Home » Members » Members Directory » Russian Trading System Stock Exchange
Last updated: April 2010
Russian Trading System Stock Exchange (RTS)Russia
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bld. 1, Dolgorukovskaya str. 38
Moscow 127006,
Russia
Tel: +7 495 705-90-31
Fax +7 495 733 97 13
international{.}rts.ru: www.rts.ru
URL
Established: 1995
Type: Electronic
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Company Profile
RTS Group is an integrated trading-settlement infrastructure. The core of the RTS Group is Open Joint Stock Company RTS Stock Exchange where the trading is facilitated. RTS Stock Exchange is one of the major trading platforms in Russia and Eastern Europe providing trading services on the spot (stocks, bonds, funds) and on derivatives markets (futures and options contracts) based on advanced technologies employed worldwide.
RTS Group operates the central counterparty, the settlement securities depository and the settlement house for rubles and foreign currencies
- RTS Standard, a new front-rank equity market for the most liquid Russian securities which offers CCP trading in anonymous order book without full advance depositing of assets and with settlement on T+4.
- RTS Classica, the only trading platform in Russia that allows for settlement in both rubles and foreign currency. The standard settlement cycle is T+4 DVP. There are no requirements to deposit securities and cash before a trade.
- FORTS, futures and options market with ruble settlement. Trading since 2001. Today, 46 contracts are offered (33 futures and 13 options) on shares of Russian companies, bonds, short term interest rates, currency, RTS Indices, oil, oil products, metals and sugar. The most active contract is futures on the RTS Index.
Both the RTS Stock Market and the FORTS market are traded on robust international standard electronic platforms which allow for direct market access and algorithmic trading.
Products on Show
Cash equities, bonds, futures and options contracts on stocks of Russian companies, bonds, short term interest rates, currency, RTS Indices, oil, oil products, metals and sugar. The most active contract is futures on the RTS Index.
Exchange Company Developments in 2009/2010:
- Launch of RTS Standard - a new front-rank equity market for 22 most liquid Russian securities characterized by: absence of 100% advance asset depositing, standard T+4 settlement in rubles, use of CCP technology and consolidated cash position on RTS Standard and on FORTS, RTS derivatives section;
- Launch of EUR/USD and EUR/RUB futures contracts which entered TOP-5 most liquid contracts traded on FORTS;
- According to the FIA’s report, FORTS, the RTS derivatives market, remains in the 9th position in the top 30 global derivatives exchanges rating;
- Launch of futures contracts on platinum and palladium;
- Launch of the RTS Standard Index based on 15 “blue chips” of the Russian market;
- Launch of a futures contract on the RTS Standard Index.
International projects
- Launch of trading on the Ukrainian Exchange. The Ukrainian Exchange was established in May 2008 by the RTS Stock Exchange and the largest companies in the Ukrainian securities market;
- Launch of trading on the commodities exchange Eurasian Trading System headquartered in Almaty, Kazakhstan. JSC "Eurasian Trading System" was set up in 2008 by the Regional Financial Centre of Almaty City (RFCA) and OJSC "Russian Trading System" Stock Exchange.
General information:
- RTS’s president is Roman Goryunov
- RTS Group operates the central counterparty, settlement securities depository and settlement house
- RTS’s international members include among others Deutsche Bank, CSFB, UBS, and Morgan Stanley.
