Parameters of the Derivatives market

The procedure for calculation of the Variation Margin (pdf, 22 Kb)

Risk parameters from 21.05.2018

 

Parameters for establishing the settlement price of minor futures contracts
 

Futures
contract
Underlying asset's
expected cashflow,
CF (Fut)
CHMF-9.18 800
CHMF-12.18 1500
GMKR-12.18 650
LKOH-12.18 800
MOEX-12.18 200
MTSI-12.18 700
NLMK-12.18 300
NOTK-12.18 700
ROSN-12.18 1000
SBRF-6.19 450

Minimum IM rates and concentration limits on Derivatives market
 

  Futures contracts IM rates* Concentration limits
1st
level
2nd
level
3rd
level
1st
level
2nd
level
Indices 
MXI MOEX Index (mini) 10% 16% 22% 9 117 45 585
MIX MOEX Index 10% 16% 22% 5 457 27 284
RTS RTS Index 10%** 16% 23% 124 142 620 709
RTSS Blue Chip Index 15% 24% 34% 67 335
RVI Russian Market Volatility Index 35%** 50% 79% 3 409 17 045
U500 American issuers stock index 7%** 11% 16% 16 000 80 000
Shares
AFLT Aeroflot ordinary shares 17% 23% 34% 734 224 3 671 120
ALRS ALROSA ordinary shares 17% 23% 34% 3 796 908 18 984 540
CHMF Severstal ordinary shares 17% 23% 36% 160 799 803 995
FEES FSK EES ordinary shares 21% 30% 47% 1 589 223 344 7 946 116 720
GAZR Gazprom ordinary shares 17% 21% 28% 9 686 739 48 433 695
GBMW BMW AG  ordinary shares 12% 17% 27% 1 658 8 290
GDAI Daimler AG  ordinary shares 12% 17% 27% 2 068 10 340
GDBK Deutsche Bank AG  ordinary shares 15% 22% 34% 11 047 55 235
GMKR MMC Norilsk Nickel ordinary share 17% 21% 28% 40 908 204 540
GSIE Siemens AG  ordinary shares 12% 17% 27% 1 329 6 645
GVW3 Volkswagen AG  preferred shares 20% 29% 45% 877 4 385
HYDR RusHydro ordinary shares 17% 23% 36% 191 286 365 956 431 825
LKOH LUKoil Holdings ordinary shares 17% 21% 28% 162 387 811 935
MGNT Magnit ordinary shares 17% 24% 38% 29 067 145 335
MOEX Moscow Exchange ordinary shares 17% 23% 31% 2 370 912 11 854 560
MTSI Mobile TeleSystems ordinary shares 17% 23% 34% 481 130 2 405 650
NLMK NLMK ordinary shares 17% 24% 38% 1 007 496 5 037 480
NOTK NOVATEK ordinary shares 17% 23% 34% 201 480 1 007 400
ROSN Rosneft ordinary shares 17% 21% 28% 1 303 242 6 516 210
RTKM Rostelecom ordinary shares 23% 33% 45% 696 186 3 480 930
SBRF Sberbank of Russia ordinary shares 17% 21% 28% 19 079 658 57 409 190
SBPR Sberbank of Russia preferred shares 18% 21% 28% 1 035 408 5 177 040
SNGP Surgutneftegas preferred shares 17% 21% 28% 5 534 997 27 674 985
SNGR Surgutneftegas ordinary shares 17% 23% 34% 3 004 592 15 022 960
TATN Tatneft ordinary shares 17% 24% 37% 395 105 1 975 525
TRNF TRANSNEFT  preferred shares 17% 23% 36% 772 3 860
VTBR VTB Bank ordinary shares 17% 21% 28% 2 538 680 697 12 693 403 485
Currency 
AUDU AUD/USD Exchange Rate 4%** 6% 9% 1 000 000 5 000 000
CY CNY/RUB Exchange Rate 6% 8% 10% 20 000 000 100 000 000
ED EUR/USD Exchange rate 3.5%** 5% 8% 58 521 458 292 607 288
Eu EUR/RUB Exchange rate 6% 8% 10% 700 000 000 3 500 000 000
GBPU GBP/USD Exchange Rate 5%** 8% 12% 1 147 288 5 736 438
Si USD/RUB Exchange rate 6% 8% 10% 1 000 000 000 5 000 000 000
UCAD USD/CAD Exchange rate 4%** 6% 9% 1 000 000 5 000 000
UCHF CHF/USD Exchange rate 4%** 6% 9% 1 000 000 5 000 000
UJPY JPY/USD Exchange rate 5%** 8% 12% 1 921 355 9 606 775
UTRY USD/TRY Exchange rate 10%** 16% 22% 172 726 863 630
UUAH UAH/USD Exchange rate 21% 30% 47% 168 213 841 065
Bonds
OFZ2 Two-year Russian Federation government bonds 4% 5% 6% 1 000 000 5 000 000
OFZ4 Four-year Russian Federation government bonds 5% 6% 7% 1 000 000 5 000 000
OFZ6 Six-year Russian Federation government bonds 6% 7% 8% 1 000 000 5 000 000
OF10 Ten-year Russian Federation government bonds 7% 8% 9% 1 000 000 5 000 000
OF15 Fifteen-year Russian Federation government bonds 10% 11% 12% 1 000 000 5 000 000
Rates
MOPR The rate of the 3m MosPrime credit (deposit)  15% 22% 34% 500 000 000 2 500 000 000
RUON RUONIA rate 1,5% 2,5% 4,5% 1 000 000 5 000 000
Commodities 
BR BRENT oil 10%** 15% 23% 3 547 706 17 738 528
CL Light Sweet Crude Oil 10%** 15% 23% 3 547 706 17 738 528
CU Copper 8% 12% 18% 23 790 118 950
GOLD Gold 6%** 9% 14% 15 028 75 138
PLD Palladium 10%** 15% 23% 175 875
PLT Platinum 8%** 12% 18% 181 905
SILV Silver 10%** 15% 23% 128 600 643 000
SUGR Sugar 15% 22% 34% 598 086 2 990 430

