Bistech Project Phase II *** Takasbank Derivatives Clearing

Transcription

1 Bistech Project Phase II *** Takasbank Derivatives Clearing Necla İ. Küçükçolak

2 Agenda Clearing & Settlement Operations Membership Account Structure Users and Authorization Collateral deposit/withdraw Trade and position handling Account portability Clearing & Settlement Process Default Procedure Reports and file formats 2

3 Membership 3

4 Membership Types General Clearing Member(GCM) Direct Clearing Member (DCM) Non-Clearing Member (NCM) General Clearing (GCM) and Non-Clearing Member (NCM) will be in use along with Direct Clearing Membership. Within the scope of the agreement between NCM-GCM, NCM will be defined as trading institution while GCM is defined as Clearing Member. «Trading» accounts of NCM member will be opened by GCM which is defined as «Clearing Member» while defining NCM. A new field will be added for GCM member to enter 3 digit NCM code in MKK account opening menu.

5 Account Structure 5

6 Account Structure Equity DCM, GCM Derivatives DCM, GCM NCM Client Derivatives Trading Margin Collateral Position

7 Account Types-I Trading Accounts: Only trades can be executed. Trading Accounts can t hold position and collateral, they need to be propagated to a clearing account. Position Accounts: Position accounts can t trade and can t hold collaterals. They shall be propagated to a margin & collateral account Trading & Position Accounts: Positions related to executed trades take place under the same account. TPAs can not hold collateral and shall be propagated to a margin & collateral account. Account type can be market marker or omnibus. Margin & Collateral Accounts: Position accounts and trade & position accounts will be propagated to MCAs. Position & Margin & Collateral Accounts: Trading accounts will be propagated to PMC accounts. Trade & Position & Margin & Collateral Accounts: For TPMC Accounts, account propagation is not needed. Account type can be market marker or omnibus. 7

8 Account Types-II For derivatives market; margin calculation, margin requirement and collateral accounts are not seperated, all of these functions are included in margin&collateral accounts, position&margin&collateral accounts and trading&position&margin&collateral accounts. For the physical delivery of equity futures and option contracts, member based and separated for portfolio and client, «delivery» type settlement accounts are created and associated with Equity Market Settlement Pool. PTRM executes account control in order entry. In case of any out of control transaction occures; Positions will take place in «defaccclient» and «defacchouse» accounts which are defined seperately for client and house. In case of missing/wrong defined default accounts; DA accounts,which are defined for each member, will be used and this accounts shall be monitored intraday in order to transfer position to the valid account before AB transactions. 8

9 Account Creation Members (DCM,GCM) can create accounts by matching the account information sent by MKK with account templates created in central database (CDB). 3 major templates are defined in terms of account authorization (1) Allowed for trading only (TA) (2) Position,margin and collateral holding(pmc) (3) Trading, position, margin and collateral holding(tpmc) Account templates in terms of account properties House account, Client account, Market Maker Account Omnibus Account are created combined with the authorizations above. For derivatives market, «DE-»prefix will be added after the account message sent by MKK. 9

10 Account Type-I İşlem&Pozisyon&Margin&Teminat Hesapları 10

11 Account Type-II 11

12 Users and Authorization

13 Users and Authorization Users can be authorized on account basis by the member in the new system. User s menu authorization can be customized. Clearing Workstation «authorized» user can define account and menu based limits for other users and also can change user passwords. On brokerage house s request, market based authorized users can be defined and a user can be defined as authorized for more than one market. I. Users defined in Phase I can be defined for Phase II. II. For Phase II, it is possible to create project-based authorized users in accordance with the request of brokerage houses. Then, with the member requests user type matrix will be created and with this matrix account types that are requested by brokerage houses can be defined to the system. III. Matrix will be generated for authorized users (900) and with the request of member, users will be authorized for one or all markets. 13

14 Member Screens BISTECH Clearing Workstation BISTECH Menu Reports, Account-Fund Propagation, Primary - sub account propagation for omnibus accounts etc. 14

15 Collateral Deposit-Withdraw Transactions

16 Collateral Deposit-Withdrawal Transactions-I Collateral deposit-withdrawal transactions will be executed; From member screens (BISTECH Clearing Workstation) and From Takasbank screens on behalf of members (CO- Clearing Office). It will also be possible to deposit- withdraw collateral via file upload. Simulate Margin: Members will be able to calculate pretrade margin requirement via BISTECH CW. 16

17 Collateral deposit-withdrawal transactions-ii 17

18 Trade and Position Handling 18

19 Rectify Trade/ Annul trade Trade rectify will be executed by member users via BISTECH Clearing Workstation. Account numbers can be corrected. Trade annul will be executed by Takasbank/Borsa. Trade will be annulled with confirmation of counterparty. 19

20 Rectify Trade 20

21 Annul Trade 21

22 Omnibus Account For Omnibus accounts, it will be possible to off-set the orders which are entered without choosing offset by mistake. Sub-account propagation and Omnibus account position reporting to Takasbank will be executed via BISTECH Integration menus. 22