- DMA and algorithmic trading is possible into both the Classica Market and FORTS
RTS website - http://www.rts.ru/en/
Single stock futures
Deliverable futures:
1. Futures on United Energy System ordinary shares
|
Contract Size (Trading Unit) |
1000 ordinary shares of United Energy System |
|
Quotation |
In RUR per 1000 shares |
|
Minimum Price Movement (Tick Size and Value) |
1 (RUR 1 per 1000 shares) |
|
Settlement |
Physical delivery |
|
Contract Months |
4 successive quarterly months in the cycle March, June, September, December |
|
Last Trading Day |
Trading day preceding the 15-th of an appropriate delivery month |
|
Delivery Period |
Business day following the last trading day |
|
Delivery |
On delivery day at settlement price of the last trading day via the RTS Settlement House and Depository Clearing Company |
|
Code of the Underlying Asset on the Main RTS Spot Market |
EESR |
|
Contract Ticker (used in RTS DATA FEED) |
ES<m><y> * |
|
Contract Code (used on RTS web-site) |
EERU-<mm>.<yy>;
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
2. Futures on Gazprom ordinary shares
|
Contract Size (Trading Unit) |
100 ordinary shares of Gazprom |
|
Quotation |
In RUR per 100 shares |
|
Minimum Price Movement (Tick Size and Value) |
1 (RUR 1 per 100 shares) |
|
Settlement |
Physical delivery |
|
Contract Months |
4 successive quarterly months in the cycle March, June, September, December |
|
Last Trading Day |
Trading day preceding the 15-th of an appropriate delivery month |
|
Delivery Period |
Business day following the last trading day |
|
Delivery |
On delivery day at settlement price of last trading day via the RTS Settlement House and Depositary N 883 of Gazprombank |
|
Code of the Underlying Asset on the Main RTS Spot Market |
GSPBEX |
|
Contract Ticker (used in RTS DATA FEED) |
GZ<m><y> * |
|
Contract Code (used on RTS web-site) |
GAZR-<mm>.<yy>;
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
3. Futures on LUKoil Holdings ordinary share
|
Contract Size (Trading Unit) |
10 ordinary shares of Lukoil Holdings |
|
Quotation |
In RUR per 10 shares |
|
Settlement |
Physical delivery |
|
Contract Months |
2 successive quarterly months in the cycle March, June, September, December |
|
Last Trading Day |
Trading day preceding the 15-th of an appropriate delivery month |
|
Delivery Period |
Business day following the last trading day |
|
Delivery |
On delivery day at settlement price of the last trading day via the RTS Settlement House and Depository Clearing Company |
|
Code of the Underlying Asset on the Main RTS Spot Market |
LKOH |
|
Contract Ticker (used in RTS DATA FEED) |
LK<m><y> * |
|
Contract Code (used on RTS web-site) |
LKOH-<mm>.<yy>;
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
4. Futures on Rostelecom ordinary shares
|
Contract Size (Trading Unit) |
100 ordinary shares of Rostelecom |
|
Quotation |
In RUR per 100 shares |
|
Minimum Price Movement (Tick Size and Value) |
1 (RUR 1 per 100 shares) |
|
Settlement |
Physical delivery |
|
Contract Months |
2 successive quarterly months in the cycle March, June, September, December |
|
Last Trading Day |
Trading day preceding the 15-th of an appropriate delivery month |
|
Delivery Period |
Business day following the last trading day |
|
Delivery |
On delivery day at settlement price of the last trading day via the RTS Settlement House and Depository Clearing Company |
|
Code of the Underlying Asset on the Main RTS Spot Market |
RTKM |
|
Contract Ticker (used in RTS DATA FEED) |
RT<m><y> * |
|
Contract Code (used on RTS web-site) |
RTKM-<mm>.<yy>;
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
5. Futures on Surgutneftegas ordinary shares
|
Contract Size (Trading Unit) |
1000 ordinary shares of Surgutneftegas |
|
Quotation |
In RUR per 1000 shares |
|
Minimum Price Movement (Tick Size and Value) |
1 (RUR 1 per 1000 shares) |
|
Settlement |
Physical delivery |
|
Contract Months |
2 successive quarterly months in the cycle March, June, September, December |
|
Last Trading Day |
Trading day preceding the 15-th of an appropriate delivery month |
|
Delivery Period |
Business day following the last trading day |
|
Delivery |
On delivery day at settlement price of the last trading day via the RTS Settlement House and Depository Clearing Company |
