Mutualised Default Fund

Transcription

1 Mutualised Default Fund User Guide 13 9 Nvember 2018 Versin 1.0

2 CONTENTS 1. Intrductin Dcument Purpse Intended Audience Dcument Histry Mutualised Default Fund Overview Create Functins Cash Payment Cash Release Query Functins Ttal Payments Ttal Cntributin Cntributin Calls... 8 DISCLAIMER: THE INFORMATION CONTAINED IN THIS DOCUMENT IS A GUIDE ONLY. ALL PARTICIPANTS ON ANY NZX MARKET MUST COMPLY WITH THE RELEVANT RULES, AND THIS DOCUMENT IS NOT A SUBSTITUTE FOR THOSE RULES. NZX CLEARING WILL DETERMINE, IN ITS SOLE DISCRETION, WHETHER ANY PARTICIPANT OR POTENTIAL PARTICIPANT MEETS THE REQUISITE CRITERIA TO BECOME AND REMAIN A PARTICIPANT. THOSE WISHING EITHER TO TRADE IN ANY PRODUCTS AVAILABLE AT NZX OR TO OFFER AND SELL THEM TO OTHERS SHOULD CONSIDER BOTH THEIR LEGAL AND REGULATORY POSITION, INCLUDING THE RELEVANT RULES, AND THE RISKS ASSOCIATED WITH SUCH PRODUCTS BEFORE DOING SO. NO PART OF THIS PUBLICATION MAY BE REDISTRIBUTED OR REPRODUCED IN ANY FORM OR BY ANY MEANS OR USED TO MAKE ANY DERIVATIVE WORK WITHOUT WRITTEN PERMISSION FROM NZX CLEARING. NZX CLEARING (INCLUDING ITS PARENT COMPANY DIRECTORS, OFFICERS, EMPLOYEES AND CONTRACTORS) SHALL NOT BE LIABLE (EXCEPT TO THE EXTENT REQUIRED BY LAW) FOR THE USE OF THE INFORMATION CONTAINED HEREIN HOWEVER ARISING IN ANY CIRCUMSTANCES CONNECTED WITH ACTUAL TRADING OR OTHERWISE. NZX CLEARING IS NOT RESPONSIBLE FOR ANY ERRORS OR OMISSIONS CONTAINED IN THIS PUBLICATION. THIS PUBLICATION IS FOR INFORMATION ONLY AND DOES NOT CONSTITUTE AN OFFER, SOLICITATION OR RECOMMENDATION TO ACQUIRE OR DISPOSE OF ANY INVESTMENT OR TO ENGAGE IN ANY OTHER TRANSACTION. ALL INFORMATION, DESCRIPTIONS, EXAMPLES AND CALCULATIONS CONTAINED IN THIS PUBLICATION ARE FOR GUIDANCE PURPOSES ONLY, AND SHOULD NOT BE TREATED AS DEFINITIVE. MUTUALISED DEFAULT FUND 2 f 8

3 1. Intrductin 1.1 Dcument Purpse This dcument is intended t prvide day-t-day guidance fr derivatives Clearing Participants with regard t the prcess required fr the submissin and release f Mutualised Default Fund cntributins. Fr general risk management prcedures please see the Risk Management User Guide dated 22 May Althugh this dcument may refer t rules and prcedures, it des nt define the bligatins f a Participant. These are cvered in the Clearing and Settlement Rules and Prcedures, and the Depsitry Rules and Prcedures. 1.2 Intended Audience This dcument is intended fr use by Clearing & Settlement Participants. 1.3 Dcument Histry Versin Date Nature f Amendment First Final Versin MUTUALISED DEFAULT FUND 3 f 8

4 2. Mutualised Default Fund Overview NZX Clearing (NZC) has a mutualised default fund (default fund) applicable t the derivatives market and its Clearing Participants. This default fund requires cntributins frm all derivatives Clearing Participants. Cntributins are ntified t Clearing Participants and are based n the calculatins as set ut in the Clearing and Settlement Rules and Prcedures, and the Mutualised Default Fund Plicy (default fund plicy), available at These cntributins prvide prtectin t the market and its participants frm the impact f a derivatives Clearing Participant default. Payments fr cntributins must be prvided in NZD cash r USD cash nly. The payments fr the default fund must then be submitted in the TCS BaNCS system, in a similar fashin t cllateral. The Clearing mdule within the TCS BaNCS system allws users t perfrm the fllwing functins in relatin t default fund payments: Create Query Cash Payment Cash Release Ttal Payment Ttal Cntributin Cntributin Calls MUTUALISED DEFAULT FUND 4 f 8

