General characteristics and parameters of short-term interest rate futures
General characteristics
| Settlement type | Cash-settled |
|---|---|
| Settlement months | March, June, September, December |
| Contract price | In percentage points with an accuracy to at most two decimal places |
| Tick size | 0,01% |
| Last trading day | The 15th of the month (that coincides with the trading day) |
| Settlement date | The 15th of the month (that coincides with the trading day) |
| Trades time | 10.00 – 18.45 and 19.00 – 23.50 |
| Futures on overnight RUONIA rouble rate | Futures on three-months loan rate MosPrime | |
|---|---|---|
| Basic credit volume | 1 mln roubles | 1 mln rouble |
| Min Initial Margin * | Equals to a potential change of present value of 1 million rubles when the average RUONIA rate changes by two limits of price fluctuations before futures settlement | 0,15% of contract value |
| Contract code | RUON-<MM>.<YY> | MOPR-<MM>.<YY> |
| Short contract code in the Trading system | RR<M><Y> | MP<M><Y> |
| Transaction registration | 0,4 RUB | 0,3 RUB |
| Scalping transactions* | 0,2 RUB | 0,15 RUB |
| Outer transactions registration (out of the system) | 0,4 RUB | 0,3 RUB |
| Settlement organisation | 0,4 RUB | 0,3 RUB |
* Opening and closing positions within one trading session.