Settlement of equity futures on T+2 market
- Executing deliverable futures with T+2
Equity futures will be settled via T+2 trades executed on MICEX SE’s Main Market from June 2014. T+2 trades will be executed automatically (no orders required) during a special morning session (until 9:30 am MSK) on the trading day following the futures’ last trading day. Thus, the settlement day will no longer be the last trading day.
The last trading day and settlement day for June 2014 single stock futures will be 16 June 2014 and 17 June 2014, respectively. For more detail, see the press release.
T+2 trades are executed for every futures position recorded in every position register section (a seven-digit code in SPECTRA). The trades have settlement code Y2 and exchange trade status. Information on the trades is shown in the equity market’s ASTS gateway and the market reports. Technical trades to close futures positions will still be shown in the f04.csv and fut_deal.csv derivatives market reports.
To prepare for delivery, clearing members are asked to send the following forms to the National Clearing Centre (NCC) in advance via the EDI system*:
Form 1Mandatory informationThe NCC will assign every Brokerage Firm an ID (FirmID) and a Trading-and-Clearing Account (TCA) to be used for executing T+2 trades to settle futures. The account type (proprietary, client, or trust management) must correspond to the Brokerage Firm type.Form 2Additional information (given at the clearing member’s discretion)The NCC will link the codes of clients registered in the ASTS trading system, to every position register section registered in the SPECTRA trading system. If a client code is not linked (or is linked incorrectly) with a position register section , then T+2 trades will be executed with no client code indicated. For these trades, the “notes” field (“примечание”) of the equity market trade register will show the position register section number (the seven digit code in SPECTRA).Form 3Mandatory informationThe NCC will assign so called “favoured” TCA (proprietary, client, or trust management) to every derivatives market clearing member. These accounts will be used if the Brokerage Firm does not have assigned TCA.
*the forms and starting acceptance date will be announced soon. The exchange will endeavour to take into account brokerages’ wishes regarding the account fixing procedure, which was announced in mid April 2014.
If a T+2 trade is not executed during the special session due to a TCA not being assigned to the relevant Brokerage Firm, clearing member may assigned the corresponding clearing members’ TCA to that Brokerage Firm until 3:00 pm MSK to settle the futures. If the clearing member fails to assign clearing members’ TCA by 3:00 pm MSK, the T+2 trade is to be executed with a “favoured” TCA of the relevant type (proprietary, client, or trust management). If the T+2 trade cannot be executed with the “favoured” TCA (it has not been indicated or has been indicated incorrectly), the clearing member is considered to in default with regard to that Brokerage Firm, and a penalty is charged in the amount of initial margin posted for the relevant contract.
As T+2 trades are executed without the Unified limit being monitored in the ASTS, the Unified limit is calculated as per a standard algorithm after T+2 trades are executed.
If a T+2 trade does not result in a negative Unified limit, the ASTS sends a futures settlement message to SPECTRA which, in turn, closes relevant positions in the contracts and releases initial margin blocked for them.
If a T+2 trade results in a negative Unified limit, then the futures positions are not closed and the initial margin in SPECTRA is not released on any position register sections of all Brokerage Firms which are allocated to TCA with this negative Unified limit.
The equity market clearing member is given a margin call to be fulfilled in the usual way by 5:30 pm MSK on the futures settlement day. If the margin call was fulfilled, then the positions are closed and the initial margin is released immediately after the Unified limit in the ASTS turns positive.
If the margin call is not fulfilled, then the standard procedure for mandatory position closing on the T+2 market is applied.
If the mandatory clearing procedure results in a debt in RUB in the ASTS, the debt is to be redeemed in the usual way. The individual clearing collateral posted on the equity market is used to clear this debt.
After the debt is redeemed, on the T+2 market, the positions in the futures are closed out and the initial margin in SPECTRA is released.