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Futures for RUONIA rate are to be available for trading from October 12, 2016. NCC Clearing Bank sets the following risk parameters for the instruments in October 2016:
| № | Code | Futures contract | Basic IM Rate | ||
|---|---|---|---|---|---|
| from 12.10.2016 | from 17.10.2016 at 7:00 pm | from 24.10.2016 at 7:00 pm | |||
| 1 | RUON-10.16 | RUONIA rate | 2.0% | 1.5% | 1.0% |
| Instrument/ Period | Inter-month spread coefficient | ||
|---|---|---|---|
| from 12.10.2016 | from 17.10.2016 at 7:00 pm | from 24.10.2016 at 7:00 pm | |
| RUON-11.16 | 1.25 | 1.67 | 2.50 |
| RUON-12.16 | 1.25 | 1.67 | 2.50 |
| RUON-1.17 | 1.25 | 1.67 | 2.50 |
| RUON-2.17 | 1.25 | 1.67 | 2.50 |
| RUON-3.17 | 1.50 | 2 | 3 |
| RUON-4.17 | 1.88 | 2.50 | 3.75 |
| RUON-5.17 | 1.88 | 2.50 | 3.75 |
| RUON-6.17 | 1.88 | 2.50 | 3.75 |
| RUON-7.17 | 1.88 | 2.50 | 3.75 |
| RUON-8.17 | 1.88 | 2.50 | 3.75 |
| RUON-9.17 | 1.88 | 2.50 | 3.75 |
