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:
|Short name of the contract||SBRF-6.22|
|Name of the contract||Futures contract for ordinary shares of Sberbank PJSC|
|Type of contract||Futures|
|Type of contract||Delivery|
|Quote||in rubles per lot|
|The beginning of the appeal||03.06.2021|
|Last day of treatment||16.06.2022|
|Date of execution||17.06.2022|
|The cost of the price step||1|
|Lower limit||10 034|
|Upper limit||13 650|
|Estimated price of the last clearing||11 842|
|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 on||03.06.2022|
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!