Translation. Region: Russian Federation –
Source: Moscow Exchange – Moscow Exchange –
An important disclaimer is at the bottom of this article.
In accordance with the Methodology for Determining Risk Parameters of the Moscow Exchange Derivatives Market by the National Credit Center (JSC), the upper price limits for futures and minimum collateral rate limits for the following underlying assets will be changed before the start of trading on March 9, 2026:
| No. | Underlying asset | Futures contract | Current minimum margin levels used to determine price caps | Minimum cap levels of post-change collateral rates used to determine price caps | ||||
|---|---|---|---|---|---|---|---|---|
| Level 1 MR1 | Level 2 MR2 | Level 3 MR3 | Level 1 MRCurr1 | Level 2 MRCurr2 | Level 3 MRCurr3 | |||
| 1 | BR | for Brent oil | 12% | 18% | 26% | 24% | 30% | 38% |
| 2 | BRM | for Brent oil (mini) | 12% | 18% | 26% | 24% | 30% | 38% |
| 3 | NG | Henry Hub natural gas | 24% | 34% | 46% | 25.5% | 35.5% | 47.5% |
| 4 | N.G.M. | Henry Hub (micro) natural gas | 24% | 34% | 46% | 25.5% | 35.5% | 47.5% |
As a result of the change in the collateral rates, the upper limits of the price corridors will be increased and the risk calculation center will be changed in accordance with Part 3 Methods for determining risk parameters of the Moscow Exchange PJSC derivatives market by the National Credit Center (JSC).
Additionally, the interest rate risk rate for a decline IRcurr(down) on futures contracts BR-5.26 and BRM-5.26 will be increased from 0.1 to 0.23 and the price corridor of calendar spreads BR-4.26-BR-5.26, BRM-4.26-BRM-5.26 will be increased.
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