RUONIA Futures
Gives an opportunity to exchange the accumulated (for a certain period of time) RUONIA overnight rate into a fixed rate. The financial result is the difference between the fixed rate of the futures and the arithmetic average RUONIA rate for the month.
ABOUT CONTRACT
Futures parameters
| Indicator | RUONIA (calculated by the Bank of Russia based on the "overnight" transactions among banks with the lowest credit risk) |
|---|---|
| Quotation | 100 minus the expected average rate RUONIA for a month |
| Nominal value | 1 mln RUB |
| Term | 1 month |
| Settlement price | 100 minus the expected average rate RUONIA for a month |
| Commission per contract | ≈ 3.55 RUB |
| Settlement day | The last trading day of the contract month (M) |
| Start rate accumulation | The last trading day of the previous month (M-1) |
| The number of simultaneously traded contract tenor | 12 monthly contracts |
| Initial Margin | 0,2% of nominal value |
Payments under the contract
- Specifications
- RUONIA monthly inde
- Strategies
Overnight fund loan margin fixing Via the RUONIA futures, the bank can easily change the time structure of its bonds, transferring them from overnight into monthly or longer (up to one year). Thus, if funding is carried out on the interbank loan market with a certain spread to the RUONIA rate, then, selling futures, we interchange the one-day rate into the monthly one. The bank can hence fix its margin on short loans in advance. Fixing the rate of offering When placing free funds on the overnight interbank market a market participant can get rid of the uncertainty about the size of an effective rate he will receive at the end of the month (or another period up to one year). In order to do this, he should buy RUONIA futures - as a result, he will exchange a variable rate into fixed rate for the period. Fixing coupons on federal bonds (OFZs) with variable coupons calculated on the basis of RUONIA On OFZs, which coupon payment is calculated on the basis of the arithmetic average rate of RUONIA for six months, an investor may fix the coupon for a year and a half through buying RUONIA futures (because the coupons value is calculated with a delay of six months). Therefore expecting the lower interest rates bank will be able to get a higher "carry" - the difference between the coupon and the funding rate by hedging variable coupons. Speculative strategies RUONIA futures reflect market expectations regarding the rate dynamics for a year ahead. If investor’s expectations differ greatly from what the market ones, then due to a substantial leverage on contracts he can successfully win back these expectations. For example, the 0.5% difference in rates for six months gives a return on capital of 40% per annum.
TRADES INFORMATION
Current futures prices
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