|
Code of the Underlying Asset on the Main RTS Spot Market |
SNGS |
|
Contract Ticker (used in RTS DATA FEED) |
SN<m><y> * |
|
Contract Code (used on RTS web-site) |
SNGR-<mm>.<yy>;
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
6. Futures on ordinary shares of Mining and Metallurgical Company Norilsk Nickel
|
Contract Size (Trading Unit) |
10 ordinary shares of Norilsk Nickel |
|
Quotation |
In RUR per 10 shares |
|
Minimum Price Movement (Tick Size and Value) |
1 (RUR 1 per 10 shares) |
|
Settlement |
Physical delivery |
|
Contract Months |
2 successive quarterly months in the cycle March, June, September, December |
|
Last Trading Day |
Trading day preceding the 15-th of an appropriate delivery month |
|
Delivery Period |
Business day following the last trading day |
|
Delivery |
On delivery day at settlement price of the last trading day via the RTS Settlement House and Depository Clearing Company |
|
Code of the Underlying Asset on the Main RTS Spot Market |
GMKN |
|
Contract Ticker (used in RTS DATA FEED) |
GM<m><y> * |
|
Contract Code (used on RTS web-site) |
GMKR-<mm>.<yy>;
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
7. Futures on ordinary shares of Sberbank of Russia
|
Contract Size (Trading Unit) |
1 ordinary share of Sberbank of Russia |
|
Quotation |
In RUR per 1 share |
|
Minimum Price Movement (Tick Size and Value) |
1 (RUR 1 per 1 share) |
|
Settlement |
Physical delivery |
|
Contract Months |
2 successive quarterly months in the cycle March, June, September, December |
|
Last Trading Day |
Trading day preceding the 15-th of an appropriate delivery month |
|
Delivery Period |
Business day following the last trading day |
|
Delivery |
On delivery day at settlement price of the last trading day via the RTS Settlement House and Depository Clearing Company |
|
Code of the Underlying Asset on the Main RTS Spot Market |
SBER |
|
Contract Ticker (used in RTS DATA FEED) |
SB <m><y> * |
|
Contract Code (used on RTS web-site) |
SBER-<mm>.<yy> Where <mm> - delivery month, <yy> – delivery year (all coded with digits) |
1. United Energy System
|
Underlying Asset |
Futures contract on ordinary shares of United Energy System |
|
Type |
call and put |
|
Style |
American |
|
Trading Unit |
1 futures contract |
|
Minimum Price Movement (Tick Size and Value) |
RUR 1 per contract (per 1000 shares) |
|
Strike Price Intervals |
RUR 500 per contract (per 1000 shares) |
|
Contract Months |
4 successive quarterly month in the cycle March, June, September, December plus one nearest calendar month |
|
Expiration |
For long-term (quarterly) options – two trading days before the delivery day for the underlying futures contract.
For short-term options – a month/two months before the delivery day for the underlying futures contract.
Expiration day is stated in the code of options contract. |
|
Last Trading Day |
Expiration day |
|
Exercise |
Buyers of options can exercise these on any trading day prior to expiration. On the expiration day the options "in-the-money" are not exercised automatically. When an option is exercised the underlying contract is bought/sold at the strike price. |
|
Contract Ticker (used in RTS DATA FEED) |
ESххххх<m><y> * |
|
Contract Codes (used on RTS web-site) |
EERU-<mm>.<yy>_<dd><mm><yy>CA xxxхх
EERU-<mm>.<yy>_<dd><mm><yy>PА xxxхх
where <mm>.<yy> – delivery month and year for the underlying futures (all coded with digits). CA – American call option, PА – American put option. <dd><mm><yy> – option expiration date, ххххх – option strike price. |
2. Gazprom
|
Underlying Asset |
Futures contract on ordinary shares of Gazprom |
|
Type |
call and put |
|
Style |
American |
|
Trading Unit |
1 futures contract |
|
Minimum Price Movement (Tick Size and Value) |
RUR 1 per contract (per 100 shares) |
|
Strike Price Intervals |
RUR 500 per contract (per 100 shares) |
|
Contract Months |
4 successive quarterly month in the cycle March, June, September, December plus one nearest calendar month |
|
Expiration |
For long-term (quarterly) options – two trading days before the delivery day for the underlying futures contract.
For short-term options – a month/two months before the delivery day for the underlying futures contract.
