New settlement scheme for derivatives

From 1 July 2015, main derivative contracts of the Moscow Exchange are settled on a fixed day of the week, not of the month. The innovation was proposed by the Derivatives Market Committee of the Exchange.

Under the previous settlement scheme, settlement dates were established to be the fifteenth day of the month that resulted in the settlement on Monday from time to time. This increased market and operational risks for participants and their clients.

The new settlement scheme is to be rolled out as follows:

• All new futures and options series are launched under the new scheme from 1 July;
• Futures and options series launched before 1 July and having no open interest in the evening clearing session on 1 July are to be rolled over new settlement dates under the new scheme;
• Futures and options series launched before 1 July and having open interest are not to be rolled over.

With the new algorithm applied, settlement under the old and new schemes will take place simultaneously in some months (e.g. December 2015) of the transitional period. We kindly ask participants to monitor carefully the options expiration calendar. 

Derivative contracts on Brent oil, sugar, BRICS indices and German shares are not to be transferred to the new scheme as they are settled in conjunction with foreign exchanges. Futures on OFZs, Eurobonds and interest rates are not to be transferred too due to a specific design thereof.

For further information, please contact the Public Relations Department at (495) 363-3232.