Moscow Exchange, or Moskovskaya Birzha MMVB-RTS PAO (MCX:MOEX), the biggest Russian venue for trading shares, FX and derivatives, today announces that a new risk transfer functionality between Derivatives and FX markets is available for testing.
The planned date for the production release is June 27, 2016.
Risk transfer between Derivatives and FX markets:
In SPECTRA TCS two technical instruments EURRUB_RSK and USDRUB_RSK are implemented, which can be used for risk management.
The lot size for technical instruments is 1000.
In ASTS system serving FX market corresponding instruments are added to the RSKC board.
In SPECTRA Clearing System each Broker firm is assigned with a specific Clearing code registered in FX market Trading System.
If the Trading Participant needs to amend their limit on the FX market, the Participant (Broker firm) must place a special FutTransferRisk transaction via CGate interface or SPECTRA terminal. In this transaction participant should specify clearing register, instrument and amount of transferring position.
After placing an order to FX market, the Trading System creates address order to NCC as the counterparty, then the order passes standard risk management procedures, and if the funds are sufficient, the order is filled and the balance is recalculated. The transaction is accounted at the current central rate and margin transfers are not charged.
In SPECTRA TCS the technical transaction is created for risk transfer instrument, which will be visible through API interfaces in the “deals” table having nosystem=1 flag, however this trade will not be displayed in your reports.
The position opened for such transaction cannot expire; it can be closed by the opposite transaction with the same instrument.
You can view the official announcement from MOEX by clicking here.