execution
• Direct Market Access
• Algorithmic Trading
• Standard Settlement
• Fines for Settlement Delay
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Trading
• Order book
• Orders only with DVP settlement in USD
• Orders are submitted within limits set by
the RTS
• Minimum order size is $5,000
• Negotiated trades
• Not restricted by RTS limits
• FOP settlement is available
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Central Counterparty
A counterparty for all the trades executed in
the Order-driven trading is NP RTS
Two trades instead of one:
1. Seller – CCP
2. CCP – Buyer
The CCP is obliged to:
•
•
•
Deliver the stocks / pay for the stocks
Pay the fines in case of settlement delay
(if there is not enough stocks / cash)
Pay the penalty in case of settlement failure
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Reasons for CCP
•
•
•
Connecting participants compliant for
KYC / AML policies with no need to
check every RTS member firm
Matching two orders submitted
by the same broker
on account of 2 different clients
A legal basis for netting
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Settlement
• No manual PSA is required
(PSA is signed automatically at the moment of
trade execution)
• Trade-by-trade DVP settlement in USD using
accounts with:
• JPMorgan Chase
• Citibank
• RTS Settlement Chamber
• Back-to-Back Settlement of both trades with CCP
• Trades can be settled in full only
(no partial settlement is allowed)
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Settlement Cycle
T
Trade is executed
T+4
T+6
Standard day of settlement
Last day to provide cash
T+7
Buyer pays the penalty if there is not enough
cash to settle the trade
T+9 Last day to provide securities
T+10 Seller pays the penalty if there are not enough
securities to settle the trade
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RTS Guaranties
RTS guarantees payment of:
• Settlement delay fines
(daily from T+4 until the trade is settled
or cancelled)
• Settlement failure penalties
(cover market risk)
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Guarantee System
Guarantees
• RTS Guarantee Fund
• Margin deposited by the participants
Margin Call
Request to deposit additional margin for the
unsettled trades in case:
• Market price changes
• RUR to USD rate decreases (if margin is deposited in RUR)
Margin is used to pay fines and penalties
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Limits
Serve to restrict member’s unsettled trade volume.
Depend on:
• Balance of margin accounts
• Member’s reliability level
Decreased if:
• Trade is executed
• Market risk is realized
Increased if:
• Member gets higher level of reliability
• More cash is deposited to margin accounts
• Trade is settled
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Participant Groups
Group of
the participant
Liability
level, $
Unsecured
limit, $
Secured limit, $
Margin
7.5%
Margin
15%
Margin
18%
I
1,500,000
45,000,000
60,000,000 75,000,000
No limit
II
900,000
15,000,000
30,000,000 45,000,000
No limit
III
700,000
6,000,000
12,000,000 18,000,000
No limit
IV
600,000
3,000,000
6,000,000
9,000,000
No limit
V
300,000
750,000
2,250,000
3,750,000
10,000,000
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RTS Guarantee Fund
• Formed from the RTS own capital in Russian
rubles
• Used in case the deposited margin is not
enough to pay the fines and penalties
• The defaulting party shall reimburse the sum
paid from the Guarantee Fund
• Size, terms and conditions of usage is described
in the Guarantee Fund Regulation
• Current size = equivalent of $10,000,000
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Margin in Cash
Kept on:
• Special accounts with RTS Settlement Chamber,
(under control of RTS)
• Settlement accounts with JPMorgan Chase or Citibank
(under control of DCC)
Currency:
• USD
• Russian rubles (estimated according to the current rate
of the Central Bank of Russia)
RTS may use the deposited cash only to pay
fines and penalties for the defaulting participant
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Margin in Securities
Kept on:
• Special accounts with DCC (under control of RTS)
List of Securities:
• Hi-Rated municipal and corporate bonds
RTS may sell the deposited securities only to
refill the Guarantee Fund in case the defaulting
participant has not reimbursed the sum used to
pay for his fines and penalties
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Margin Calls
• Posted when the realized market risk for all the
unsettled trades of a participant is above 50%
of the RTS liability limit to that participant
• Limit of the RTS liability depends on the
category of the participant
Realized market risk =
Qty of shares * | trade price – market price |
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Fines and Penalties
• For Settlement delay – 8% annual interest for
every calendar day of settlement delay.
• For Settlement Failure :
Realized Market Risk
+ 0,25% of the failed trade volume
• Unpaid Margin Call – Double refinance rate of
the Central Bank for every calendar day of
delay
• Guarantee Fund Usage – Double refinance
rate of the Central Bank for every calendar day
of delay to reimburse
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Documents
• RTS Stock Exchange, OAO:
• Trading Rules (Section IV. Electronic Trading)
• Terms of the Transactions Executed in the
Electronic Trading
• RTS, NP:
• Clearing Rules
• Regulation of the Guarantee Fund
• Parameters of the Risk Management System
• RTS Settlement Chamber, NCO
• Operation Rules
• DCC
• Clearing Rules
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RTS Experience in Clearing
Since 1999
T+0 Market Clearing
Since 2001
Derivatives Market CCP
Since 2005
Guarantees for
the Order-Driven Trading
Since 2007
CCP for
the Order-Driven Trading
CCP Owned Capital
RUR, million
500
400
300
200
100
0
NP RTS
ZAO RTS
Clearing Center
2002
2003
2004
2005
2006
Next Steps
Stock Lending/Borrowing
(Repo Agreement)
Buy-In / Sell-Out
Netting with
Multi-Currency Settlement
FIX Gateway
Securities + Derivatives
Portfolio Margining
Thank you!
Contacts:
• E-mail: [email protected]
• Tel: +7 495 705 90 31
• http://www.rts.ru/
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