Transcript PRESENTATION TITLE
REPO TRADES ON RTS STANDARD
RTS STANDARD
RTS Stock Exchange came up with the idea to create a new cash equity market in Russia during the financial crisis of 2008 when all Russian market participants faced two major problems – bilateral credit limits and full advance depositing of assets.
To avoid these pitfalls RTS Stock Exchange decided to run the new RTS Standard market on the trading platform of the derivatives market FORTS that had been successfully tested in various conditions and demonstrated the extraordinary reliability of its risk management system. Bringing the two markets onto the same trading platform allowed RTS to consolidate the cash position for RTS Standard and FORTS and to introduce joint margining for trades executed on these markets.
Thus on April 23, 2009 RTS Stock Exchange launched RTS Standard, a new cash equity market meeting the best practice of stocks trading.
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MAIN FEATURES
– – – – – – No need to deposit 100% of assets in advance (the settlement cycle ranges from T+1 to T+4) – – Quotes and settlement in RUB Central Counterparty – risk-free repo and buy/sell back trades (now it is possible to trade without establishing bilateral credit limits) – Multilateral netting Anonymous repo trades (overnight T+0/T+1) Risk minimization (positions are marked-to-market twice a day) Financial result on the trade date No need to confirm each execution report for the first and second legs of repo trades (you either deliver the asset, or close out the position by entering into an offsetting trade) Trading hours 10.00 am – 11.50 pm MSK 3
INSTRUMENTS
The set of instruments traded on the new market includes the liquid stocks of Russian companies. Currently these are
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blue chips available for trading with the Central Counterparty.
CHMF GAZP GMKN LKOH MAGN MTSS NLMK NVTK PLZL PMTL ROSN SBER TRNFP URKA URSI VTBR SBERP SNGS SNGSP TATN FEES HYDR
RTS Stock Exchange plans to add more equities to this list and to admit bonds to trading on RTS Standard.
TRADING HOURS
1 455 1 450 1 445 1 440 Moscow time 1 435 1 430 7.00 pm (open)
Evening session
11.50 pm 10.00 am (close) 6.45 pm 2.00 pm – 2.03 pm
Intraday clearing session
Main session
6.45 pm – 7.00 pm
Evening clearing session
Main session RTS LSE NYSE
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CENTRAL COUNTERPARTY
Bilateral settlement Central Counterparty In April 2007 RTS became the first Russian exchange to introduce the Central Counterparty (CCP) service. Now this service is available on
RTS Standard
as well. The CCP interposes itself legally between the buyers and sellers mitigating the risks.
The reliable and well-established CCP run by RTS offers market participants many benefits.
CCP RELIABILITY
‒ ‒ ‒ ‒ Risks are calculated on the basis of price movements during the day (two clearing sessions).
Price limit management is in place ensuring fast response to sharp price fluctuations. This system supports continuous trading in the event of a “force majeure”, exceptional price movement and high volatility.
To prevent a clearing member’s default there is a granular system for monitoring clearing member’s obligations (notifications, procedure for closing out positions).
The system remains stable in any situation thanks to the special money cushion.
‒ ‒ ‒ In the autumn of 2008 when the financial crisis was at its worst driving the market volatility up: RTS CCP never failed to meet its obligations.
Foreign and Russian investors came to realize and appreciate the effectiveness of hedging opportunities of the financial market.
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REPO TRADES WITH THE CCP
‒ ‒
Features:
‒ CCP guarantees ‒ ‒ Settlement cycles from T+1 to T+4 Extended list of participants Trading hours 10.00 am – 11.50 pm Simplified risk management ‒ Simplified settlement 8
BUY/SELL BACK TRADES WITH THE CCP
There is also an ability to make buy/sell back trades with settlement dates from T+1 to T+4.
For repo and buy/sell back trades collateral is to be posted only on one leg.
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ANONYMOUS REPO TRADES (OVERNIGHT T+0/T+1)
Can be used for:
1.
Repo trades 2.
Intraday repo rate speculative trades 3.
Information about current repo rates 4.
Repo rates arbitrage between different equities.
5.
Rates arbitrage between futures-spot and repo positions in the same underlying asset.
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RATES ARBITRAGE BETWEEN FUTURES-SPOT AND REPO IN THE SAME UNDERLYING ASSET
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BLOOMBERG AND REUTERS CODES
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RTS Standard Ticker
CHMF
Bloomberg Ticker
CHMFS RU GAZP GMKN LKOH MAGN 6 7 MTSS NLMK 8 9 NVTK PLZL 10 PMTL 11 ROSN GAZPS RU GMKNS RU LKOHS RU MAGNS RU MTSSS RU NLMKS RU NVTKS RU PLZLS RU PMTLS RU ROSNS RU
Reuters RIC
CHMFS.RTS
GAZPS.RTS
GMKNS.RTS
LKOHS.RTS
MAGNS.RTS
MTSSS.RTS
NLMKS.RTS
NVTKS.RTS
PLZLS.RTS
PMTLS.RTS
ROSNS.RTS
#
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RTS Standard Ticker
SBER
Bloomberg Ticker
SBERS RU 13 SBERP 14 SNGS 15 SNGSP 16 TATN 17 TRNFP 18 URKA 19 URSI 20 VTBR 21 FEES 22 HYDR SBERPS RU SNGSS RU SNGSPS RU TATNS RU TRNFPS RU URKAS RU URSIS RU VTBRS RU FEESS RU HYDRS RU
Reuters RIC
SBERS.RTS
SBERPS.RTS
SNGSS.RTS
SNGSPS.RTS
TATNS.RTS
TRNFPS.RTS
URKAS.RTS
URSIS.RTS
VTBRS.RTS
FEESS.RTS
HYDRS.RTS
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EXCHANGE FEE
TRADE Anonymous repo trade Non-anonymous repo trade Buy/sell back trade Non-anonymous repo trade ( between Clients of the same Clearing Member ) EXCHANGE FEE RATE, % (INCLUDING VAT) 0.00035% of the first leg of the repo trade, but not less than RUB0.01
0.00035% of the first leg of the repo trade multiplied at maturity, but not less than RUB0.01
0.0007% of the trade amount for each transaction, but not less than RUB0.01
RUB0.01 for each transaction 13
Timur Abushkin
Head of Stock Market Sales RTS Stock Exchange +7 (495) 705-90-31 ext. 26118 [email protected]