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Fees of Derivatives Market of the Moscow Exchange

 
 
Overview
 

The following fees are currently payable by trading members:

  • Exchange fee for trading services, which is charged by Moscow Exchange
  • Clearing fee for trading services, which is charged by NCC
  • Clearing fee for settlement of trades, which is charged by NCC
  • Transaction fees
  • Fees for calendar spreads
 
 
Basic rates by contract group by underlying asset type
  Group of contracts Basic
exchange
rate

(BaseFutFee),
%
Basic
clearing
fee

(BaseFutFee),
%
Total
basic
rate

(BaseFutFee),
%
1 FX Contracts 0.000885 0.000655 0.00154
2 Interest rate contracts 0.003162 0.002338 0.00550
3 Single stock contacts 0.003795 0.002805 0.00660
4 Index contracts 0.001265 0.000935 0.00220
5 Commodity contracts 0.002530 0.001870 0.00440

List of underlying assets
 
 
Exchange and clearing fees - trading services

Futures
FutFee Exchange fee (RUB);
FutPrice Futures price;
W/R Tick value/tick (RUB);
BaseFutFee Basic fee rate for the group

The formula is without the rounding function


Example 1:
The Brent crude futures is priced at USD 102 and refers to the Commodity Contracts group.

Tick - 0.01
Tick value - 7.93
The exchange fee is 102 * (7.93 / 0.01) * 0.002530% = RUB 2.05
The clearing fee is 102 * (7.93 / 0.01) * 0.001870% = RUB 1.51
 
 
Options

 
OptFee Exchange fee (RUB);
FutFee the value of the exchange fee for entering into a futures contract, which is the underlying asset of the option (RUB);
W/R Tick value/tick (RUB);
Premium the option premium (in the units of the option price);
BaseOptFee Basic exchange fee for entering into an option is 0.06325
Basic clearing fee for entering into an option is 0.04675

The formula is without the rounding function


Example 2:
Buying a CALL option on Brent crude oil futures costs USD 2.30; the contract is in the Commodity Contracts group.

Tick - 0.01
Tick value - 7.93
The fee will be the lower of the doubled futures fee or the value calculated based on the premium
Exchange fee MIN ((2.05 * 2); (2.30 * 7.93 / 0.01) * 0.06325) = RUB 4.10
Clearing fee MIN ((1.51 * 2); (2.30 * 7.93 / 0.01) * 0.04675) = RUB 4.10
 
 
 
Scalper trades
Instrument Definition Tariff
(discount)
Futures Trades (negotiated orders) resulting in establishing and closing out of a futures position within one Trading Day

0.5 of the total
exchange fees
for scalper trades*
Options Trades (negotiated and order book orders) resulting in establishing of opposite positions in the option’s underlying asset (futures) in case of option exercise within one Trading day.
Scalper pairs:
• buy CALL – sell CALL;
• buy CALL – buy PUT;
• sell PUT – buy PUT;
• sell PUT – sell CALL.

* Scalper discount does not apply to calendar spreads.

The full formulas for calculating the exchange fee can be found in the Derivatives Market Tariffs.

 
 
 
Clearing fees
The clearing fee for settlement of futures contracts and clearing service fees of NCC shall be set in accordance with the NCC Tariffs (Sections II and V).
 
 
Fees for Calendar Spreads

A calendar spread is a strategy meaning simultaneous entering a long and short futures position on the same underlying asset but with different settlement dates using Calendar Spread Orders.

Read more in the Derivatives Market Trading Rules.
Calendar spread fees: Derivatives Market Fees