Маржинальное кредитование получит новое регулирование

Маржинальное кредитование получит новое регулирование

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Банк России обновляет нормативную базу для сделок, совершаемых с заемными средствами. Теперь в регулируемую область войдут сделки, совершаемые не только на фондовом, но и на срочном и валютном рынках. Таким образом, становится возможным расчет рисков по «портфельному» принципу, что приведет к снижению их стоимости. Новое регулирование приведет к экономии средств клиентов. На брокеров же, напротив, ляжет дополнительная нагрузка, связанная с усилением надзорных требований.

Банк России собирается ввести новое регулирование сделок с плечом (маржинальные сделки; совершаются клиентом с заемными средствами брокера). Проект указания «О требованиях к осуществлению брокерской деятельности при совершении отдельных сделок за счет клиентов…» опубликован вчера на сайте Банка России. «Торговля с плечом и производные финансовые инструменты… позволяют увеличить доходность вложенного капитала, однако в таком же объеме могут увеличиться и риски,— говорится в преамбуле к документу.— Неосторожное обращение с такими инструментами может привести не только к потере вложенных средств, но и к появлению долгов у инвестора за короткий промежуток времени». Поэтому, указывается в тексте проекта, маржинальные требования являются одним из приоритетных направлений регулирования посреднической деятельности на финансовом рынке.

Основная идея документа, указывает глава Национальной ассоциации участников фондового рынка (НАУФОР) Алексей Тимофеев, состоит в унификации правил игры для сделок с плечом на всех рынках — фондовом, валютном и срочном (в части фьючерсов). Ранее регулирование затрагивало только сделки с ценными бумагами. «Это в полной мере соответствует существующей тенденции объединять инструменты разных рынков в одном клиентском портфеле на едином брокерском счете»,— говорит он. При этом расчет обеспечения по таким портфелям производится не в полной мере корректно. Ведь профучастники вынужденно (ориентируясь на текущее регулирование) не учитывают хеджирующий эффект фьючерсов, влияние валютного риска при работе с иностранными ценными бумагами или валютными фьючерсными договорами и т. д.

Для расчета риска по всему клиентскому портфелю одновременно Банк России вводит так называемый норматив покрытия риска (НПР) — значение, характеризующее состояние клиентской позиции в зависимости от стоимости его портфеля и размера начальной (НПР1) или минимальной (НПР2) маржи. Причем при уменьшении значения НПР2 ниже нуля брокер должен предпринять действия, направленные на закрытие позиций клиента. «Нормативы в таком виде регулятором введены, очевидно, для удобства учета позиций клиентов на разных рынках, порядок же действий брокера в целом не меняется»,— поясняет заместитель гендиректора по взаимодействию с органами власти и общественными организациями ИК «Открытие Брокер» Андрей Салащенко. Кроме того, по его словам, можно говорить о новой попытке Банка России реализовать идею снижения риска по встречным позициям зависимых финансовых инструментов. «Заложенная в действующем акте концепция коррелирующих множеств фактически не работает — брокеры предложенный регулятором механизм практически не используют. Новый подход дает возможность не требовать излишнее обеспечение с клиентов»,— добавляет он.

Кроме того, указывает руководитель направления «Интернет-трейдинг для российских клиентов» ФГ БКС Андрей Яцков, документ позволяет использовать для оценки некоторых инструментов (например, евробондов и некоторых иностранных валют) котировки, публикуемые в информационных системах Bloomberg и Thomson Reuters. «Ранее эти инструменты оценивались только по ценам сделок, совершаемых на биржах, притом что на внебиржевых рынках эти инструменты имеют большую ликвидность. Это ограничивало их применение в маржинальном кредитовании»,— поясняет он. Также, по его словам, у брокеров, работающих на нескольких рынках в разных временных зонах, появляется возможность самостоятельно выбирать время, в которое осуществляется риск-менеджмент,— исходя из наибольшей ликвидности для каждого из этих рынков.

Указание содержит и дополнительные надзорные требования, которые лягут на брокерскую индустрию. Необходимо будет вести журнал норматива покрытия риска, то есть когда стоимость портфеля клиента в зависимости от риска уходила ниже нуля. Кроме того, появляются требования к хранению информации — брокерам нужно будет фиксировать минимальные значения нормативов, время снижения и время восстановления норматива выше установленного уровня. Вместе с тем, по словам господина Салащенко, предложенные в проекте требования к объему хранимой информации предстоит еще обсудить с Банком России. «Навскидку кажется, что отдельные элементы не несут сущностной составляющей для целей надзора со стороны регулятора или СРО и могут стать просто информацией, хранимой «на всякий случай»»,— резюмирует он.

Источник: kommersant.ru

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