Clearing Rules of CJSC JSCB National Clearing Centre for the Derivatives and Securities Markets
APPROVED BY
the resolution of the Supervisory Board of
CJSC JSCB National Clearing Centre
dated "___" ______2013 (Minutes No. ____)
Chairman of the Supervisory Board of
CJSC JSCB National Clearing Centre
______S.P. Lykov
CLEARING RULES
OF CJSC JSCB NATIONAL CLEARING CENTRE
FOR THE DERIVATIVES AND SECURITIES MARKETS
Moscow, 2013
CONTENTS
SECTION I. GENERAL PROVISIONS 5
Article 1. Terms and Definitions 5
Article 2. General Provisions 9
Article 3. Rights and Obligations of the Clearing Members and the Clearing Centre 11
Article 4. Confidentiality and Personal Data 12
Article 5. Procedure for Use of the Handwritten Signature Analogue 13
Article 6. Trading Accounts 14
Article 7. Clearing Registers 16
Article 8. Procedure for Opening and Closure of the Clearing Registers to the Clearing Members Whom the Settlement Firm Code is Assigned 18
SECTION II. REQUIREMENTS FOR THE CLEARING MEMBERS 22
Article 9. Requirements for the Clearing Members 22
Article 10. Terms and Conditions of Clearing Service. Procedure for Admission to Clearing Service 23
Article 11. Procedure for Registration of the Clearing Members and Their Clients 24
Article 12. Trading Account Codes 25
Article 13. Procedure for Suspension and Cessation of Admission to Clearing Service 26
SECTION III. CLEARING RISK MANAGEMENT MEASURES 29
Article 14. Clearing Risk Management Measures 29
Article 15. Trading Limit 29
SECTION IV. PROCEDURE, TERMS AND CONDITIONS OF ADMISSION OF OBLIGATIONS TO CLEARING 32
Article 16. Possibility to Conclude the Derivatives Contract. Change in the Derivatives Contract Specification 32
Article 17. Possibility to Conclude the Securities T+N Trades 32
Article 18. Procedure for Interaction with the Exchange 33
Article 19. Procedure for Interaction with the Exchange upon Order Placement and Revocation, Conclusion of Trades with the Central Counterparty, and Admission of the Obligations under Trades with the Central Counterparty to Clearing 34
Article 20. Procedure for Check of the Possibility to Declare the Order for Conclusion of the Fully Collateralized Trades 35
Article 21. Procedure for Check of the Possibility to Declare the Order for Conclusion of the Derivatives Contracts, T+N Trade 36
Article 22. Procedure for Determination and Accounting of the Obligations under the Derivatives Contracts 37
Article 23. Procedure for Accounting of Obligations under T+N Trades 39
Article 24. Procedure for Change in Accounting of Obligations under Derivatives Contracts, T+N Trades 40
Article 25. Procedure for Admission to Clearing of Obligations under OTC Securities Trades, Futures Trades, and Fully Collateralized Repo Trades 40
SECTION V. CLEARING PROCEDURE 42
SUBSECTION V-I. PROCEDURE FOR DEPOSIT AND REFUND OF THE GUARANTEE COLLATERAL FUNDS AND CONTRIBUTION TO THE GUARANTEE FUND 42
Article 26. Procedure for Deposit and Refund of Guarantee Collateral Funds in Monetary Funds 42
Article 27. Change in Accounting of Monetary Funds by Clearing Member 46
Article 28. Procedure for Deposit and Refund of Guarantee Collateral Funds in Securities 48
Article 29. Procedure for Exclusion of Foreign Currency/Security from the List 49
Article 30. Replacement of Foreign Currency/Securities Accounted as Guarantee Collateral Funds with Monetary Funds 50
Article 31. Procedure for Deposit and Refund of Contribution to Guarantee Fund 50
SUBSECTION V-II. CLEARING SESSIONS 54
Article 32. Clearing Session Holding Procedure 54
SUBSECTION V-III. PROCEDURE FOR DETERMINATION AND FULFILLMENT OF THE OBLIGATIONS INCLUDED IN THE CLEARING POOL OF THE DAY OR EVENING CLEARING SESSION 56
Article 33. Variation Margin and Premium 56
Article 34. Guarantee Remittance 56
Article 35. Procedure for Fulfillment of Obligations on Payment of Variation Margin, Premium, Guarantee Remittance, Fines, Penalties, and Commission Fees 58
Article 36. Guarantee Collateral 60
Article 37. Procedure for Issuance and Fulfillment of Margin Calls 61
Article 38. Forced Position Closure Procedure 64
Article 39. Procedure for Use of Foreign Currency to Meet Margin Call 68
Article 40. Procedure for Use of Securities to Meet margin call 69
Article 41. Procedure for Use and Replenishment of the Guarantee Fund 70
SUBSECTION V-IV. PROCEDURE FOR PERFORMANCE OF THE DERIVATIVES CONTRACTS 73
Article 42. Procedure for Performance of Option Contracts Whose Underlying Asset is Futures Contract 73
Article 43. Procedure for Performance of Non-Deliverable Futures Contracts 74
Article 44. Procedure for Performance of Deliverable Derivatives Contracts 74
Article 45. Features of Performance of Deliverable Derivatives Contracts of T+4 Regime 74
