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QUARTERLY NEWSLETTER Q4 / 2014
Introduction
Dear Reader
Welcome to the first edition of our SIX Repo Ltd. Quarterly
Newsletter.
Our aim is to provide you with market data, participant views and
information about our platform, our participants and our team.
Additional topics may be added in the future and please feel free to
share any input you may have.
Market Data
CH Repo & OTC Market: Daily Average Outstanding
Volume Q4 in Bn CHF
Overall Interbank Market
30.7 29.3
CHF EUR USD GBP
8.4 12.3 8.1 0.5
0
5
10
15
CHF EUR USD GBP
Currency converted into CHF in Mio
Index
> Introduction 1
> Market Data 1
> SNB Basket Evolution 2015 2
> New SIX Repo AG Basket 2
> Impact of current environment 3
> The new trading platform 3
> Participant Profile 7
> The SIX REPO Team 7
> New participants joining SIX CH Repo &
OTC Spot Market 8
> Tips & Tricks 9
> Upcoming Events / Conferences /
Trainings 10
> Contact 11
2
SNB Basket Evolution 2015 New SIX Repo AG Basket
Due to the exclusion of L2a* and non HQLA eligible
assets from the SNB Baskets, we have created a new
SIX Repo AG Basket.
The basket is called Repo of SIX Additional
General Collateral (ROSAGC) and will contain over
300 securities that were excluded from the SNB-repo
universe.
The basket will be available on the repo trading
platform from 1 January 2015 on.
Therefore from 1 January 2015 on the following
baskets will be available on the Repo of SIX platform:
• SNB GC
• L1
• L2a
• L1 CHF
• L2a CHF
• Repo of SIX Additional General Collateral
(ROSAGC)
• Repo of SIX CH M EQUI SMI (ROSSMI)
• Repo of SIX DE M EQUI DAX (ROSDAX)
Disclaimer: <<SIX Repo AG reserves the right to re-
define eligibility criteria at a later stage>>
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Impact of current environment In order to share with you some feedback in regards
of the impact of the current environment, we
interviewed one of our participants.
Mr. Aldo Andenmatten, a repo trader of SIX SIS, was
happy to answer some questions addressed to him:
What are the main reasons your company uses
the platform Repo of SIX: We use the platform to
manage our companies’ liquidity.
What impact does the current environment have
on you: The current low or negative interest
environment has led to a reduced volume of repo
trades and narrowed down the currencies in which
trades are done. Further due to the implementation of
“Risk Management” measures, the choice of possible
trading parties has been reduced significantly. When
executing trades approved counterparty and currency
limits have to be taken into account as well.
What functionalities would you appreciate being
available on the new platform: The possibility to
have a collateral and limit overview would ease the
daily handling drastically.
The new trading platform
RTP 2 the new trading system of SIX Repo:
During the SIX Roadshow events, held in January
2014, participants were made aware of the
development of the Swiss Money Market that will take
place in several phases. With the launch of the new
CH Repo and OTC Spot markets of SIX on 2 May
2014 the first phase has been successfully
implemented. Phase 2 foresees a major new release
of the Repo trading platform (Repo Trading Platform
2 – RTP2) to replace the current trading platform and
its associated applications. The new software will
reduce time-to-market for new trading segments and
models and will facilitate the integration of additional
markets. The current trading platform has been in
operation since 1999. SIX is now launching a new
state of the art trading platform as one of the major
steps in developing the future Swiss money markets.
SIX Security Services’ current SECOM Tri-Party
service will be extended to include a more
functionally-rich SECOM Tri-Party Agent (TPA). SIS
Web Services (SWS) and WebMAX will also be
enriched to include several enhanced collateral
functionalities and queries. The new platform is
scheduled to go into Membertest in April 2015 and to
go live in production in Q3 2015.
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Further additional information was provided during
the SIX Repo Roadshows held in several locations
throughout Europe during the months of November
and December 2014. You can download the full
presentation from our website www.six-repo.com -->
Info Center --> Downloads or by clicking on the
following link: Repo of SIX - Roadshow Presentation
Find enclosed further information in regards of the
new trading platform and a preview of the future
interface:
What is new:
5
Collateral Overview and Management: Due to the
regulatory and market environment the ability to track
the available collateral real time becomes more and
more important. This includes not only collateral used
for the SIX Repo business, but as well collateral
within a participants own (nostro) book or used for
different transactions.
One of the findings from a survey conducted among
the participants during some of the SIX Repo
Roadshows held in November 2014, is the need for a
solution that offers a simple collateral overview and
management functionalities. And that further allows
users to customize the collateral underlying of repo
trades.
