New Interest Rate Futures With Longer Periods Of Execution Have Been Launched On The MICEX Derivatives Market

In the MICEX Derivatives (Standard Contracts) Market Section trading has been launched in new series of futures on MosPrime Rate interest rate with execution in June, September and December of 2008 and in March, June and September of 2009, as well as futures on MosIBOR interest rate with execution in September of 2008. The maximum period before execution of the farthest series of MosPrime Rate futures has been extended from 9 to 24 months, while the maximum period before execution of MosIBOR futures has been extended from 9 to 12 months.

This measure followed the inquiry conducted among the members of the MICEX Derivatives Market Section, which revealed participants’ interest in trading in new series of interest rate futures with longer periods of execution. This measure enables to improve the possibilities of trading and hedging and equalize maximum periods before execution of the farthest series of MosIBOR futures and the US dollar futures.

Price change limits for MosPrime Rate futures with execution in June and September of 2008: 0.6, for other contracts: 0.7. Price change limits for MosIBOR futures with execution in September 2008: 75000.

Find more information on trading in interest rate futures on the MICEX web site: www.micex.ru/futures/.

Background

Trading in interest rate derivatives has been held in the MICEX Derivatives (Standard Contracts) Market Section since 30 May 2006. Market participants can trade in the futures on the compounded MosIBOR overnight interest rate and the 3-month MosPrime Rate, which are calculated by the National Foreign Exchange Association (NFEA) and are the main rates (indicators) of the Russian market for interbank credits. Interest rate futures are intended for a wide circle of organizations. They enable to effectively manage the interest rate risk and carry out arbitrage operations. Recently, interest in exchange-based trading in interest rate futures has grown noticeably. In August 2007 the record-high number of transactions (88) was concluded in these instruments to the total amount of about 9 billion rubles (910 contracts). The record-high daily turnover was reached on 17 August: 156 contracts or over 1.5 billion rubles. On that day open interest amounted to 274 contracts.