T+3: re-shaping the microstructure of Russian stock market

Transcription

1 T+3: re-shaping the microstructure of Russian stock market

2 MICEX-RTS Securities Market Overview Cash equity turnover (US$bn) SPOT REPO I II III IV I II III IV I II III IV Fixed Income turnover (US$bn) 1 SPOT REPO I II III IV I II III IV I II III IV Key facts about MICEX-RTS Securities Market Highly liquid Russian Blue Chips 2nd and 3rd tier stocks (traded only on MICEX-RTS) Exchange-traded Fixed Income Instruments and Government bonds (OFZ) Trading hours: 10:00-23:50 Number of members: Number of global members 3 : 35 2 (1) MICEX-RTS Data (2) As of (3) Subsidiaries of global banks 2

3 MICEX-RTS: The platform to trade Russian securities All three markets allow creation of unique trading strategies Cash Equities Portfolio margining Single cash account CCP Derivatives platform one of top10 derivatives markets by turnover worldwide Currency & Money Market Derivatives Arbitrage in Cash Equities and Derivatives Currency risk hedging Market risk hedging via derivative contracts 3

4 T+n Project Overview Market sector Main market Market sector Main market Project goal A revamped approach by securities trading on the main market, with partial order collateral and T+3 settlement Liquid shares «Т0» Market Sector Standard Liquid shares «T+3» Terms of settlement Trading hours Central counterparty Clearing house T+3 10:00-19:00 (main trading session) Delivery at 17:00 19:00-23:50 (evening trading session) CCP NCC on equities market Single cash position within «T0», «T+3», «FORTS» segments Online portfolio margining within «T+3» and «FORTS» segments 4

5 Instruments & Markets in T+n First stage 35 * Liquid stocks of Russian companies and RDRs - TOP 35 Foreign securities Second stage 60* Liquid stocks of Russian companies and RDRs - TOP 50 Foreign securities Government bonds Third stage 75* Liquid stocks of Russian companies and RDRs - TOP 50 Government bonds and marketable bonds of Russian issuers - TOP 15 Foreign securities * - number of issuers Securities Market deals Negotiated deals Repo deals Stocks TOP-35 ССР T+ 3 partial collateral ССР partial collateral T+0, T+1,, T+3 Without CCP Current Practice ССР partial collateral 2 «REPO order books» (1 and 7 days), First part Т+0 «Direct REPO» (up to Т+7) Without CCP Current Practice Other securities ССР T0 Without CCP T+0,, T+3 Without CCP Т+1,, Т % collateral 100% collateral Direct REPO 5

6 The Guarantee System Guarantee Fund collective fund: contributions to the guarantee fund will be determined on the basis of the markets in which the participant operates and/or the size of their open positions* For example: to operate in 1 market: 10 million rubles to operate in 2 markets and if the size of the total position is X: 20 million rubles to operate in 2 markets and if the size of the total position is Y: 30 million rubles The insurance fund is funded by the clearing organization The liability of the CCP is limited. In case of insufficiency of funds, exchange issues margin calls proportionately, in order to cover liabilities Priority of resource use in case of default of a clearing member Defaulting member s collateral Defaulting member s contribution to Guarantee Fund Reserve Fund Guarantee Fund * - contribution amounts are currently not determined and will be specified later 6

7 Clearing Participants: Expected Stages of Development now 600 clearing members 600 trading participants next stage 200 clearing members* 200 trading participants* * - participants of«т+n» market There are certain prerequisites for the development of market participants new business models Market participants decide on their own whether to obtain clearing member status Qualification criteria must be met in order to obtain clearing member status A two-level clearing membership system will be implemented after the introduction of expected regulatory changes 7