Expiration day is stated in the code of options contract. |
|
Last Trading Day |
Expiration day |
|
Exercise |
Buyers of options can exercise these on any trading day prior to expiration. On the expiration day the options "in-the-money" are not exercised automatically. When an option is exercised the underlying contract is bought/sold at the strike price. |
|
Contract Ticker (used in RTS DATA FEED) |
GZххххх<m><y> * |
|
Contract Codes (used on RTS web-site) |
GAZR-<mm>.<yy>_<dd><mm><yy>CA xxxхх
GAZR-<mm>.<yy>_<dd><mm><yy>PА xxxхх
where <mm>.<yy> – delivery month and year for the underlying futures (all coded with digits). CA – American call option, PА – American put option. <dd><mm><yy> – option expiration date, ххххх – option strike price. |
3. LUKoil Holdings
|
Underlying Asset |
Futures contract on ordinary shares of LUKoil Holdings |
|
Type |
call and put |
|
Style |
American |
|
Trading Unit |
1 futures contract |
|
Minimum Price Movement (Tick Size and Value) |
RUR 1 per contract (per 10 shares) |
|
Strike Price Intervals |
RUR 500 per contract (per 10 shares) |
|
Contract Months |
One nearest calendar month plus one or two successive quarterly month in the cycle March, June, September, December. |
|
Expiration |
For long-term (quarterly) options – two trading days before the delivery day for the underlying futures contract.
For short-term options – a month/two months before the delivery day for the underlying futures contract.
Expiration day is stated in the code of options contract. |
|
Last Trading Day |
Expiration day |
|
Exercise |
Buyers of options can exercise these on any trading day prior to expiration. On the expiration day the options "in-the-money" are not exercised automatically. When an option is exercised the underlying contract is bought/sold at the strike price. |
|
Contract Ticker (used in RTS DATA FEED) |
LKххххх<m><y> * |
|
Contract Codes (used on RTS web-site) |
LKOH-<mm>.<yy>_<dd><mm><yy>CA xxxхх
LKOH-<mm>.<yy>_<dd><mm><yy>PА xxxхх
where <mm>.<yy> – delivery month and year for the underlying futures (all coded with digits). CA – American call option, PА – American put option. <dd><mm><yy> – option expiration date, ххххх – option strike price. |
4. Rostelecom
|
Underlying Asset |
Futures contract on ordinary shares of Rostelecom |
|
Type |
call and put |
|
Style |
American |
|
Trading Unit |
1 futures contract |
|
Minimum Price Movement (Tick Size and Value) |
RUR 1 per contract (per 100 shares) |
|
Strike Price Intervals |
RUR 250 per contract (per 100 shares) |
|
Contract Months |
One nearest calendar month plus one or two successive quarterly month in the cycle March, June, September, December. |
|
Expiration |
For long-term (quarterly) options – two trading days before the delivery day for the underlying futures contract.
For short-term options – a month/two months before the delivery day for the underlying futures contract.
Expiration day is stated in the code of options contract. |
|
Last Trading Day |
Expiration day |
|
Exercise |
Buyers of options can exercise these on any trading day prior to expiration. On the expiration day the options "in-the-money" are not exercised automatically. When an option is exercised the underlying contract is bought/sold at the strike price. |
|
Contract Ticker (used in RTS DATA FEED) |
RTххххх<m><y> * |
|
Contract Codes (used on RTS web-site) |
RTKM-<mm>.<yy>_<dd><mm><yy>CA xxxхх
RTKM-<mm>.<yy>_<dd><mm><yy>PА xxxхх
where <mm>.<yy> – delivery month and year for the underlying futures (all coded with digits). CA – American call option, PА – American put option. <dd><mm><yy> – option expiration date, ххххх – option strike price. |
1. 10-Year Moscow City Bonds Futures
|
Underlying Asset |
Moscow City bonds (all issues) that meet the following standards:
- Time to maturity equals 76-120 months from the futures expiration date;
- Principal amount outstanding not less than RUR 4 billion.
