Parameters of the Derivatives market
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 | ||||
|---|---|---|---|---|---|---|
| 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 |
| 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 |
| 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 |
| 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 |
| 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 | all settlement days in the quarter cycle |
| Eu | EUR/RUB exchange rate futures | the fourth 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 |
| OFZ2 | Two-year Russian Federation government bonds | the second settlement day in the quarter cycle |
| OFZ4 | Four-year Russian Federation government bonds | the second settlement day in the quarter cycle |
| OFZ6 | Six-year Russian Federation government bonds | the second settlement day in the quarter cycle |
| OF10 | Ten-year Russian Federation government bonds | the second settlement day in the quarter cycle |
| OF15 | Fifteen-year Russian Federation government bonds | 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 | Two-year Russian Federation government bonds futures | Nearby Russian Federation bonds futures contract * |
| Four-year Russian Federation government bonds futures | ||
| Six-year Russian Federation government bonds futures | ||
| Ten-year Russian Federation government bonds futures | ||
| Fifteen-year Russian Federation government bonds futures | ||
| 3 | BRENT Oil futures | BRENT Oil futures contracts and Light Sweet Crude Oil futures in the inter-month spread (see the table above)* |
| Light Sweet Crude Oil futures |
*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 КТ>КТ-1*(1+R), then КТ=КТ-1*(1+R)
if КТ<КТ-1*(1-R), then КТ=КТ-1*(1-R),
where
КТ – the Rate used to calculate the minimum price tick on the current trading day T;
КТ-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.