SUBSECTION V-V. PROCEDURE FOR DETERMINATION AND FULFILLMENT OF THE OBLIGATIONS INCLUDED IN THE CLEARING POOLS OF THE SETTLEMENT CLEARING SESSION 76
Article 46. Procedure for Inclusion of Obligations under Fully Collateralized Trades, Fully Collateralized Repo Trades and Futures Trades in the Clearing Pool 76
Article 47. Procedure for Inclusion of Obligations under Trades without Preliminary Collateral in the Clearing Pool 76
Article 48. Procedure for Inclusion of Obligations under Trades Involving Sale of Stock of Publicly Owned Open Joint-Stock Companies in the Clearing Pool 77
Article 49. Procedure for Inclusion of Obligations under T+N Trades in the Clearing Pool 78
Article 50. Conclusion of Repo Trades and Securities Purchase/Sale Trades with Unsecured Position of Clearing Member or Clearing Centre under T+N Trades 81
Article 51. Procedures for Liquidation of Positions under T+N Trades 84
Article 52. Procedure for Fulfillment of Obligations and Claims of Clearing Members and Clearing Centre Included in Clearing Pools of Settlement Clearing Session 87
SUBSECTION V-VI. PROCEDURE FOR INTERACTION WITH THE SETTLEMENT ORGANIZATION AND THE SETTLEMENT DEPOSITORY 90
Article 53. Procedure for Interaction with Settlement Organization 90
Article 54. Procedure for Interaction with Settlement Depository and other Depositories 91
SUBSECTION V-VII. REPO TRADES OF THE CLEARING CENTRE AND LOAN AGREEMENTS OF THE CLEARING CENTRE 93
Article 55. Terms and Conditions of Repo Trades of Clearing Centre and Loan Agreements of Clearing Centre, Procedure for Their Conclusion and Performance 93
Article 56. Procedure for Registration of Funds Deposit Account 95
SUBSECTION V-VIII. PROCEDURE FOR INCOME TRANSFER 96
Article 57. Procedure for Transfer of Income from Trades Concluded with Clearing Centre 96
Article 58. Guarantees of Income transfer 97
SECTION VI. SERVICES PAYMENT PROCEDURE. REPORTS ON CLEARING RESULTS 98
Article 59. Procedure for Payment for Services of Clearing Centre, Exchange and Technical Centre 98
Article 60. Procedure for Submission of Reports on Clearing Results 100
SECTION VII. OTHER TERMS AND CONDITIONS 103
Article 61. Procedure for Settlement of Obligations in Case of Cessation of Admission to Clearing Service 103
Article 62. Interaction with Exchange in Any Circumstances that Can Affect Trading 110
Article 63. Emergencies 110
Article 64. Dispute Settlement Procedure 112
Appendix No. 1 113
Appendix No. 2 114
Appendix No. 3 130
Appendix No. 4 132
Appendix No. 5 136
Appendix No. 6 138
Appendix No. 7 142
Appendix No. 8 144
Appendix No. 9 146
Appendix No. 10 151
SECTION I. GENERAL PROVISIONS
These Clearing Rules of CJSC JSCB National Clearing Centre for the derivatives and securities markets shall regulate the relations associated with conclusion and execution of financial derivatives contracts concluded at trading of OJSC Moscow Exchange, OJSC St. Petersburg Exchange, OJSC Moscow Energy Exchange in the section of standard contracts for cereals, leguminous plants, and industrial crops of CJSC NCE, and trades of purchase/sale of securities and repo trades concluded in the Standard market sector of CJSC SE MICEX, and trades of purchase/sale of securities and repo trades concluded at OJSC St. Petersburg Exchange.
Article 1. Terms and Definitions
Handwritten Signature Analogue / HSA is the essential element of any electronic message sent using the Clearing System that identifies a sender of such message, integrity and invariability of electronic messages, received as a result of assignment of a unique personal identifier, login, and password to the Clearing Member / Clearing Centre, enabling to identify the Clearing Member / Clearing Centre and specify absence of misrepresentation of information in any order or other electronic document.
Authenticationis a procedure for confirmation of belonging of the HSA to the Clearing Member / Clearing Centre.
Exchangeis an organizer of trade in the securities market, a stock and (or) commodity exchange that conclude an agreement of interaction with the Clearing Centre.
Basic amount of the Guarantee Collateral is a calculated by the Clearing Centre for each Derivatives Contract / security amount of funds in Russian roubles required to calculate the Guarantee Collateral by the whole scope of the obligations under the Derivatives Contracts, T+N Trades.
Brokerage Firm / Settlement Firmis a group of clearing register sections combined in accounting of the Clearing Centre. There may be several Settlement Firms registered for one Clearing Member. Within one Settlement Firm there may be several Brokerage Firms registered for one Clearing Member, each being an Ordinary Brokerage Firm, Separate Brokerage Firm, or Segregated Brokerage Firm.