|
|
Contract Size (Trading Unit) |
10 bonds, each having a face value at maturity of RUR 1000 |
|
Quotation |
In RUR per 10 bonds (accrued interest is not taken into account) |
|
Minimum Price Movement (Tick Size and Value) |
1 (RUR 1 per 10 bonds) |
|
Settlement |
Physical delivery |
|
Contract Months |
March, June, September, December |
|
Last Trading Day |
Trading day preceding the 5-th of an appropriate delivery month |
|
Delivery Period |
Business day following the last trading day |
|
Delivery Price (per 10 bonds) |
Settlement price of the last trading day multiplied by conversion factor of the bond issue to be delivered plus accrued interest per 10 bonds |
|
Delivery |
On delivery day via the RTS Settlement House and Depository Clearing Company. Holder of short position in futures can deliver any of underlying bond issues. |
|
Contract Ticker (used in RTS DATA FEED) |
M10<m><y>* |
|
Contract Code (used on RTS web-site) |
MB10-<mm>.<yy> |
|
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
Current underlying 10-Year Moscow Bonds and their Conversion Factors
|
Registration number
of the bond issue |
Code of the bond issue
on the main RTS spot market |
Conversion Factors for futures |
|
M 0Х6 |
M 0 Z 6 |
M 0 H 6 |
|
RU32044MOS0 |
MOS044 |
0,9934 |
0,9922 |
0,9878 |
|
RU27039MOS |
MOS039 |
1,0013 |
1,0001 |
0,996 |
2. 30-year Russian Federation Foreign bonds Futures
|
Underlying Asset |
Bonds of the Russian Federation foreign bond loan with redemption on March 31, 2030 and state registration number SK-0CM-128 |
|
Contract Size (Trading Unit) |
10 000 bonds |
|
Quotation |
In USD per 10 000 bonds (accrued interest is not taken into account) |
|
Minimum Price Movement (Tick Size and Value) |
USD 1 |
|
Settlement |
Physical delivery |
|
Contract Months |
March, June, September, December |
|
Last Trading Day |
Trading day preceding the 5-th of an appropriate delivery month |
|
Delivery Period |
Business day following the last trading day |
|
Delivery Price (per 10 bonds) |
A sum of the settlement price on the last contract trading day and coupon yield accumulated on the date of contract settlement on the bonds with a view to a Contract Lot reduced to the currency of the Russian Federation at the USD exchange rate to the currency of the Russian Federation established by the Russian Federation Central Bank on the date of Contract settlement and rounded to kopecks |
|
Delivery |
On delivery day via the RTS Settlement House and Depository Clearing Company |
|
Contract Ticker (used in RTS DATA FEED) |
EB<m><y>* |
|
Contract Code (used on RTS web-site) |
EB30-<mm>.<yy>; |
|
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
Currency Products
Futures
Cash - settled futures:
1. Futures on USD/RUR Exchange Rate
|
Contract Size (Trading Unit) |
USD 1000 |
|
Quotation |
In RUR per USD 1000 |
|
Minimum Price Movement (Tick Size and Value) |
RUR 1 per USD 1000 |
|
Settlement |
Cash-settled |
|
Contract Months |
2 successive quarterly months in the cycle March, June, September, December |
|
Last Trading Day |
Trading day preceding the 15-th of an appropriate delivery month |
|
Final Settlement Day |
Business day following the last trading day |
|
Final Settlement Price |
1000 times:
- weighted average USD/RUB_UTS_TOD rate as of final settlement day, published by the Interfax agency (that is, volume weighted average USD/RUR rate at the MICEX`s Unified Trading Session on the final settlement day);
- the official Central Bank of Russia USD/RUR rate as of final settlement day, if average USD/RUB_UTS rate is not defined (instrument is not traded on the final settlement day). |
|
Code of the Underlying Asset on the Main RTS Spot Market |
USD/RUR |
|
Contract Ticker (used in RTS DATA FEED) |
Si<m><y> * |
|
Contract Code (used on RTS web-site) |
Si-<mm>.<yy>;
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
Options
2. USD/RUR Exchange Rate
|
Underlying Asset |
Futures contract on USD/RUR Exchange Rate |
|
Type |
call and put |
|
Style |
American |
|
Trading Unit |
1 futures contract |
|
