Parameters of the Derivatives market

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

 

Parameters for establishing the settlement price of minor futures contracts
 

Underlying
asset
Parameter value
Xi
2nd quarter
settlement cycle
Xi
3rd quarter
settlement cycle
Xi
4th quarter
settlement cycle
Y ri
AFLT 0     0,25 8,25%
ALRS 0     0,25 8,25%
CHMF 0     0,25 8,25%
FEES 0     0,25 8,25%
GAZR 0 0 0 0,25 8,25%
GMKR -1000 -3500   0,25 8,25%
HYDR 0     0,25 8,25%
LKOH 0 -800 -800 0,25 8,25%
MGNT 0 0   0,25 8,25%
MOEX -100     0,25 8,25%
MTSI -800     0,25 8,25%
NLMK -500     0,25 8,25%
NOTK -300     0,25 8,25%
ROSN 0 0 0 0,25 8,25%
RTKM 0     0,25 8,25%
SBPR 0 -600   0,25 8,25%
SBRF 0 -1000 -1000 0,25 8,25%
SNGP 0     0,25 8,25%
SNGR 0     0,25 8,25%
TATN -1200     0,25 8,25%
TRNF 0     0,25 8,25%
URKA       0,25 8,25%
VTBR 0     0,25 8,25%

Minimum basic sizes of the initial margin for FORTS
 

  Futures contracts Basic IM size *
Indices
ALSI FTSE/JSE Top40 Index 12%
HSIF Hang Seng Index 10%
IBVS BOVESPA Index 12%
MXI MICEX Index (mini) 9%
MIX MICEX Index 9%
RTS RTS Index 9%**
RTSS Blue Chip Index 12%
RVI Russian Market Volatility Index 35%**
SNSX SENSEX Index 10%
Shares
AFLT Aeroflot ordinary shares 14%
ALRS ALROSA ordinary shares 14%
CHMF Severstal ordinary shares 15%
FEES FSK EES ordinary shares 21%
GAZR Gazprom ordinary shares 14%
GBMW BMW AG ordinary shares 12%
GDAI Daimler AG ordinary shares 12%
GDBK Deutsche Bank AG ordinary shares 15%
GMKR MMC Norilsk Nickel ordinary share 14%
GSIE Siemens AG ordinary shares 12%
GVW3 Volkswagen AG preferred shares 20%
HYDR RusHydro ordinary shares 15%
LKOH LUKoil Holdings ordinary shares 14%
MGNT Magnit ordinary shares 14%
MOEX Moscow Exchange ordinary shares 14%
MTSI Mobile TeleSystems ordinary shares 14%
NLMK NLMK ordinary shares 17%
NOTK NOVATEK ordinary shares 14%
ROSN Rosneft ordinary shares 14%
RTKM Rostelecom ordinary shares 23%
SBRF Sberbank of Russia ordinary shares 14%
SBPR Sberbank of Russia preferred shares 15%
SNGP Surgutneftegas preferred shares 14%
SNGR Surgutneftegas ordinary shares 14%
TATN Tatneft ordinary shares 16%
TRNF TRANSNEFT preferred shares 15%
URKA Uralkalii ordinary shares 25%
VTBR VTB Bank ordinary shares 14%
Currency
AUDU AUD/USD Exchange Rate 4%**
CY CNY/RUB Exchange Rate 6%
ED EUR/USD Exchange rate 3.5%**
Eu EUR/RUB Exchange rate 6%
GBPU GBP/USD Exchange Rate 5%**
Si USD/RUB Exchange rate 6%
UCAD USD/CAD Exchange rate 4%**
UCHF CHF/USD Exchange rate 4%**
UJPY JPY/USD Exchange rate 5%**
UTRY USD/TRY Exchange rate 7%**
UUAH UAH/USD Exchange rate 21%
Bonds
OFZ2 Two-year Russian Federation government bonds 4%
OFZ4 Four-year Russian Federation government bonds 5%
OFZ6 Six-year Russian Federation government bonds 6%
OF10 Ten-year Russian Federation government bonds 7%
OF15 Fifteen-year Russian Federation government bonds 10%
RF30 Russian Eurobonds 7%**
Rates
MOPR The rate of the 3m MosPrime credit (deposit) 15%
RUON RUONIA rate 2%
Commodities
BR BRENT oil 10%**
CU Copper 8%
GOLD Gold 6%**
PLD Palladium 10%**
PLT Platinum 8%**
SILV Silver 10%**
SUGR Sugar 15%

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

*the second settlement day in the month cycle is the base contract for RUONIA rate futures
**spread coefficient is changing due to decreasing of initial margin for the nearest futures contract

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 MICEX Index futures and MICEX Index futures (mini) contracts in the inter-month
MICEX Index futures (mini) spread (see the table above)*
MICEX 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

*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

CJSC JSCB National Clearing Center 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;

R = 2*IMТ-1/SPТ-1,

where

IMТ-1 – the minimum size of initial margin set for the main futures contract on the RUB/USD exchange rate at the evening clearing session on the previous trading day T-1;
SPТ-1 – settlement price determined for the main futures contract on RUB/USD exchange rate at the evening clearing session on the previous trading day.

Exchange rate deviation applied to other currency pairs:

Currency pair Exchange rate deviation
EUR/RUB 8%
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.