RUSFAR Futures
Gives an opportunity to exchange the accumulated (for a certain period of time) RUSFAR overnight rate into a fixed rate. The financial result is the difference between the fixed rate of the futures and the arithmetic average RUSFAR rate for the month.
ABOUT CONTRACTS
- Futures parameters
| Indicator | RUSFAR (calculated by MOEX based on trades and orders submitted to the order books for GCC repos with the relevant term) |
|---|---|
| Contract code | 1MFR |
| Quotation | 100 minus the expected average rate RUSFAR for a month |
| Nominal value | 1 mln RUB |
| Term | 1 month |
| Settlement price | 100 minus the expected average rate RUSFAR for a month |
| Commission per contract | Less than 5 RUB per contract |
| 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 tenors | 12 monthly contracts |
| Initial Margin | 0,03% - 0,2 % of nominal value |
- Payments under the contract
- Strategies
| Interest income hedging | If an investor places free funds secured by Clearing Participation Certificates, he may hedge interest income buying a futures. The purchase of futures gives him an opportunity to get a fixed rate on the overnight REPO market. |
|---|---|
| Hedging cost of funding | If an investor borrows funds secured by Clearing Participation Certificates, he may hedge the cost of funding by selling futures. The sell of futures fixes the cost of funding on the overnight REPO market. |
| Carry-trade | Buying a futures an investor has the opportunity to get a premium for the time (carry-trade) – If the yield curve grows up, the fixed rate will be higher than the expected average rate. |
| Speculation on short-term rates | Buying (or selling) futures an investor gets the opportunity to earn on RUSFAR overnight rates fall (or growth). |
| Portfolio hedging | Selling futures with different settlement dates an investor may reduce his portfolio sensitivity to short-term interest rates fluctuation. |
| Spread-trade | RUSFAR futures allows to make a spread-trade between the interbank loan market and the exchange REPO market (that happens when an investor simultaneously buys RUSFAR futures and sells RUONIA futures - or vice versa). |
TRADES INFORMATION
CURRENT FUTURES PRICES
For basic information about a derivatives contract, please click the contract code in the first column