Quotation of Premium |
In RUR per 1 futures contract (per USD 1000) |
|
Minimum Price Movement (Tick Size and Value) |
RUR 1 per contract (per USD 1000) |
|
Strike Price Intervals |
RUR 100 per contract (per USD 1000) |
|
Contract Months |
One or two successive quarterly month in the cycle March, June, September, December. |
|
Expiration |
Close of the trading session on the last trading day for the underlying futures contract |
|
Last Trading Day |
Last trading day for the underlying futures contract |
|
Exercise |
Buyers of options can exercise these on any trading day prior to expiration. On the expiration day the options "in-the-money" are exercised automatically. When an option is exercised the underlying contract is bought/sold at the strike price. |
|
Contract Ticker (used in RTS DATA FEED) |
Siххххх<m><y> * |
|
Contract Codes (used on RTS web-site) |
Si-<mm>.<yy>_<dd><mm><yy>CA xxxхх
Si-<mm>.<yy>_<dd><mm><yy>PА xxxхх
where <mm>.<yy> – delivery month and year for the underlying futures (all coded with digits). CA – American call option, PА – American put option. <dd><mm><yy> – option expiration date, ххххх – option strike price. |
Futures contract on gold and oil
Gold Futures
|
Underlying Asset |
Affinare gold bullion |
|
Contract Size (Trading Unit) |
One troy ounce |
|
Quotation |
In USD per one troy ounce |
|
Minimum Price Movement (Tick Size and Value) |
0,1 USD |
|
Settlement |
Cash-settled |
|
Contract Months |
January, February, March, April, May, June, July, August, September, November, December |
|
Last Trading Day |
Trading day preceding the 15th of the settlement month |
|
Final Settlement Day |
Business day following the last trading day |
|
Final Settlement Price |
Morning gold fixing at London spot market at settlemeте day (that is published in accordance with official data of The London Gold Market Fixing Limited) in USD per troy ounce |
|
Minimum Initial Price |
5% |
|
Contract Ticker (used in RTS DATA FEED) |
GD<m><y> * |
|
Contract Code (used on RTS web-site) |
GOLD-<mm>.<yy>;
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
Futures on Urals oil
|
Underlying Asset |
URALS oil price |
|
Contract Size (Trading Unit) |
10 barrels |
|
Quotation |
In USD per 1 barrel |
|
Minimum Price Movement (Tick Size and Value) |
0,01 USD |
|
Settlement |
Cash-settled |
|
Contract Months |
January, February, March, April, May, June, July, August, September, November, December |
|
Last Trading Day |
Trading day preceding the 15th of the settlement month |
|
Final Settlement Day |
Business day following the last trading day |
|
Final Settlement Price |
underlying asset's PLATT'S closing price at the settlement day |
|
Minimum Initial Price |
10% |
|
Contract Ticker (used in RTS DATA FEED) |
UR<m><y> * |
|
Contract Code (used on RTS web-site) |
UR-<mm>.<yy>;
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
Futures on aviation fuel
|
Underlying Asset |
Aviation fuel |
|
Contract Size (Trading Unit) |
one tonne |
|
Quotation |
In USD per 1 tonne |
|
Minimum Price Movement (Tick Size and Value) |
0,05 USD |
|
Settlement |
Cash-settled |
|
Contract Months |
January, February, March, April, May, June, July, August, September, November, December |
|
Last Trading Day |
Trading day preceding the 15th of the settlement month |
|
Final Settlement Day |
Business day following the last trading day |
|
Final Settlement Price |
underlying asset's PLATT'S closing price at the settlement day |
|
Minimum Initial Price |
10% |
|
Contract Ticker (used in RTS DATA FEED) |
JO<m><y> * |
|
Contract Code (used on RTS web-site) |
JO-<mm>.<yy>;
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
Futures on fuel oil
|
Underlying Asset |
Fuel Oil |
|
Contract Size (Trading Unit) |
Two tonnes |
|
Quotation |
In USD per 1 tonne |
|
Minimum Price Movement (Tick Size and Value) |
0,05 USD |
|
Settlement |
Cash-settled |
|
Contract Months |
January, February, March, April, May, June, July, August, September, November, December |
|
Last Trading Day |
Trading day preceding the 15th of the settlement month |