5 3. Create Functins 3.1 Cash Payment Users wanting t submit a default fund payment must d this by using the Create Cash Cllateral screen. Payments can be created thrugh the Clearing Mdule as fllws: 1) Select Clearing frm the Main Menu Bar 2) Select Cllateral Management frm the Menu Bar 3) Select Cllateral Depsits Cash frm the Menu Bar 4) Select the Create -> Cash Cllateral ptin frm the Menu Bar t bring up the Cash Cllateral Depsit screen 5) Enter the details as required then click n the Create buttn Cash Cllateral Depsit Screen Field Name Descriptin Exchange/Surce Market Segment BP ID A/c N Enter XNZE00000 Select Exchange Trades Select Default Enter yur BPID Enter the assciated cash accunt number n which the Default Fund Cntributin is impsed Segregatin Type Select Huse 1 Amunt Purpse 1) Chse the currency, either NZD r USD 2) Enter value f payment 2 Select Derivatives Clearing Table 1 1. Default fund cntributins are always impsed n a Clearing Participant s huse accunt as per the default fund plicy 2. Funds cntributins are given in NZD. USD payments are re-valued daily based n the current BaNCS exchange rate MUTUALISED DEFAULT FUND 5 f 8

6 3.2 Cash Release The Request fr Release functinality allws Clearing Participants t create a request fr a refund f surplus cntributins held by NZX Clearing. Once the request has been created, it will sit in Pending Cnfirmatin status until the End Of Day (EOD) batch runs. The request des nt need t be authrised by the Clearing Participant after it has been created. Clearing Participants can submit a request t withdraw excess cntributins at any time by cmpleting a Cllateral Release request in BaNCS. Release requests submitted will be prcessed in the EOD batch, as per the current prcess fr derivatives clearing cllateral management. Creating Cash Release Request Cash release requests are created in the Clearing mdule as fllws: 1) Select Clearing frm the Main Menu Bar 2) Select Cllateral Management frm the Menu Bar 3) Select Cllateral Release Cash frm the Menu Bar 4) Select the Create -> Cash Release ptin frm the Menu Bar t bring up the Cash Cllateral Release screen 5) Enter details as required and then click n the Create buttn Cash Release screen The release request can be queried as fllws: 1) Select Clearing frm the Main Menu Bar 2) Select Cllateral Management frm the Menu Bar 3) Select Cllateral Release Cash frm the Menu Bar 4) Select the Query -> Cash Release ptin frm the Menu Bar t bring up the Query Cllateral Release screen 5) Enter details as required then click n the Search buttn MUTUALISED DEFAULT FUND 6 f 8

7 4. Query Functins 4.1 Ttal Payments This query shws the details f the blcked, free, and ttal value f payments t the default fund. Details f the ttal payments can be queried in the Clearing mdule as fllws: 1) Select Clearing frm the Main Menu Bar 2) Select Cllateral Management frm the Menu Bar 3) Select Cllateral Valuatin Ttal Cllateral frm the Menu Bar 4) Select the Query -> Ttal Cllateral ptin frm the Menu Bar t bring up the Ttal Cllateral screen 5) Enter the details as required then click n the Search buttn 3 3. The Cllateral Grup ID fr the default fund cntributins is DEFAULTFUND Query Ttal Cllateral screen 4.2 Ttal Cntributin This query shws the default fund cntributin bligatin fr a Clearing Participant. Ttal Cntributin can be queried in the Clearing mdule as fllws: 1) Select Clearing frm the Main Menu Bar 2) Select Margining frm the Menu Bar 3) Select Cash Clearing Ttal Margin frm the Menu Bar 4) Select the Query -> Ttal Margin ptin frm the Menu Bar t being up the Ttal Margin screen 5) Enter details as required then click n the Search buttn Ttal Margin screen Fr details t be entered int the fields please see the Table 1 f this dcument. MUTUALISED DEFAULT FUND 7 f 8

8 4.3 Cntributin Calls This query allws a Clearing Participant t check if there are any default fund cntributin shrtfalls t be fulfilled. This is in additin t the ntices prvided t Clearing Participants f any cntributin calculatins. Cntributin Calls can be queried in the Clearing mdule as fllws: 1) Select the Clearing frm the Main Menu Bar 2) Select Margining frm the Menu Bar 3) Select the Query -> Margin Calls ptins frm the Menu Bar t bring up the Margin Calls screen 4) Enter details as required then click n the Search buttn 4 4. The Cllateral Grup ID fr the default fund cntributins is DEFAULTFUND Margin Calls screen With respect t the default fund cntributins, a Clearing Participant must fulfil any default fund cntributin, as per the ntice ed t the Clearing Participant. MUTUALISED DEFAULT FUND 8 f 8