VI.4. Guarantee Provision.

Guarantee Provision (GP) is a key risk mechanism on the Futures Market of PJSC Moscow Exchange. The size of the GP in the MB Futures Market is determined by many factors, including: the volatility of the instrument, its liquidity, expiration date, price consistency between different execution dates, etc. As a rule, there is an inverse relationship between the liquidity of the instrument and the level of GP – the higher the liquidity, the lower the GP.

When does GP change?

    With an increase/decrease in risk rates with an increase/decrease in volatility on the instrument

    When the price of the instrument reaches the monitoring zone of the sufficiency of the boundaries of the price corridor and stays there during the set time of monitoring the price boundaries, the limits are expanded

    Before and after long breaks in trading (for example, related to public holidays)

, If there is a risk of a surge in volatility due to market or news events, according to the decision of the NCO NCC (JSC).

GP is calculated non-uniformly for each instrument. So, for example, for a futures contract for 100 shares of Sberbank JSC on 03.06.22 at a futures price of 12,034 rubles, the parameters on the MICEX website are as follows:

Tool Parameters

Short name of the contractSBRF-6.22
Short codeSRM2
Name of the contractFutures contract for ordinary shares of Sberbank PJSC
Type of contractFutures
Type of contractDelivery
Quotein rubles per lot
The beginning of the appeal03.06.2021
Last day of treatment16.06.2022
Date of execution17.06.2022
Price step1
The cost of the price step1
Lower limit10 034
Upper limit13 650
Estimated price of the last clearing11 842
Transaction registration fee*, RUB.0,8
Fee for a scalper transaction*, rub.0,4
Fee for an address transaction*, RUB.0,8
Guarantee provision at the first level of the concentration limit** (GP, rub.)3 626,9
GP data on03.06.2022

That is, GP is equal to 3626,9/12034*100 % = 30% of the value of 1 futures. If you were buying real 100 shares of Sberbank, you would have to pay 12,034 rubles! Please note that the futures are deliverable, which means if by the expiration date you have reached the short for 1 Sberbank futures, you will have to buy 100 Sberbank shares at their price at the time of expiration to the buyer of your futures. And buy at the current expiration date price!

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