Therefore our aim is to provide this functionalities to
our participants in the future. So participants have an
overview of their collateral holdings and are able to
manage their limits, as correct limit management is
becoming more and more important as well
Limit Management: Often participants face multiple
limitations. For example a nominal amount limit with a
specific counterparty, or a collateral limit in a certain
underlying or issuers. Cross-currency restrictions may
apply as well. These limitations are usually outlined
by the company’s L&C and/or Risk Management
units, based on external and internal legal and risk
frameworks.
Therefore not only a pure collateral overview function
is required, but as well as a functionality that allows
platform users to check their limit exposure at a
glance. Enabling them to execute trades within a
short timeframe, without having to interact with other
internal departments first that provide them with the
required data.
Cash provider can accept a hit quote directly as they
know their current collateral and limit exposure versus
the counterparty.
Cash takers always know what collateral is still
available and which nominal engagements are
currently outstanding with a counterparty.
6
A glimpse into the future :
(layout may differ from final version)
7
Participant Profile
Name: René Schwyzer
Company: LGT Bank AG, Vaduz
Job Title: Senior Trader Money Market / Repo
What is your function at LGT Bank AG, Vaduz:
My main task is the balance sheet management. This
includes the usage of all relevant instruments to fulfill
all of the internal and external regulations. As the
“main” Repo trader within LGT, I am also responsible
for the collateral management related to the repo
transactions. Furthermore we do provide our interest
rate curve within our institution, give advice to the
front desk and handle all their costumer orders. Last
but not least I am member of the A&L Committee of
LGT Bank AG, Vaduz.
What part of your job is the most challenging /
interesting:
I think at the moment these two adjectives go hand in
hand. The two most challenging but also interesting
tasks at the moment are to profitably manage the
balance sheet in a zero rate environment and to keep
an overview over all the new regulations.
The SIX REPO Team
Name: Nerin Demir
Company: SIX Repo AG
Job Title: Head SIX Repo AG
What is your function at SIX Repo AG:
Together with my team I am setting up the company
and I am in charge of positioning the company in our
market.
What part of your job is the most challenging /
interesting:
Being innovative in order to deliver the right products
with either new or enhanced facilities to ensure that
our traders and participants can focus on their main
business. Knowing that they can rely on an efficient
and riskless/risk minimizing solution that is fully
embedded into the Swiss Value Chain. By providing
them with a state-of-the-art platform and modern
infrastructure.
8
Name: Mathias Gisler
Company: SIX Repo AG
Job Title: Deputy Head Market Operations
What is your function at SIX Repo AG:
I am in charge of supervising all activities on the SIX
Repo trading platform and handle all related tasks in
co-operation with my team colleagues. Furthermore I
administrate over 150 participants.
What part of your job is the most challenging /
interesting:
Client requests usually cover several areas of our
markets. This allows me to work across functions and
therefore learn and benefit from the knowledge of my
team members while enhancing my own skill set. This
allows me to continuously improve our service to
clients.
New participants joining SIX
CH Repo & OTC Spot Market
- Bank Thalwil Genossenschaft, Switzerland
- Pictet & Cie (Europe) SA, Luxembourg
We welcome the new participants and wish them a
successful trading start on our platform.
Please find the current SIX Repo AG - List of
participants for CHF Repo and OTC Spot
SIX Repo AG - List of Participants
9
Tips & Tricks
7.1 Notifications
Missed an addressed offer, indication of interest or
auction? Do not worry anymore, with your
personalized notifications it will not happen again. Set
them up in your trading GUI by selecting workspace
and choosing settings. In the new window you will
find the different options and futures under
notifications.
7.2 Auto Take
If lack of time is an issue for you, why wasting more
of it then? Turn the auto take function on. This will
automatically generate a trade, as soon as one of
your quotes is hit by a participant. You will no longer
have to accept the addressed offer that is normally
generated once one of your quotes is hit by a
counterparty. As quotes entered in the CH Repo
Market are binding, every addressed offer must be
accepted, therefore with the auto take function
enabled, you save precious time. The following print
screens show how to turn on the auto take function.
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7.3 Participant list enhanced with phone numbers
Do you have an urgent issue with one of your
counterparties and do not know how to get in touch
with them? Look up our contact list, which is
exclusively published for participants of the SIX Repo
Markets. Please see below how to find the participant
list.
Upcoming Events /
Conferences / Trainings
- SIX Repo Get together, Zürich, date tbd
- GSF Summit 2015, Luxembourg,
28 and 29 January 2015
- SIX Repo Training & Exam, Zürich,
21 January 2015
- Swiss Securities Finance and Liquidity
Management Forum III (Global ISF)
5 February 2015
- SIX Repo Training & Exam, Zürich,
18 February 2015
- SIX Repo Training & Exam, Zürich,
18 March 2015