|
Final Settlement Day |
Business day following the last trading day |
|
Final Settlement Price |
underlying asset's PLATT'S closing price at the settlement day |
|
Minimum Initial Price |
10% |
|
Contract Ticker (used in RTS DATA FEED) |
FO<m><y> * |
|
Contract Code (used on RTS web-site) |
FO-<mm>.<yy>;
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
Futures on Diesel Oil
|
Underlying Asset |
Diesel Oil |
|
Contract Size (Trading Unit) |
One tonne |
|
Quotation |
In USD per 1 tonne |
|
Minimum Price Movement (Tick Size and Value) |
0,05 USD |
|
Settlement |
Cash-settled |
|
Contract Months |
January, February, March, April, May, June, July, August, September, November, December |
|
Last Trading Day |
Trading day preceding the 15th of the settlement month |
|
Final Settlement Day |
Business day following the last trading day |
|
Final Settlement Price |
underlying asset's PLATT'S closing price at the settlement day |
|
Minimum Initial Price |
10% |
|
Contract Ticker (used in RTS DATA FEED) |
GO<m><y> * |
|
Contract Code (used on RTS web-site) |
GO-<mm>.<yy>;
where <mm> – delivery month, <yy> – delivery year (all coded with digits) |
Average MosIBOR Futures
|
Underlying asset |
The Average MosIBOR overnight rate, calculated by National Foreign Exchange Association of Russia for period between the trading day and the last trading day. The Average is calculated with taking in account daily capitalization during this period. |
|
Contract price |
Is specified in percents up to 0.01 |
|
Price step (tick) |
0,01% |
|
Min step price |
Is calculated as potential change of present value of 1 million rubles after change of the expected average MosIBOR for period to last trading date for 0,01% |
|
Type of settlement |
Cash settlement |
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Execution months |
March, June, September, December |
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Last trading day |
Business day preceding 15 th of the execution month, in which in OJSC “”Russian Trading System” Stock Exchange” commodity futures are traded |
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Execution date |
Business day following the last trading day |
|
Minimum amount of initial margin * |
Is determined as potential change of present value of 1 million rubles after change of the expected average overnight rate for the period until exectution of the futures by two price change limits. |
|
Trading periods |
10:30–18:45 Moscow time |
|
Contract's code ** |
MIBR - <mm>.<yy> |
|
Contract Ticker (used in RTS DATA FEED) *** |
MI <m><y> |
ACCESS TO DERIVATIVES MARKETS:
Access via third party broker, access is only to FORTS.
INITIAL MARGIN and MARGIN FUNDING:
| |
Value on 17.08.06 |
Value on 26.10.06 |
|
1. Initial Margin, deposited by clearing members and their clients, RUR:
- cash, RUR:
- nonmonetary assets, RUR*: |
8 424 642 851,45
7 632 078 541,45
792 564 310,00 |
8 501 041 928,28
7 749 312 144,28
751 729 784,00 |
|
2. Contingency Fund, deposited by clearing members, RUR:
- cash, RUR:
- nonmonetary assets, RUR*: |
229 450 000,00
229 450 000,00
|
393 450 000,00
393 450 000,00
|
|
3. Reserve Fund Supporting the Guarantee System, RUR: |
180 000 000,00 |
210 000 000,00 |
|
4. Compulsory assessments, RUR: |
151 181,34 |
172 158,34 |
|
5. Total Assets Accumulated on the Accounts of the CJSC "RTS Clearing Center", RUR:
- with "Sberbank", RUR:
- with non-banking credit organization "RTS Settlement Chamber", RUR: |
7 867 150 289,14
5 849 674 289,14
2 017 476 000,00 |
8 152 171 305,58
6 147 171 305,58
2 005 000 000,00 |
|
6. Accumulated exchange commission, RUR: |
5 621 747,69 |
9 409 161,30 |
|
7. Blocked as the Initial Margin
- OJSC "Gazprom" Shares, piece/assessed value (70% of the approximate value of St-Petersburg Stock Exchange): |
3 695 800 / 792 564 310,00 |
3 680 800 / 751 729 784,00 |
NEWS
Russian Trading System Stock Exchange is going to launch delivery commodity derivatives and cash-settled weather derivatives next year.
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