8 Default Management Failure to settle a trade ( default on delivery obligations ) On the appropriate settlement day, all trades will be closed by way of settlement Unsettled obligations (positions) are rolled over to the next day by means of repo trades Before the rollover, unsettled obligations are netted off. The broker handles defaults on delivery obligations at the client level The mandatory liquidation of positions is initiated by the clearing entity after the maximum allowed rollover term (5 days) is exceeded The Central Counterparty performs obligations to bona-fide clearing participants using its own cash and securities (a dedicated liquidity pool) and through executing repo trades with the so-called donors The CCP s position resulting from performance of obligations to bona-fide participants will be closed out through buyin, or sell-out transactions The broker may be provided with information regarding the default in the following context: Trading & Clearing Segment (TCS)/client/share Failure to meet a margin call In order to reduce the collateral requirement, mandatory liquidation of positions is carried out on the basis of a liquidation application submitted by the defaulting party 8

9 Benefits of T+3 Launch Single cash position in all market segments Unique opportunity to enter into three liquid markets (Securities market, FX, Derivatives market) via single entry point Single cash position within «T0», «T+3», «FORTS» segments Partial collateral Market participants can use cash, including foreign currency, and eligible securities as collateral Assets locked as collateral can be used for delivery Ability to implement new complex strategies Arbitrage strategies Currency hedge trading in rubles is not a problem Increase liquidity New foreign investors (Buy-Side) Increased trading volumes 9

10 Securities market infrastructure Central Counterparty (CCP) in all Securities market segments Main delivery standard true DVP 3* Ensuring compliance of the NSD with requirements for Central Depository and Rule 17f-7 under the 1940 Act Clearing infrastructure in line with international standards Easy market access via Russian-based brokers including subsidiaries of Global Banks * True DVP (Delivery Versus Payment) type 3 settlement system with transfer of both securities and funds occurring at the end of the processing cycle. 10

11 THANK YOU! 11

12 Disclaimer This presentation has been prepared and issued by Open Joint Stock Company "MICEX-RTS" (the Company ). Unless otherwise stated, the Company is the source for all data contained in this document. Such data is provided as at the date of this document and is subject to change without notice. This document does not constitute or form part of, and should not be construed as, an offer or invitation for the sale or subscription of, or a solicitation of any offer to buy or subscribe for, any securities, nor shall it or any part of it or the fact of its distribution form the basis of, or be relied on in connection with, any offer, contract, commitment or investment decision relating thereto, nor does it constitute a recommendation regarding the securities of the Company. The information in this document has not been independently verified. No representation or warranty, express or implied, is made as to, and no reliance should be placed on, the fairness, accuracy or completeness of the information or opinions contained herein. None of the Company, or any of its subsidiaries or affiliates or any of such person's directors, officers or employees, advisers or other representatives, accepts any liability whatsoever (whether in negligence or otherwise) arising, directly or indirectly, from the use of this document or otherwise arising in connection therewith. This presentation includes forward-looking statements. All statements other than statements of historical fact included in this presentation, including, without limitation, those regarding our financial position, business strategy, management plans and objectives for future operations are forwardlooking statements. These forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause our actual results, performance, achievements or industry results to be materially different from those expressed or implied by these forward-looking statements. These forward-looking statements are based on numerous assumptions regarding our present and future business strategies and the environment in which we expect to operate in the future. Important factors that could cause our actual results, performance, achievements or industry results to differ materially from those in the forward-looking statements include, among other factors: perception of market services offered by the Company and its subsidiaries; volatility (a) of the Russian economy and the securities market and (b) sectors with a high level of competition that the Company and its subsidiaries operate; changes in (a) domestic and international legislation and tax regulation and (b) state policies related to financial markets and securities markets; competition increase from new players on the Russian market; the ability to keep pace with rapid changes in science and technology environment, including the ability to use advanced features that are popular with the Company's and its subsidiaries' customers; the ability to maintain continuity of the process of introduction of new competitive products and services, while keeping the competitiveness; the ability to attract new customers on the domestic market and in foreign jurisdictions; the ability to increase the offer of products in foreign jurisdictions. Forward-looking statements speak only as of the date of this presentation and we expressly disclaim any obligation or undertaking to release any update of, or revisions to, any forward-looking statements in this presentation as a result of any change in our expectations or any change in events, conditions or circumstances on which these forward-looking statements are based. 12