* % of the contract value
** For those contracts the basic size of initial margin in rubles is greater than indicated one as the current US dollar exchange rate is applied to calculate variation margin and initial margin.

Futures inter-month spreads 
 

 Inter-month spreads contracts list Futures spread dates
1 Futures on LUKoil Holdings ordinary shares one following the nearest futures settlement date
2 Futures on Gazprom ordinary shares
3 Futures on Sberbank ordinary shares
4 Futures on Rosneft ordinary shares
5 Futures on VTB Bank ordinary shares
6 EUR/USD FX futures
7 Gold futures
8 Silver futures
9 BRENT oil futures
10 Light Sweet Crude Oil
11 RTS Index futures The second settlement day in the quarter cycle
The third settlement day in the quarter cycle
The forth settlement day in the quarter cycle
12 MOEX Index futures (mini) The second settlement day in the quarter cycle
13 MOEX Index futures The second settlement day in the quarter cycle
14 USD/RUB exchange rate futures The second settlement day in the quarter cycle
The third settlement day in the quarter cycle
The forth settlement days in the quarter cycle
The fifth and following settlement days in the quarter cycle 
15 EUR/RUB exchange rate futures The second settlement day in the quarter cycle
The third settlement day in the quarter cycle
The fourth settlement day in the quarter cycle
16 GBP/USD exchange rate futures The second settlement day in the quarter cycle
17 AUD/USD exchange rate futures The second settlement day in the quarter cycle
18 JPY/USD exchange rate futures The second settlement day in the quarter cycle
19 Two-year Russian Federation government bonds The second settlement day in the quarter cycle
20 Four-year Russian Federation government bonds The second settlement day in the quarter cycle
21 Six-year Russian Federation government bonds The second settlement day in the quarter cycle
22 Ten-year Russian Federation government bonds The second settlement day in the quarter cycle
23 Fifteen-year Russian Federation government bonds The second settlement day in the quarter cycle
24 RUONIA rate* The first settlement day in the month cycle
The third settlement day in the month cycle
The forth settlement day in the month cycle
The fifth settlement day in the month cycle
The sixth settlement day in the month cycle
The seventh settlement day in the month cycle
The eighth settlement day in the month cycle
The ninth settlement day in the month cycle
The tenth settlement day in the month cycle
The eleventh settlement day in the month cycle
The twelfth settlement day in the month cycle

Futures inter-contract spreads
 

Inter-contract
spread group
Contracts eligible
for inter-month spreads
Futures spread date
1 RTS Index futures RTS Index futures contracts in the inter-month
spread (see the table above)
Nearby RTS Standard futures contract,
RTS Standard futures MOEX Index futures and MOEX Index futures (mini) contracts in the inter-month
MOEX Index futures (mini) spread (see the table above)*
MOEX Index futures  
2 Two-year Russian Federation Nearby Russian Federation bonds futures contract *
government bonds futures
Four-year Russian Federation
government bonds futures
Six-year Russian Federation
government bonds futures
Ten-year Russian Federation
government bonds
Fifteen-year Russian Federation
government bonds
3 BRENT Oil futures BRENT Oil futures contracts and Light Sweet Crude Oil futures
in the inter-month spread (see the table above)*
Light Sweet Crude Oil futures

*spread coefficient is deacreasing during the life of the contract according to the schedule which is published at Moscow exchange web-site before the beginning of each month

Limits of the indicative USD/RUB exchange rate deviation

CCP NCC has established the following limits of the indicative USD/RUB exchange rate deviation that are determined as per the Methodology for calculation of the indicative USD/RUB exchange rate used to determine obligations under derivatives contracts (the Rate):

if КТ>КТ-1*(1+R), then КТ=КТ-1*(1+R)
if КТ<КТ-1*(1-R), then КТ=КТ-1*(1-R),

where

КТ – the Rate used to calculate the minimum price tick on the current trading day T;
КТ-1 – the Rate used to calculate the minimum price tick during the evening clearing session on previous trading day Т-1;

For USD/RUB and EUR/RUB currency pairs the following exchange rate deviation is applied:

R = 2*MR1

where

MR1 – the minimum size of initial margin set for the underlying assets;

Exchange rate deviation applied to other currency pairs:

Currency pair Exchange rate deviation
JPY/RUB 8%
CHF/RUB 8%
CAD/RUB 30%
TRY/RUB 30%
CNY/RUB 10%
UAH/RUB 20%

In case values for determining R are not available, R shall be deemed equal to 0.1 (one tenth).

Limitation of a trade size for delivering Russian Federation government bonds under relevant futures contract  

Maximum trade size allowed is 400,000 bonds. 

Parameters of restriction in new orders declaration for Settlement account

Value of coefficient Pr_coeffsc, which restricts declaration of new orders for a Settlement account, equals 10.