Parameters of the Derivatives market

Special risk parameter application calendar (pdf, 210 Kb)

The procedure for calculation of the Variation Margin (pdf, 22 Kb)

Interest rates used for pricing of illiquid futures

Parameters for establishing the settlement price of futures contracts

Underlying asset	Expected Date	Expected cash flow, CF (Underlying asset)

Minimum IM rates and concentration limits on Derivatives market

	Futures contracts	IM rates*			Concentration limits, in units of underlying asset
	Futures contracts	1st level	2nd level	3rd level	1st level	2nd level
Indices
Shares
Currency
Bonds
Rates
Commodities

* % of the contract value
** For those contracts the basic size of initial margin in rubles is greater than indicated one as the current US dollar exchange rate is applied to calculate variation margin and initial margin.

Futures inter-month spreads

The rules for excluding futures from the inter-month spread shortly before the expiration

Underlying	Futures contract	Maximum futures spread dates*
LKOH	Futures on LUKoil Holdings ordinary shares	the second settlement day in the quarter cycle
GAZR	Futures on Gazprom ordinary shares	the second settlement day in the quarter cycle
SBRF	Futures on Sberbank ordinary shares	the second settlement day in the quarter cycle
SBPR	Futures on Sberbank preferred shares	the second settlement day in the quarter cycle
ROSN	Futures on Rosneft ordinary shares	the second settlement day in the quarter cycle
VTBR	Futures on VTB Bank ordinary shares	the second settlement day in the quarter cycle
YNDF	Futures contract on Yandex N.V. ordinary shares	the second settlement day in the quarter cycle
ED	EUR/USD FX futures	the second settlement day in the quarter cycle
GOLD	Gold futures	the second settlement day in the quarter cycle
SILV	Silver futures	the second settlement day in the quarter cycle
PLT	Platinum futures	the second settlement day in the quarter cycle
BR	BRENT oil futures	the second settlement day in the month cycle
CL	Light Sweet Crude Oil	the second settlement day in the month cycle
RTS	RTS Index futures	the forth settlement day in the quarter cycle
RTSM	RTS Index Futures (mini)	the second settlement day in the quarter cycle
MIX	MOEX Index futures	the second settlement day in the quarter cycle
MXI	MOEX Index futures (mini)	the second settlement day in the quarter cycle
Si	USD/RUB exchange rate futures	the fourth settlement day in the quarter cycle
Eu	EUR/RUB exchange rate futures	the fourth settlement day in the quarter cycle
CNY	CNY/RUB exchange rate futures	the first settlement day in the quarter cycle
GBPU	GBP/USD exchange rate futures	the second settlement day in the quarter cycle
AUDU	AUD/USD exchange rate futures	the second settlement day in the quarter cycle
UJPY	JPY/USD exchange rate futures	the second settlement day in the quarter cycle
RUON	RUONIA rate	the twelfth settlement day in the month cycle
1MFR	RUSFAR rate	the twelfth settlement day in the month cycle
1MDR	RUSFARUSD rate	the twelfth settlement day in the month cycle

*all futures with settlement day prior to mentioned date are included into the spread

Futures inter-contract spreads

Inter-contract spread group	Contracts eligible for inter-month spreads	Futures spread date
1	RTS Index futures	RTS Index futures contracts in the inter-month spread (see the table above), MOEX Index futures and MOEX Index futures (mini) contracts in the inter-month spread (see the table above)*
	MOEX Index futures (mini)
	MOEX Index futures
2	BRENT Oil futures	BRENT Oil futures contracts and Light Sweet Crude Oil futures in the inter-month spread (see the table above)*
2	Light Sweet Crude Oil futures
3	Futures on EUR/RUB Exchange Rate	EUR/RUB futures contracts and USD/RUB futures in the inter-month spread (see the table above)*
3	Futures on USD/RUB Exchange Rate
4	Futures on CNY/RUB Exchange Rate and daily futures contract with automatic prolongation on CNY/RUB	CNY/RUB futures contracts in the inter-month spread (see the table above)* and daily futures contract with automatic prolongation on CNY/RUB

*spread coefficient is deacreasing during the life of the contract according to the schedule which is published at Moscow exchange web-site before the beginning of each month

Limits of the indicative USD/RUB exchange rate deviation

CCP NCC has established the following limits of the indicative USD/RUB exchange rate deviation that are determined as per the Methodology for calculation of the indicative USD/RUB exchange rate used to determine obligations under derivatives contracts (the Rate):

if К_Т>К_Т_-1*(1+R), then К_Т=К_Т_-1*(1+R)
if К_Т<К_Т_-1*(1-R), then К_Т=К_Т_-1*(1-R),

where

К_Т – the Rate used to calculate the minimum price tick on the current trading day T;
К_Т_-1 – the Rate used to calculate the minimum price tick during the evening clearing session on previous trading day Т-1;

For USD/RUB and EUR/RUB currency pairs the following exchange rate deviation is applied:

R = 2*MR1

where

MR1 – the minimum size of initial margin set for the underlying assets;

Exchange rate deviation applied to other currency pairs:

Currency pair	Exchange rate deviation
JPY/RUB	8%
CHF/RUB	8%
CAD/RUB	30%
TRY/RUB	30%
CNY/RUB	10%
UAH/RUB	20%

In case values for determining R are not available, R shall be deemed equal to 0.1 (one tenth).

Limitation of a trade size for delivering Russian Federation government bonds under relevant futures contract

Maximum trade size allowed is 400,000 bonds.

Parameters of restriction in new orders declaration for Settlement account

Value of coefficient Pr_coeffsc, which restricts declaration of new orders for a Settlement account, equals 10.

Instruments with the ability to trade negative prices (for options – negative strikes)

Underlying asset	Code	Futures contract	Futures-style option
Light Sweet Crude Oil	CL	Futures on Light Sweet Crude Oil	Futures-style option on Light Sweet Crude Oil
Natural Gas	NG	Futures on Natural Gas
Brent oil	BR	Futures on Brent oil	Futures-style option on Brent oil