ARQA Technologies products support new Bank of Russia requirements for broker securities transactions at clients’ expense
ARQA Technologies made a number of improvements in QUIK and QORT software products to bring them in compliance with Bank of Russia Ordinance № 4928-U, dated 8 October 2018, ‘On the Requirements for Brokerage with Regard to Certain Securities Transactions and Derivatives Contracts, Liquidity Criteria of Securities Serving as Collateral for Customers’ Obligations to the Broker Engaged in Such Transactions and Contracts, as well as the Required Ratios of Brokers Engaged in Such Transactions and Contracts’ (became effective from 1 July 2019).
As part of the improvements, a new ‘MD+’ positions keeping scheme was added in QUIK software. When the scheme is used, ‘RCV1’* and ‘RCV2’** client’s margin indicators are calculated for client portfolios. When checking purchasing power of client’s order, the adjusted ‘RCV1’ is checked for its validity.
Other features of the ‘MD+’ scheme include:
- new calculation rules for main client margin indicators, which are now calculated in the base currency,
- risk accounting for future contracts in a client portfolio included in the margin without reserving an amount for payment; new rules for variation margin calculation,
- a possibility to set varieties of instruments linked to a certain underlying asset with risks calculated relative to risk rate of this underlying asset.
The list of QUIK software products supporting the new ‘MD+’ scheme:
Also, in the QORT solutions — midQORT middle-office and backQORT back-office — the improvements were made which allow calculating ‘RCV1’ and ‘RCV2’ margin indicators with the exception of derivative financial instruments accounting in the general portfolio.
The ‘RCV1’ and ‘RCV2’ indicators for portfolios are calculated in real time both on the risk manager’s Workstation and the QORT server. When the indicators’ values cross the zero level, margin calls are generated.
Accordingly, the list of parameters was expanded which can be specified in electronic messages sent to a client or risk manager after margin calls appeared.
During ‘RCV1’ and ‘RCV2’ calculation, their values are recorded on operations accounted in QORT. It is possible to recalculate indicators after processing day data and record intraday values at preset time (for example, when closing trading).
* - a risk coverage value at execution of client orders with a standard or high risk level
** - a risk coverage value at client portfolio price change with a standard or high risk level
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