Settlement of futures on baskets of Russian Federation government bonds

 

Time (all times are trading days) Actions
Before the start of the evening clearing session on the day T (last trading day of the contract)

Before the start of the evening clearing session of the last trading day of the Contract the FORTS Clearing participant shall provide to the Clearing Center the information on the Trading member"s (Clearing participant"s) ID applied in the Main Market Sector of the Securities Market of CJSC "MICEX Stock Exchange" and Brief code of the Trading member"s Client required to conclude an indirect trade in the Bonds in the Trading system of CJSC "MICEX Stock Exchange" in the Trading mode "Settlement of derivatives contracts".

The Clearing participant provides the above-mentioned information either when he opens a new clearing register section or later on by submitting the corresponding application (the standard application form is established by the Clearing Center and published on the website ).

During the evening clearing session on the day T

A Clearing participant who has failed to provide the information in the manner and within the timeframe set forth in the Specifications shall be deemed the defaulting party under the Contract. The futures position of the defaulting party and the opposite position shall be liquidated.

A party to a Contract deemed as a defaulting party shall pay a fine in the amount of the Initial margin size determined during the evening clearing session of the last trading day of a Contract which shall be paid to a fair party to the Contract.

Not later than within 20 minutes after the end of the evening clearing session on the day T The Clearing Center shall send Clearing participants a Futures contract obligations report .
Not later than within 50 minutes after the end of the evening clearing session on the day T The Seller shall submit to the Clearing center information on the Bonds issue which is later used during performance of delivery obligations. The specified information shall be provided in the form of a Report on delivered issues (Appendix 1 to the Specifications).

A Clearing participant who has not submitted the to the Clearing center the information on the Bonds issue within the required period of time shall be treated as a defaulting Party to the Contract. This Clearing participant"s position in the Contract as well as the opposite position shall be liquidated.

The Party to the Contract who has defaulted the Contract shall pay the other Party a fine in the amount of the Initial margin determined during the evening clearing session of the last trading day of the Contract which shall be paid to a fair party to the Contract.

Liquidations of positions in the Contract and the fine payment/transfer shall be performed during the evening clearing session of Contract settlement day.

Not later than within 2 hours after the end of the evening clearing session on the day T The Clearing Center runs and submits a Delivery report (Appendix 2 to the Specifications) to the Clearing participants.
The Clearing center publishes in the internet at moex.com the Delivery price for each Bond issue determined in accordance with the Appendix 3 to the Specifications.
During the trading periods on the day T:
10:00:00 - 13:59:58
14:00:00 - 14:59:58
15:00:00 - 15:59:58

Buyers and Sellers shall secure the input of delivery orders implying buying and selling Bonds in the CJSC "MICEX Stock Exchange" trading system in the Trading mode "Settlement of derivatives contracts" by the Trading Member on behalf of the Client (or on its own behalf) and maintenance thereof in the in the CJSC "MICEX Stock Exchange" trading system in each trading period.

Each Delivery order shall be input on the following terms:

  • ID of the Trading Member entering this order, client"s brief code on behalf of which the order is entered, Bonds issue registration number and the number of Bonds are specified in accordance with the Delivery report;
  • the settlement code shall be stated as "T0";
  • the order price (the Delivery price) shall be set pursuant to requirements set forth by the Appendix 3 to the Specifications.
After the execution of the Trade for Delivery based on the Order for Delivery entered by a Trading member or
after the end of the trading period of the Trading mode "Settlement of derivatives contracts"
The Trading Member"s obligations to maintain the order for delivery shall be terminated.
During the evening clearing session on the day T+1

Preliminary results of the delivery are sum up: the fine is debited should the obligations to enter and maintain Order/Orders for delivery were not fulfilled in full.

The fine is credited should the obligations to enter and maintain Order/Orders for delivery were fulfilled fully, but trades were not executed subsequent upon such Order/Orders.

Should trades were executed subsequent upon the Orders for delivery, Delivery obligations regarding relevant positions shall be cancelled, the positions in the fulfilled obligations shall be annulled, the initial margin amount posted for relevant positions shall be released.

  Should Delivery obligations were not fulfilled in full on the day T+1, the Clearing Center shall calculate remaining Delivery obligations that have to be fulfilled on the day T+2 and send the Delivery report one more time.
During the trading periods on the day Т+2:
10:00:00 - 13:59:58
14:00:00 - 14:59:58
15:00:00 - 15:59:58
Similar to the day Т+1

Clearing participants whose Delivery obligations were not fulfilled in full on the day T+1, shall secure the input of delivery orders implying buying and selling Bonds in the CJSC "MICEX Stock Exchange" trading system in the Trading mode "Settlement of derivatives contracts" by the Trading Member on behalf of the Client (or on its own behalf) and maintenance thereof in the in the CJSC "MICEX Stock Exchange" trading system in each trading period.

Parameters of such Orders shall be derived from relevant Delivery report.

Similar to the day Т+1

During the evening clearing session on the day Т+2 Analysis of the Delivery obligations performance, termination of the Delivery obligations, liquidation of relevant positions in Contracts, debiting/crediting the penalty in the amount of the initial margin from/to the defaulting Clearing participant/fair Clearing participant.