OFZ futures open interest exceeds RUB11.4 billion

On May 23, 2013 a record open interest in futures on Russian Federation government bonds basket was shown by the Moscow Exchange's Derivatives market. By the end of the main trading session open interest volume exceeded 1.1 million contracts or RUB11.4 billion in value. The previous record was seen on April 30, 2013 when the open interest reached RUB10.09 billion.

The futures contract on the Russian Federation government bonds (OFZ) provides a number of benefits which are especially valuable during periods of instability on the debt market. The contract's price is linked with the liquid OFZs. To open a position, a trading member is not obliged to have the available asset or to deliver it immediately. Usage of the futures on OFZs reduces the risk of the "corner" situation wherein the supply in the security is squeezing, as the delivery takes place once a quarter and investors may choose any securities from the basket that is a convenient way to implement trading strategies by short sellers.

"Over the last few days the global debt markets have demonstrated sharp movements and growth of the market participants' activity. The futures on the OFZ basket allows to response effectively to such moves", said Roman Sulzhyk, the Managing Director of the Derivatives Market at the Moscow Exchange. "The lot size is increasing as the contracts are quoted and liquidity rises. While the regular lot size for the quoted contracts amounts to RUB100 million, this week the market has passed over the significant psychological mark as the trading members executed a trade in the OFZ futures for a RUB1 billion in value. Good quality of market makers' activities allowed members to carry out their ideas with volumes compared with the spot market in a quite effective way and at the lowest costs."

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