New instrument with negative prices

Dear Derivatives market clients,

On the November 2nd 2020, 19:00 Moscow Time, new instruments with negative prices will be implemented for T1 test environment, specifically futures contracts for Brent.

On the November 5th 2020 negative prices will also be implemented for T0 test environment. Negative prices for Brent futures contracts will be translated at the following schedule:

• 5.11.2020: Intermediate clearing session – negative prices will be set as available for Brent futures contracts (it is already set in production, this is for the participants who want to see how it happens online)
• 5.11.2020: Evening clearing session – the settlement price will be set as 11$ manually. This will show a case for price changing to value which will require using Bachelier model
• 6.11.2020: Intermediate clearing session – switching to Bachelier model
• 6.11.2020: After intermediate clearing session ends – manual extension for limits to negative values
• 6.11.2020: After evening clearing session ends – the futures will be available for trading with negative price values"