Parameters of the Derivatives market

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

Static risk parameters

Parameters for establishing the settlement price of futures contracts

Futures contract Underlying asset's expected cashflow, CF (Fut)

Minimum IM rates and concentration limits on Derivatives market

Futures contracts IM rates* Concentration limits
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 
 

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

*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)
Nearby RTS Standard futures contract,
RTS Standard futures MOEX Index futures and MOEX Index futures (mini) contracts in the inter-month
MOEX Index futures (mini) spread (see the table above)*
MOEX Index futures  
2 Two-year Russian Federation Nearby Russian Federation bonds futures contract *
government bonds futures
Four-year Russian Federation
government bonds futures
Six-year Russian Federation
government bonds futures
Ten-year Russian Federation
government bonds
Fifteen-year Russian Federation
government bonds
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.