Upper/Lower Limit of Trade Price Fluctuations is a value upper (more) / lower (less) than which a Futures Contract price / T+N Trade price cannot be, except as explicitly provided herein and/or in the Trading Rules.
Guarantee Collateralis a sum in Russian roubles calculated in accordance with the Clearing Rules and required to evaluate sufficiency of the Guarantee Collateral Funds to ensure fulfillment of the obligations by the whole scope of the obligations under the Derivatives Contracts, T+N Trades.
Guarantee Remittanceis a sum in Russian roubles calculated in compliance with the Clearing Rules and ensuring fulfillment of the obligations of the Clearing Member or the Clearing Centre under T+N trades concluded between the Clearing Member and the Clearing Centre.
Guarantee Fund is a collective clearing collateral formed by the Clearing Centre out of contributions of the Clearing Members to ensure fulfillment of the obligations under the Derivatives Contracts, T+N Trades.
Fiduciary Account Holderis an entity which provides assets to ensure fulfillment and/or fulfill the obligations of the Clearing Members and performs other functions in conformity with the Clearing Rules.
Loan Agreement of the Clearing Centre is a securities loan agreement concluded by the Clearing Centre with the Clearing Member as specified herein to fulfill the obligations of the Clearing Centre under T+N trades.
Profit is funds corresponding to any dividends, interests, profit, or other allocation for securities that are subjects of repo trades concluded with the Clearing Centre or trades of purchase/sale of securities concluded with the Clearing Centre in the Standard market sector of CJSC SE MICEX.
Debt is a Margin Call of the Clearing Member accounted with the Settlement Firm and unfulfilled after application of the procedure of forced position closure against the Clearing Member in accordance with the Clearing Rules and after use in compliance with the Clearing Rules of the foreign currency and securities that are the Guarantee Collateral Funds of the Clearing Member.
Law on Clearingis Federal Law No.7-FL “On Clearing and Clearing Activities” dated 2011/02/07.
Login is a username (login) that is a unique designation unambiguously identifying the Clearing Member or the Clearing Centre, containing a unique personal identifier, and assigned to the Clearing Member / Clearing Centre for access to the Clearing System.
Execution of the Derivatives Contract / executionis cessation, including by proper fulfillment, of the following obligation(s) under the Derivatives Contract specified by the Derivatives Contract Specification:
· for the deliverable Futures Contract - delivery obligations;
· for the non-deliverable Futures Contract - settlement obligations;
· for the deliverable Option Contract whose underlying asset is the Futures Contract - obligation on conclusion of the Futures Contract set out in the specification of such Option Contract;
· for the deliverable Option Contract whose underlying asset is not the Futures Contract - delivery obligations;
· for the non-deliverable Option Contract whose underlying asset is not the Futures Contract - settlement obligations.
Client of the Clearing Member is a legal entity or a private individual registered by the Clearing Centre as a client of the Clearing Member. The Client of the Clearing Member may be both a client of the Clearing Member and a client of the broker including of any foreign legal entity or manager that is a client of the Clearing Member.
Clearing System is a set of software and hardware tools, databases, telecommunication facilities, other equipment, and software of the Clearing Centre intended for clearing activities in conformity with the Clearing Rules.
Clearing Centre is CJSC JSCB National Clearing Centre being a clearing organization and acting under the Law on Clearing.
Liquidity ratio is a used, upon calculation of the Trading Limit, minimum admissible value of ratio of the funds in Russian roubles which are the Guarantee Collateral Funds with the Settlement Firm, to the total amount of all Guarantee Collateral Funds of such Settlement Firm, expressed in Russian roubles.
Limit of Trade Price Fluctuations is a value used to limit prices of concluded trades and calculate the basic amount of the Guarantee Collateral for the Futures Contract / security.
Margin Call is a requirement of the Clearing Centre to the Clearing Member on the collateral for the obligations under the Derivatives Contracts and T+N Trades concluded by the Clearing Centre with the Clearing Member made in the procedure and in the cases defined herein.
Non-Resident is a non-resident legal entity pursuant to the law of the Russian Federation on Currency Regulation and Currency Control.
Funds / Securities Net Obligation is obligations of the Clearing Member on payment / transfer of securities under all trades of the clearing pools of the settlement clearing session, the obligations under which are not ceased as a result of netting during clearing in accordance with the Clearing Rules, specified for the trading depot account of the spot / settlement monetary register of the Clearing Member.
Funds / Securities Net Claim is claims of the Clearing Member on payment / transfer of securities under all trades of the clearing pools of the settlement clearing session, the obligations under which are not ceased as a result of netting during clearing in accordance with the Clearing Rules, specified for the trading depot account of the spot / settlement monetary register of the Clearing Member.
Passwordis a unique sequence of random letters, numerals, and (or) other symbols used to authenticate the Clearing Member / Clearing Centre and assigned to the Clearing Member / Clearing Centre for access to the Clearing System.