23 Give-up & Take-up - I In BISTECH, position transfer to another member will be performed in 2 different ways. Account Propagation= Automatic Give up (Current) Post Trade In order to perform Give-up, Take-up member shall confirm transaction. NCM will be able to monitor its own trades but positions will take place automatically in GCM. (Account propagation) It will be possible to perform give-up between DCM and GCM. 23

24 Give-up & Take-up - II : NCM-GCM Clearing member is defined for NCM. GCM executes Trade and Clearing Account Propagation using New Account menu. Trades can be monitored by NCM account. Position and margin can be monitored by GCM 24

25 Give-up & Take-up III: Post-Trade 25

26 Exercise Option Exercise quantity is entered using Exercise Request (Position) screen. Positions to be exercised can be choosen using Account Position menu. Intraday exercise requests can be monitored using Pending Exercise Screen. 26

27 Account Portability

28 Portability Process Account transfer with position and collateral can now be executed by members using BISTECH CW and position & collateral transfers will also need to be confirmed by receiving member. After receiving member s confirmation, Takasbank will execute the transfer. - It will be possible to transfer all types of cash and security. Investor id check will be performed during transfer. This function also can be used in case of a defaulting member transfer to back-up member. 28

29 Settlement Process

30 General Settlement Principles Profit/Losses will be reflected to collateral accounts at the same time. Profit receivables will not be blocked due to Margin call. Clearing information (MtM ve Option premium debt/receivable) and fees will take place under same menu. Temporary Profit/Loss will not be monitored from Clearing information menu, it will be monitored from Margin Reports. Members will be able to calculate clearing fees before executing transactions. 30

31 Equity Futures and Option Physical Delivery For equity futures and option contracts, physical delivery will take place on T+2 day as in Equity Market. Physically delivered contracts will create equity settlement positions and physical delivery will be performed with the same settlement batch with Equity Market. Same settlement pool account will be used with Equity Market. Efficient cash and security use with the possibility of netting the obligations arising from both markets. 31

32 Equity Physical Delivery- Same Settlement Pool with Equity 32

33 Physical Delivery for Underlyings Other Than Stock In case of Takasbank provides CCP services to related spot market and VIOP; Physical delivery will have same functions as Equity. In case Takasbank does not provide CCP service to the spot market; For EWR, Gold etc. underlying assets o Physical delivery debt/receivables and collateral will be on account basis in VİOP, o Settlement will be executed under related custody institution. 33

34 After Hours Trading (AHT) After Hours Trading is planning for the derivatives contracts excluding equity contracts. During AHT, T+1 day value transactions will be executed; settlement of these transactions will perform next business day. Rectify trade, annul trade, give-up, exercise option functions etc. shall not be perfomed between Normal Session and Night Batch. 34

35 Default Procedure

36 Collateral Deficiency Penalty Fee T+1 15:00 Margin call default penalty procedure is applied to accounts which don t fulfill their margin call obligation until T+1 day 15:00. As the obligations arising from margin call fulfilled, account will be able to continue trading. Default penalty fee is calculated. 36

37 Physical Delivery Default Transactions - Equity T+2 16:30 - EWR T+5 17:00 - Gold T+1 12:00 37

38 Back-up Member Each end-client can define a back-up member and back-up accounts against the default risk of the member. In case of a default of its member, client s position and collaterals shall be transferred to pre-defined back-up member s account automatically. 38

39 Reports and File Formats

40 Report and file formats Bistech CW: limited reporting function BISTECH Integration Menu: Most of the reports for members will be generated by Takasbank. In case of a amendement in the related fields, members shall be needed to make amendements. 40

41 Thank You + (90) tat@takasbank.com.tr

42 Bistech Projesi Phase II *** TAKASBANK Risk and Collateral Management Niyazi Burak Akan

43 Infrastructure regarding with the business rules Regarding the risk and collateral management at VİOP, business rules and all parameters are determined by taking into account the Capital Markets Law and; internal regulations best practices CPMI-IOSCO principles EMIR arrangements and technical documents related to central counterparties. Determining the business rules, the purpose of being qualified CCP and ESMA recognition process are considered. 43

44 Risk Management

45 Risk Management System-I There will be real-time* risk management system at Derivatives Market. Risk management system is held at 2 parts as pre-trade and post-trade which also consists of 3 levels as pre-order, at-trade and post-trade. PRE-TRADE RISK MANAGEMENT POST-TRADE RISK MANAGEMENT PRE-TRADE RISK MANAGEMENT AT-TRADE RISK MANAGEMENT *Near real time TRADE Adequacy of collateral is checked by taking into consideration the occurrence probability of the order sent. In case that there is collateral deficit, the order will not be transmitted to the order book. For collateral deficit cases, position increasing orders will not be sent. X Margin calculations are made at the time when the orders match and turn to the positions. Meanwhile, real time portfolio based margin which replicates the posttrade risk management logic (SPAN) will be calculated.(< 1 d) In case that there is collateral deficit, position increasing trades will not be held. Risk and collateral valuation will be made at specified times by taking into account the positions, collaterals and prices related to them simultaneously. (Risk and collateral batches) Delta hedge methodology, consistent with the SPAN results, will be used in calculations. The adequacy of total available collateral and minimum cashonay requirement will be checked at the post-trade risk management calculations. In case that there is collateral deficit, intraday margin call will be made. (90 min/120 min) 45

