Trading Modes
The “REPO with the Bank of Russia: REPO Auction” and “REPO with the Bank of Russia: Fixed Rate” trading modes provide the possibility to make trades with the Bank of Russia.
Special Features of “REPO with the Bank of Russia: REPO Auction” and “REPO with the Bank of Russia: Fixed Rate” Trading Modes:
- Trading takes place between the Bank of Russia and traders that are lending organizations, acting on their behalf and their account, with which the Bank of Russia has executed the necessary agreements.
- Trades with the Bank of Russia are concluded on the basis of targeted REPO bids submitted by traders in the course of trading in one of the mentioned trading modes.
- The conditions for making REPO trades with the Bank of Russia are specified by the MICEX SE CJSC on the basis of letters from the Bank of Russia. In addition to the list of securities with which REPO trading with the Bank of Russia is possible, the following potential details of bids are specified: REPO period, acceptable settlement codes, initial and minimum limits, maximum discount value limit (on each issue) depending on the REPO period, maximum acceptable volume of a bid on one REPO rate, minimum REPO rate (in the “REPO with the Bank of Russia: REPO Auction” trading mode), REPO fixed rate (in the “REPO with the Bank of Russia: fixed rate” trading mode).
- When submitting a targeted REPO bid, the fixed reimbursement rate is not indicated.
When submitting targeted bids for making trades with the Bank of Russia, the following potential settlement codes and REPO periods have been established:
| REPO Period | Settlement Codes | |
|---|---|---|
| “REPO with the Bank of Russia: REPO Auction” | “REPO with the Bank of Russia: Fixed Rate” | |
| 1 (3 days for Friday) | S0, Rb, Z0 | S0, Rb, Z0 |
| 7 | S1 | S0, Rb, Z0 |
When submitting targeted bids for making trades with the Bank of Russia, the following minimum rates in the “REPO with the Bank of Russia: REPO Auction” trading mode have been established:
| REPO Period | Minimum REPO Rate in the “REPO with the Bank of Russia: REPO Auction” Trading Mode | REPO Rate in the “REPO with the Bank of Russia: Fixed Fate” Trading Mode |
|---|---|---|
| 1 (3 days for Friday) | 8,5% | 10,5% |
| 7 | 9% | 10,5% |
| 90 | 10,25% | Not available |
| 180 | 10,75% | Not available |
| 360–365 | 11,25% | 11,25% |
Trading schedule:
- Each Monday:
| Event | Start Time | End Time | |
|---|---|---|---|
| 1 | Collecting bids for REPO auction with a 1 day period | 11:00 | 11:15 |
| Satisfying bids (making trades at auction on bids to be satisfied) submitted to REPO Auction | 11:45 | 13:00 | |
| 2 | Acceptance of bids and making fixed rate REPO trades with a 1 day period | 12:30 | 14:45 |
| 3 | Collecting bids for REPO Auction with a 1 day period | 15:00 | 15:15 |
| Satisfying bids (making trades at auction on bids to be satisfied) submitted to REPO Auction | 15:45 | 17:00 | |
| 4 | Acceptance of bids and making fixed rate REPO trades with a 1 day period | 16:00 | 17:30 |
- Each Tuesday:
| Event | Start Time | End Time | |
|---|---|---|---|
| 1 | Collecting bids for REPO auction with a 1 day period | 11:00 | 11:15 |
| Satisfying bids (making trades at auction on bids to be satisfied) submitted to REPO Auction | 11:30 | 12:55 | |
| 2 | Collecting bids for REPO Auction with a 7 day period | 13:00 | 13:15 |
| Satisfying bids (making deals at the auction by bids subject to be satisfied, submitted to REPO Auction | 13:30 | 14:30 | |
| 3 | Acceptance of bids and making fixed rate REPO trades with a 1 day period | 14:00 | 14:45 |
| 4 | Collecting bids for REPO Auction with a 1 day period | 15:00 | 15:15 |
| Satisfying bids (making trades at auction on bids to be satisfied) submitted to REPO Auction | 15:30 | 17:00 | |
| 5 | Acceptance of bids and making fixed rate REPO trades with a 1 day period | 16:00 | 17:30 |
- Each Wednesday, Thursday
| Event | Start Time | End Time | |
|---|---|---|---|
| 1 | Collecting bids for REPO auction with a 1 day period | 11:00 | 11:15 |
| Satisfying bids (making trades at auction on bids to be satisfied) submitted to REPO Auction | 11:30 | 12:55 | |
| 2 | Acceptance of bids and making fixed rate REPO trades with a 1 day period | 12:30 | 14:45 |
| 3 | Collecting bids for REPO Auction with a 1 day period | 15:00 | 15:15 |
| Satisfying bids (making trades at auction on bids to be satisfied) submitted to REPO Auction | 15:30 | 17:00 | |
| 4 | Acceptance of bids and making fixed rate REPO trades with a 1 day period | 16:00 | 17:30 |
- Each Friday:
| Event | Start Time | End Time | |
|---|---|---|---|
| 1 | Collecting bids for REPO auction with a 3 day period | 11:00 | 11:15 |
| Satisfying bids (making trades at auction on bids to be satisfied) submitted to REPO Auction | 11:30 | 12:55 | |
| 2 | Acceptance of bids and making fixed rate REPO trades with a 3 day period | 12:30 | 14:45 |
| 3 | Collecting bids for REPO Auction with a 3 day period | 15:00 | 15:15 |
| Satisfying bids (making trades at auction on bids to be satisfied) submitted to REPO Auction | 15:30 | 17:00 | |
| 4 | Acceptance of bids and making fixed rate REPO trades with a 3 day period | 16:00 | 17:30 |
If the execution date of the second part of a REPO trade with the Bank of Russia in the “REPO with the Bank of Russia: REPO Auction” and “REPO with the Bank of Russia: Fixed Rate” trading modes falls on a weekend or holiday, the REPO period is established by the resolution of Director General as the actual number of calendar days between the execution date of the first part of the REPO deal and the date of the trading day following the day off or holiday that falls on the execution date of the second part of the REPO deal.
On some days the MICEX SE CJSC can establish a different schedule for REPO auctions and REPO operations with the Bank of Russia at a fixed rate and can specify different REPO periods from the ones mentioned above.
Please note that operations in the “REPO with the Bank of Russia: REPO Auction” and “REPO with the Bank of Russia: Fixed Rate” trading modes cannot be made from a firm manager’s workstation running on a version lower than 3.20.
Discounts and List of Securities Admitted to REPO Operations with the Bank of Russia in the MICEX SE CJSC (In Russian)
