Fees of Derivatives Market of the Moscow Exchange

 

 
 
Overview
 

Currently, participants are paid the following types of commission:

  • Exchange fee for transactions - is charged by PJSC Moscow Exchange
  • Clearing commission - charged by NCO NCC (JSC)
  • Clearing commission for execution of transactions - charged by NCO NCC (JSC)
  • Clearing commission for execution of one-day settlement futures contracts with auto-prolongation - charged by NCO NCC (JSC)
  • Transaction fees


A maker transaction is a transaction concluded on the basis of an application, the registration time of which is earlier than the registration time of the counter application.
A taker transaction is a transaction concluded on the basis of an application, the registration time of which is later than the registration time of the counter application.
!! For maker transactions in the unaddressed mode, the exchange and clearing commission for transactions is zero.

 

 
 
Exchange and clearing fees

 

The final commission consists of the amount of exchange and clearing commissions.

Base rates for groups of contracts by types of underlying assets

  Unaddressed requests for taker
Exchange Clearing Total
Futures
BaseFutFee, %
Options
BaseOptFee, %*
Futures
BaseFutFee, %
Options
BaseOptFee, %*
Futures, % Options, %
FX Contracts 0,002655 1,265 0,001965 0,935 0,00462 2,2
Interest rate contracts 0,009486 1,265 0,007014 0,935 0,01650 2,2
Equity contacts 0,011385 1,265 0,008415 0,935 0,01980 2,2
Index contracts 0,003795 1,265 0,002805 0,935 0,00660 2,2
Commodity contracts 0,007590 1,265 0,005610 0,935 0,01320 2,2
  Addressed requests
Exchange Clearing Total
Futures
BaseFutFee, %
Options
BaseOptFee, %*
Futures
BaseFutFee, %
Options
BaseOptFee, %*
Futures, % Options, %
FX Contracts 0,000885 1,265 0,000655 0,935 0,00154 2,2
Interest rate contracts 0,003162 1,265 0,002338 0,935 0,00550 2,2
Equity contacts 0,003795 1,265 0,002805 0,935 0,00660 2,2
Index contracts 0,001265 1,265 0,000935 0,935 0,00220 2,2
Commodity contracts 0,002530 1,265 0,001870 0,935 0,00440 2,2


* valid until 19:00 Moscow time on April 03, 2024 inclusive.

Futures

FutFee Exchange fee (RUB);
FutPrice Futures price;
W/R Tick value/tick (RUB);
BaseFutFee Basic fee rate for the group


Example 1:
The settle price of the previous clearing on the Brent oil futures (FutPrice) is 86.51 USD

Price step (R) = 0.01
The cost of the price step (W) = 7,51337
Futures belongs to the group of "Commodity Contracts", therefore, for the taker in the unaddressed mode, the exchange commission rate is 0.007590%, the clearing rate is 0.00561%.



Margin options on futures contracts

K 0.4 - for the period from April 03, 2023 (from 19:00 Moscow time) to April 03, 2024 inclusive (until 19:00 Moscow time);
FutFee the amount of the fee for the conclusion of the futures, which is the basic asset of the option (in rubles);
W/R Tick value/tick (RUB);
Premium the option premium (in the units of the option price);
BaseOptFee Basic fee rate for the group.


Example 2:
The theoretical price of the CALL option for Brent crude futures following the results of yesterday evening clearing (Premium) is 6.99 US dollars

Price step (R) = 0.01
The cost of the price step (W) = 7,51337
BaseOptFee (exchanges) = 1.265%, BaseOptFee (clear)= 0.935%
FutFee (exchange) =4.93, FutFee (clear)=3.65 (see Example 1)

The commission will be the smallest of the double futures fee and calculated from the premium:


Premium options

PriceRub settle price of the underlying asset, determined by the results of the clearing session;
LotVolume lot;
W/R Tick value/tick (RUB);
Round mathematical rounding function with a given accuracy;
K additional coefficient for transactions based on address requests:
Group of contracts valid until 19:00 Moscow time on April 03, 2024 inclusive
Equity contacts 0,002%
FX сontracts
Commodity contracts
Index contracts

for transactions based on unaddressed requests registered later than the corresponding allowable counter request:
Group of contracts valid until 19:00 Moscow time on April 03, 2024 inclusive
Equity contacts 0,006%
FX сontracts
Commodity contracts
Index contracts
Premium the value of the Theoretical option price, which is determined based on the results of yesterday evening clearing. For options concluded on the first trading day, the Premium value is equal to the value of the Theoretical option Price;
BaseOptFee the value of the base rate of the tariff for the corresponding group.

 

 

Базисный актив Unaddressed requests for taker Addressed requests
Exchange Clearing Exchange Clearing
K,% BaseOptFee, % K,% BaseOptFee, % K,% BaseOptFee, % K,% BaseOptFee, %
Equity contacts*
0,006

0,69

0,006

0,51

0,002

0,23

0,002

0,17
FX сontracts*
Commodity contracts*
Index contracts*                
 

* valid until 19:00 Moscow time on April 03, 2024 inclusive.

 

 

 
Calendar spreads

 

Calendar spread – simultaneous purchase and sale of futures with one underlying asset and different execution dates based on "Calendar Spread" Orders.

Read more – Tariffs of the Moscow Futures Market Exchange

 

 
 
Commission for execution
The clearing commission for the execution of contracts and the clearing tariffs for the services of the NCO NCC (JSC) are established in accordance with the NCC Tariffs (Sections II and V).