Parameters of the Derivatives market
Special risk parameter application calendar (xls, 18 Kb)
The procedure for calculation of the Variation Margin (pdf, 22 Kb)
Interest rates used for pricing of illiquid futures
Parameters for establishing the settlement price of futures contracts
| Underlying asset | Expected Date | Expected cash flow, CF (Underlying asset) |
|---|
Minimum IM rates and concentration limits on Derivatives market
| Futures and option contracts | IM rates* | Concentration limits, in units of underlying asset | ||||
|---|---|---|---|---|---|---|
| 1st level | 2nd level | 3rd level | 1st level | 2nd level | ||
| Indices | ||||||
| Shares | ||||||
| Currency | ||||||
| Bonds | ||||||
| Rates | ||||||
| Commodities | ||||||
* % 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
The number of clearings for "Half-netting" rule application to the futures contracts is published on the NCC website in section "Static parameters" on the Derivatives market https://www.nationalclearingcentre.com/rates/derivativesStaticParams (risk-parameter name – "ncl")".
| Underlying | Futures contract | Maximum futures spread dates* |
|---|---|---|
| LKOH | on LUKoil Holdings ordinary shares | the second settlement day in the quarter cycle |
| GAZR | on Gazprom ordinary shares | the second settlement day in the quarter cycle |
| SBRF | on Sberbank ordinary shares | the second settlement day in the quarter cycle |
| SBPR | on Sberbank preferred shares | the second settlement day in the quarter cycle |
| ROSN | on Rosneft ordinary shares | the second settlement day in the quarter cycle |
| VTBR | on VTB Bank ordinary shares | the second settlement day in the quarter cycle |
| YDEX | on Yandex ordinary shares | the second settlement day in the quarter cycle |
| ED | EUR/USD FX futures | the second settlement day in the quarter cycle |
| GOLD | Gold futures | the second settlement day in the quarter cycle |
| GL | Gold futures | the first settlement day in the quarter cycle |
| SILV | Silver futures | the second settlement day in the quarter cycle |
| PLT | Platinum futures | the second settlement day in the quarter cycle |
| BR | BRENT oil futures | the second settlement day in the month cycle |
| SPYF | SPDR SP500 ETF Trust futures | the second settlement day in the month cycle |
| NASD | Invesco QQQ ETF Trust Unit Ser. 1 futures | the first settlement day in the quarter cycle |
| RTS | RTS Index futures | the forth settlement day in the quarter cycle |
| RTSM | RTS Index Futures (mini) | the second settlement day in the quarter cycle |
| MIX | MOEX Index futures | the second settlement day in the quarter cycle |
| MXI | MOEX Index futures (mini) | the second settlement day in the quarter cycle |
| MOEXCNY | MOEX Index futures in CNY currency | the second settlement day in the quarter cycle |
| Si | USD/RUB exchange rate futures | the fourth settlement day in the quarter cycle |
| Eu | EUR/RUB exchange rate futures | the fourth settlement day in the quarter cycle |
| CNY | CNY/RUB exchange rate futures | the first settlement day in the quarter cycle |
| GBPU | GBP/USD exchange rate futures | the second settlement day in the quarter cycle |
| AUDU | AUD/USD exchange rate futures | the second settlement day in the quarter cycle |
| UJPY | JPY/USD exchange rate futures | the second settlement day in the quarter cycle |
| RUON | RUONIA rate | the twelfth settlement day in the month cycle |
| 1MFR | RUSFAR rate | the twelfth settlement day in the month cycle |
| 1MDR | RUSFARUSD rate | the twelfth settlement day in the month cycle |
| NG | Natural gas futures | the sixth settlement day in the month cycle |
| TATN | On Tatneft ordinary shares | the first settlement day in the quarter cycle |
| TATP | On Tatneft preferred shares | the first settlement day in the quarter cycle |
| NGM | Natural gas futures (micro) | the sixth settlement day in the month cycle |
| BRM | BRENT oil futures (mini) | the second settlement day in the month cycle |
*all futures with settlement day prior to mentioned date are included into the spread
Futures inter-contract spreads
| Inter-contract spread group | Contracts eligible for inter-month spreads | Futures spread date |
|---|---|---|
| 1 | RTS Index futures | RTS Index futures and RTS Index futures (mini) in the inter-month spread (see the table above), daily futures contract with automatic prolongation on MOEX Index, MOEX Index futures and MOEX Index futures (mini) in the inter-month spread (see the table above)* |
| RTS Index futures (mini) | ||
| MOEX Index futures | ||
| MOEX Index futures (mini) | ||
| Daily futures contract with automatic prolongation on MOEX Index | ||
| MOEX Index futures in CNY currency | ||
| 2 | Gold futures | Daily futures contract with automatic prolongation on gold futures and gold futures in the inter-month spread (see the table above)* |
| Daily futures contract with automatic prolongation on gold futures | ||
| 3 | Futures on EUR/RUB Exchange Rate and daily futures contract with automatic prolongation on EUR/RUB | EUR/RUB futures, USD/RUB futures and CNY/RUB futures in the inter-month spread (see the table above)* and daily futures contract with automatic prolongation on EUR/RUB, USD/RUB and CNY/RUB |
| Futures on USD/RUB Exchange Rate and daily futures contract with automatic prolongation on USD/RUB | ||
| Futures on CNY/RUB Exchange Rate and daily futures contract with automatic prolongation on CNY/RUB | ||
| 4 | Gold futures | Gold futures and silver futures in the inter-month spread (see the table above)* |
| Silver futures | ||
| 5 | SPDR SP500 ETF Trust futures | SPDR SP500 ETF Trust futures and Invesco QQQ ETF Trust Unit Ser. 1 futures in the inter-month spread (see the table above)* |
| Invesco QQQ ETF Trust Unit Ser. 1 futures | ||
| 6 | Daily futures contract with automatic prolongation on Gazprom ordinary shares | Daily futures contract with automatic prolongation on Gazprom ordinary shares and futures on Gazprom ordinary shares in the inter-month spread (see the table above)* |
| Futures on Gazprom ordinary shares | ||
| 7 | Daily futures contract with automatic prolongation on Sberbank ordinary shares | Daily futures contract with automatic prolongation on Sberbank ordinary shares and futures on Sberbank ordinary shares and futures on Sberbank preferred shares in the inter-month spread (see the table above)* |
| Futures on Sberbank ordinary shares | ||
| Futures on Sberbank preferred shares | ||
| 8 | Futures on Tatneft ordinary shares | Futures on Tatneft ordinary shares and futures on Tatneft preferred shares in the inter-month spread (see the table above)* |
| Futures on Tatneft preferred shares | ||
| 9 | Natural gas futures | Natural gas futures and Natural gas futures (micro) in the inter-month spread (see the table above)* |
| Natural gas futures (micro) | ||
| 10 | BRENT oil futures | BRENT oil futures and BRENT oil futures (mini) in the inter-month spread (see the table above)* |
| BRENT oil futures (mini) |
*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.
Instruments with the ability to trade negative prices (for options – negative strikes)
| Underlying asset | Code | Futures contract | Futures-style option |
|---|---|---|---|
| Light Sweet Crude Oil | CL | Futures on Light Sweet Crude Oil | Futures-style option on Light Sweet Crude Oil |
| Natural Gas | NG | Futures on Natural Gas | Futures-style option on Natural Gas |
| Brent oil | BR | Futures on Brent oil | Futures-style option on Brent oil |