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Moscow Exchange: Changes In Data Collection Time Period In Calculation Of Futures Settlement Prices

Date 21/01/2019

On 4 February 2019, Moscow Exchange will change the time period for collection of market data used to establish a settlement price for futures contracts. 

The settlement price for all underlying assets other than Russian shares is determined based on market data from 18:43 to 18:44 MSK and for Russian shares (except for indices) from 18:37 to 18:38 MSK.

The time period for collection of market data to establish a settlement price for intra-day clearing remain unchanged, i.e. from 13:57 to 13:58.

The settlement price for liquid futures contracts is determined based on median prices of market snapshots taken with a certain frequency throughout the data collection period. The settlement price for non-liquid contracts is determined based on market data as well as prices of liquid contracts and interest rate curves. For more information about the settlement price algorithm, please follow this link.

Options are automatically exercised in the evening clearing session against the futures contract’s settlement price calculated under the foregoing algorithm.