Cash-settled futures contract on summer-grade gasoil
A cash-settled futures contract on summer-grade gasoil is the first cash-settled derivative contract on oil products on the Russian commodities market. The project is realized by the RTS Group in cooperation with St Petersburg Exchange on the basis of the Kortes Gasoil Index. Organizer of trading in this futures contract is St Petersburg Exchange whereas infrastructure support is provided by the JSC RTS Clearing Center.
The value of the Kortes Gasoil Index calculated daily by the leading Russian oil and petrochemical information KORTES on the basis of gasoil sale prices at 19 main oil refineries located in the European part of Russia, is taken as a settlement price for the cash-settled futures contract.
Futures contracts on summer gasoil will allow fuel market participants of Russia (manufacturers and consumers of gasoil) hedge risks associated with negative price movements, which is essential in the present market conditions.
In accordance with the current Russian tax legislation, hedging expenses are charged with the prime cost of the finished product.
Physical delivered Gas oil derivatives
Futures on Gas oil L-0,2-62 are the first physical delivered exchange contracts on gas oil. Delivery place is Volodarskaya linear operating dispatcher station of JSC Mostransnefteproduct.
Historical graphics of oil and oil products on basis of PLATT’s information
Historical graphic of index of gas oil prices
Data
Presentation "Russian market of light oil products"
Presentation "Perspective of oil and oil products futures development"
Cash settled oil and oil products futures
Seminar dedicated to oil and oil products futures launching
Physical delivered Sugar derivatives
Futures on sugar are physical delivered futures on sugar sand (all-Union State Standard 21-94). Delivery place is any railway station of the Krasnodar Territory and the Republic of Adygeya.
Contract volume equals to 5 tons.
Minimum delivering volume equals to 65 tons.
Delivery months: March, May, July, October, November
- Delivery scheme
- Strategy and delivery basis
Data
Presentation "Sugar futures"
Gold and Silver derivatives
Gold and Silver futures are unique financial instruments that provide access to the market of precious metals to anyone. This is the best way to trade precious metals with international prices. Accessible and convenient alternative to traditional investments as bullions, coins, shares of extractive companies and unallocated bullion accounts. Settlements are done on basis of London fixing (http://www.lbma.org.uk/statistics_current.htm). These derivatives are cash settled. Morning fixing is used for gold contracts.
- Strategies of gold and silver futures using
- Current prices of gold futures and options
- Current prices of silver futures
Data
Presentation "Gold and Silver futures"
Oil derivatives
The Urals Oil Futures Contract is the first exchange-traded futures based on the Urals export blend crude. A considerable share of global oil production is occupied by Urals oil making it one of the benchmarks of the world’s market for high-sulphur oil.
Brent oil is a marker crude on the European market. Brent quotes define the sale price for the Russian Urals oil. The difference between Brent and Urals prices, or the differential, is a floating value.
The launch of the Urals and Brent Crude Oil Futures contracts was caused by the necessity to hedge the level of sale prices for oil and oil products and the Urals-Brent differential value.
The Urals and Brent Crude Oil Futures contracts’ quotes are given in $/barrel which provides opportunities for arbitrage operations between the RTS Stock Exchange and Western exchanges.
- Strategies of oil futures using
- Current prices of oil futures and options
Power contracts
Futures contracts on average power price Index in Russian energy market hubs:
- Financial, non-deliverable future is the financial contract that is finally settled by paying the variation margin – difference between the contract price and the price of the underlying asset.
- Underlying asset for futures is the average price of electric power in Center and Ural hubs of the first price zone and Kuzbas hub of the second price zone on certain delivery hours (base-load hours and peak hours).
Why hub index is used? Close to 99% correlation of the hub index to the price of the GTP (group of delivery points) included in hub index.
The trading technology is similar to the EEX exchange technology that makes the trading mechanism multipurpose for the Russian and foreign participants.
Cash-settled futures contract on wheat
The launch of the contract is part of a joint activity programme between RTS Group and OJSC Saint Petersburg Exchange. The latter acts as an organizer of trading. RTS Clearing Center and RTS Settlement Chamber are responsible for clearing and settlements respectively.
The contract isl be quoted in rubles per ton with settlements in March, May, July, September and December. The on-exchange indicator on wheat calculated on the basis of a price of Wheat futures traded on Chicago Board of Trade (part of the CME Group) is used as the settlement price for the contract.
Futures on wheat may interest large agricultural companies and traders of agricultural products wishing to hedge their price risks. In addition, the contract provides FORTS market participants with new opportunities to implement different strategies: arbitrage strategies (RTS cash-settled futures contract on wheat vs. Wheat Futures contract of CBOT (CME group); investment strategies (long-term and medium-term investment strategies based on fundamental data (forecasts on production volumes, supply and demand on wheat), short-term trading strategies based on high volatility levels (including intraday volatility) of the underlying asset); and diversifying investment portfolio of asset management companies, due to including cash-settled futures contracts on commodities.
Commodity futures parameters
| Underlying asset |
Affinare
gold bullion |
Affinare
silver bullion |
Urals oil |
Brent |
Sugar |
Gas oil |
Power contracts |
| Contract volume |
1 ounce |
100 ounces |
10 barrels |
10 barrels |
5 tons |
1 tone |
0.1 mWh |
| Minimum size of Initial margin* |
5% |
7,5% |
7,5% |
7,5% |
5% |
7,5% |
15% |
| Contract code** |
GOLD-<mm>.<yy> |
SILV-<mm>.<yy> |
UR-<mm>.<yy> |
BR-<mm>.<yy> |
SUGA-<mm>.<yy> |
DIZL-<mm>.<yy> |
ECBM/EUBM - . |
| Short contract code in trading system *** |
GD<m><y> |
SV<m><y> |
UR<m><y> |
BR<m><y> |
SU<m><y> |
DZ<m><y> |
CB/UB |
| Buy/sell contract (RUR) |
1 |
2 |
1 |
1 |
2 |
5 |
10 |
| Scalper trade **** (RUR) |
0,5 |
1 |
0,5 |
0.5 |
1 |
2,5 |
5 |
| OTC trade (RUR) |
1 |
2 |
1 |
1 |
2 |
5 |
0 |
| Settlement organization (RUR) |
1 |
2 |
1 |
1 |
25 |
10 |
0 |
* Contract price rate.
** <mm> – month of execution, <yy> – year of execution (indicate in Arabic numerals).
*** <m> – month of execution, <y> – year of execution.
For months of execution following designations are accepted:
January – F, February – G, March – H, April – J, May – K, June – M, July – N, August – Q, September – U, October – V, November – X, December – Z.
Year of execution is indicate by one numeral, for example, for year 2006 - 6.
**** The trades leading opening and closing of positions during one trading session.
Data
Accounting and tax liabilities of operations with commodity derivatives on the Exchange.
