Changes in settlement prices" calculation algorithm

We would like to inform you that new algorithm for futures’ settlement price calculation was rolled on production with the new Spectra trading system release 6.0.

Settlement prices for active contracts are calculated based on median values for periodicity cuts of deals and orders’ prices during period from 18:37 till 18:38. Settlement prices for non-active contracts are calculated based on spot market data, active contract prices and interest rates curves. Description for the new algorithm you can find on our web site.

New algorithm of settlement price calculation was implemented along with Unified Collateral Pool project as a part of algorithm of risk parameters synchronization for all MOEX markets and allows more effective margining for long term contracts and mutual margining for futures and options with base spot actives.