Daily futures contracts on RUB quoted currency pairs with automatic extension

Perpetual Futures (PF) is a new type of Derivatives Market instrument. The main difference from existing contracts is the daily automatic extension until the next day at a swap rate paid daily. The contract can only be withdrawn from the market by the decision of the Exchange.

• This is a futures-style contract
• Variation margin is calculated in RUB
• Variation margin is calculated twice a day, in intraday and end-of-day clearing sessions
• Intraday and end-of-day clearing settlement price is determined based on external data taken from MOEX’s FX Market (at 13:59 and 18:44, respectively)
• If SwapRate > 0, end-of-day clearing variation margin results in the long position holder paying, and the short position holder receiving, SwapRate
• If SwapRate < 0, end-of-day clearing variation margin results in the long position holder receiving, and the short position holder paying, SwapRate

In order to ensure that the price of a futures contract always equals the FX rate of the respective currency with next day settlement as traded on MOEX’s FX Market, the swap rate for the respective currency is taken into account when calculating the variation margin.

• Example 1. Variation margin calculation at intraday and end-of day clearing

  An investor entered into a USDRUBF contract at 78.91 at 13:00 on 12 April. At 13:59, the settlement price of the Contract was determined based on the USDRUB_TOM prices of the FX Market. SP = 78.3625

  Variation margin for the Contract at intraday clearing:

  VMо = (SPc – Pо) * W / R = (78.3625 – 78.91) * 10 / 0.01 = -547.5 roubles.

  As the variation margin < 0, the obligation to pay RUB 547.5 arises for the Buyer.

  
  At 18:00, the weighted average SwapTodTom rate for the day was determined based on the FX Market data. SwapTodTom = 0.0334. At 18:44, the settlement price of the Contract was determined based on the USDRUB_TOM prices of the FX Market. SP = 79.18 Suppose no offsetting trades in the Contract were executed up to evening clearing. The end-of day clearing variation margin will be then calculated according to the formula:
  
  VMт = Round ((SPc – SPp) * W / R – SwapRate * Lot, 2), where
  SwapRate = Round (SwapTodTom / N1 * N2, 4)
  N1 = 1, N2 = 1
  
  SwapRate = Round(0.0334 / 1 * 1, 4) = 0.0334
  VMc = Round ((SPc – SPp) * W / R – SwapRate * Lot, 2) = Round ((79.18 – 78.3625) * * 10 / 0.01 – 0.0334 * 1000, 2) = Round (817.5 – 33.4, 2) = RUB 784.1

  As the variation margin >0, the obligation to pay RUB 784.1 arises for the seller.

• Example 2. Calculation of variation margin when Swaprate is positive/b>

  An investor entered into a USDRUBF contract at 79.18 at 17:10 on 12 April. At 18:00, the weighted average SwapTodTom rate for the day was determined based on the FX Market data. Suppose SwapTodTom = 0.0334. At 18:44, the settlement price of the Contract was determined based on the USDRUB_TOM prices of the FX Market. SP = 79.18. The end-of day clearing variation margin will be calculated according to the formula:
  
  VMо = Round ((SPт – Pо) * W / R – SwapRate* Lot, 2), where
  SwapRate = Round (SwapTodTom / N1 * N2, 4)
  N1= 1, N2= 1
  
  SwapRate = Round (0.0334 / 1 * 1, 4) = 0.0334
  VMc = Round ((SPc – Po) * W / R – SwapRate * Lot, 2) = Round ((79.18 – 79.18) * * 10 / 0.01 – 0.0334 * 1000, 2) = Round (0 – 33.4, 2) = - RUB 33.4

  As the variation margin < 0, the obligation to pay RUB 33.4 arises for the buyer.

• Example 3. Calculation of variation margin when Swaprate is negative

  An investor entered into a USDRUBF contract at 79.18 at 17:10 on 12 April. At 18:00, the weighted average SwapTodTom rate for the day was determined based on the FX Market data. Suppose SwapTodTom = - 0.0334. At 18:44, the settlement price of the Contract was determined based on the USDRUB_TOM prices of the FX Market. SP = 79.18. The end-of day clearing variation margin will be calculated according to the formula:
  
  VMо = Round ((SPт – Pо) * W / R – SwapRate* Lot, 2), where
  SwapRate = Round (SwapTodTom / N1 * N2, 4)
  N1= 1, N2= 1
  
  SwapRate = Round (-0.0334 / 1 * 1, 4) = -0.0334
  VMc = Round ((SPc – Po) * W / R – SwapRate * Lot, 2) = Round ((79.18 – 79.18) * * 10 / 0.01 – (-0.0334 * 1000, 2) = Round (0 + 33.4, 2) = RUB 33.4

  As the variation margin >0, the obligation to pay RUB 33.4 arises for the seller.

• Example 4. Calculation of Thursday variation margin (SwapRate rolls over the weekend)

  An investor entered into a USDRUBF contract at 79.18 at 17:10 on Thursday 7 April. At 18:00, the weighted average SwapTodTom rate for the day was determined based on the FX Market data. Suppose SwapTodTom = 0.0334. At 18:44, the settlement price of the Contract was determined based on the USDRUB_TOM prices of the FX Market. SP = 79.20. The end-of day clearing variation margin will be calculated according to the formula:
  
  VMо = Round ((SPт – Pо) * W / R – SwapRate* Lot, 2), where
  SwapRate = Round (SwapTodTom / N1 * N2, 4)
  N1 = 1, N2 = 1
  
  SwapRate = Round (0.1002 / 1 * 3, 4) = 0.1002
  VMc = Round ((SPc – Po) * W / R – SwapRate * Lot, 2) = Round ((79.20 – 79.18) * 10 / /0.01 – 0.1002 * 1000, 2) = Round (20 – 100.2, 2) = - RUB 80.2.

  As the variation margin < 0, the obligation to pay RUB 80.2 arises for the buyer.

• Example 5. Calculation of Friday variation margin (SwapRate rolls over the weekend)

  An investor entered into a USDRUBF contract at 79.18 at 17:10 on Friday 8 April. At 18:00, the weighted average SwapTodTom rate for the day was determined based on the FX Market data.
  Suppose SwapTodTom = 0.1. At 18:44, the settlement price of the Contract was determined based on the USDRUB_TOM prices of the FX Market. SP = 79.20. The end-of day clearing variation margin will be calculated according to the formula:
  
  VMо = Round ((SPт – Pо) * W / R – SwapRate* Lot, 2), where
  SwapRate = Round (SwapTodTom / N1 * N2, 4)
  N1 = 3, N2 = 1
  
  SwapRate = Round (0.1 / 3 * 1, 4) = 0.0333
  VMc = Round ((VMc – Pо) * W / R – SwapRate * Lot, 2) = Round ((79.20 – 79.18) * 10 / /0.01 – 0.0333 * 1000, 2) = Round (20 – 33.3, 2) = -RUB 13.3

  As the variation margin < 0, the obligation to pay RUB 13.3 arises for the buyer.