46 Risk Management System-I (Example) Data: F_BIST30XX PSR= TL OPEN ORDER COEFFICIENT= % 10 PTRM SCALING:% 75 TOTAL POSITION AT ABC ACCOUNT=0 PRE-ORDER RISK MANAGEMENT PRE-TRADE RISK MANAGEMENT AT-TRADE RISK MANAGEMENT (ATL) AT-TRADE RISK MANAGEMENT (RTM) POST-TRADE RISK MANAGEMENT 9:35 Buy Order 1 F_BIST30XX 9:40 ORDER MATCHES F_BIST30XX 10:00 BATCH TIME 9:35 MR ABC= 1.000/10 TL 9:40 MR ABC= 0 TL 10:00 MR ABC= 0 TL 9:35 MR ABC= 0 TL 9:40 MR ABC= 750 TL 10:00 MR ABC= 750 TL 9:35 MR ABC= 0 TL 9:40 MR ABC= 750 TL 10:00 MR ABC= 750 TL 9:35 (NO BATCH) MR ABC= 0 TL ONAY 9:40 (NO BATCH) MR ABC= 0 TL 10:15 MR ABC= TL 46

47 Risk Management System-II 9:10-17:45 REAL TIME RISK MANAGEMENT Pre-trade risk management: There will be no minimum cash requirement rule. 9:10 9:30 10:00 10:30 17:45 BATCH BATCH BATCH.. Risk and margin batches (post-trade risk management): Margin will be calculated with delta hedge (span) and power delta hedge* methods. In models; announced parameters as amount will be used by excluding electricity contracts. Parameters will be announced as percentage (%) for electricity contracts and these parameters will be used. Monitoring the results will be possible on the clearing workstation. Calculation steps: The price, position and margin information will be received on xx:xx time. Margin and available collateral amounts will be calculated. Minimum cash requirement will be calculated. Intraday margin call will be made for the accounts with collateral deficit (cash and/or total). There will be margin-collateral balance check after 90 or 120** minutes for the accounts with intraday margin call. *Using for electricity contracts. Details will be shared in the coming period. Electricity contracts risk values will be announced as percentage (%). **Business rule is not clear

48 Risk Management System-III 9:10-17:45 DAY T 9:10-17:45 DAY T+1 15:00 9:10 CUT OFF 17:45 21:00 MC TIME 15:00 9:10 CUT OFF 17:45 21:00 MC TIME Margin Requirement between batches=a Batch Margin Requirement=B GENERAL RULE 1 ENDOFDAY RISK VALUE =< COLLATERAL GENERAL RULE 2 - A < B< C EndofDay Margin Requirement=C END OF DAY MARGIN REQUIREMENT=RECEIVED COLLATERALS FOR ORDER+MARGIN REQUIREMENT AS BASIS OF PORTFOLIO (DH(SPAN)+PDH) 48

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50 Collateral Management

51 Collateral Management-I Collateral management will be done by Takasbank. Collateral deposit/withdraw transactions will be executed via the new user interface (Clearing Workstation). Interest earnings of cash collaterals will be transferred to the clients collateral accounts. Interest earnings won t be transferred to the accounts who don t want to take any interest revenue. Collateral Valuation Haircuts will be applied to the assets that are accepted as collateral. Composition limits will be applied to the asset types that are accepted as collateral. Collaterals above the defined composition limits for related asset type won t be valued as collateral. The application of minimum cash requirement on margin and default fund requirements will be continuing. Collateral valuation framework is changed. Composition limits will be applied to the total received (haircutted) collateral value instead of margin requirement. Example: Assume that a collateral account linked to a position account has TRY cash collateral and FX collateral (USD) whose haircutted value equals to TRY In case of the minimum cash requirement is 50%, what should be the total valuated collateral amount in this collateral account? Currently, Total valuated collateral amount = Cash TRY TRY (FX) = BISTECH - Total valuated collateral amount = Cash TRY TRY (FX) =

52 BISTECH Current Business Rule Collateral Management-II Guarantee fund allocation methodology has been modified. In BISTECH system, member contributions will be calculated over the average market share in the analysis period instead of maximum market share in the analysis period. Guarantee Fund Size max(member with the largest exposure, Member with the second largest exposure + Member with the third largest exposure) T-365 T-90 T Guarantee Fund Size max(member with the largest exposure, Member with the second largest exposure + Member with the third largest exposure) Max. market share T-365 T-XXX* T *Business rule is not clear. Average market share 52 52

53 Thank You + (90) mkt@takasbank.com.tr