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RUS

Limits


Trading limit

The trading limit for a certain portfolio of the Clearing Member’s positions shall be established in the amount of the contributed collateral (initial margin). The limit value shall set the maximum permitted posted initial margin established for this position portfolio and shall limit the number of positions in the portfolio.

Control over compliance with the limit shall be exerted on a real-time basis: execution (partial or full) of each order shall not entail exceeding of the amount of the posted initial margin over the limit. To increase the trading limit for this position portfolio the Clearing Member may transfer the funds free fr om obligations fr om other trading registers or contribute additional funds to the Clearing Organization’s Account. In this regard the total amount of obligations in respect of the initial margin within all position portfolios of the Clearing Member shall be limited by the MaximumTrading Limit.

Limit for the futures contract price change

The Price change limit shall mean the maximum permitted deviation of the price of the order to buy (to sell) fr om the settlement price established according to the results of the previous trading session. The value of this limit shall be determined for each series of futures contracts.

If the order price R is not within the set range of Rmin and Rmax the Exchange shall not accept such order for execution.

The price change limit is generally supposed to be unchanged for two consecutive trading sessions but variation is possible depending on the current price volatility or other circumstances.

Market share limit

The market share limit prevents fr om possible risk concentration on one or several major Clearing Members. The market share limit shall be regulated depending on the number of Clearing Members holding major positions on the market in respect of the futures contract series under consideration. The Member is considered to hold a major position on the market if the total number of net positions exceeds a certain threshold value.

Example. Let 7 Clearing Members (CM) for a certain futures contract series have open positions; the threshold value be equal 1,000 contracts, the market share limit be 30%.

  1. The first Clearing Member (CM1) has 220 net positions to buy and files an order to buy 90 contracts more. Thereat, the order complies with the limit as the total number of open positions will be 220+90=310 upon acceptance of the order, which is less than the threshold value.
  2. Suppose CM1 has 2200 positions to buy and files and order for the same number of positions. Now the total number of positions (2200+90=2290) exceeds the threshold value and it is necessary to check the share of CM1 in the total number of open positions in case of order acceptance. In such case the share will be equal to (2200+90)/(5000+90)~= 0.45 > 0.3, so the order is to be rejected.
Maximum trading limit

The Maximum Trading Limit (credit limit) shall be set for each Clearing Member separately on the basis of analysis of its financial standing. When setting the MTL SDCO (JSC) take into account the amount and quality of the Clearing Member’s assets, amount of its equity funds and the amount of its personal contribution to the Collective Default Fund of the Clearing Organization. The maximum trading limit shall limit the amount of obligations of the Clearing Member in respect to the initial margin within all the position register portfolios.

In accordance with the Clearing Rules the Clearing Members shall confirm their financial standing by quarterly submission of their current financial statements to SDCO (JSC). On the basis of the submitted information SDCO (JSC) may increase or decrease the MTL value.

When the Clearing Member’s obligations are checked for exceeding the Maximum Trading Limit the limit value shall be compared to the amount of posted initial margin within all portfolios of position registers of this Clearing Member calculated according to the following formula:


sur_0002.jpg,
where
sur_0003_Dmtl.jpg shall be the total posted initial margin of such Clearing Member under all the portfolios;
sur_0003_i_eq_1--n.jpg shall mean the portfolios with the standard margining level;
sur_0003_j_eq_1--n.jpg  shall be portfolios with the increased margining level;
 k shall be the factor of MTL (maximum trading limit) control established for the increased margining level pursuant to the Rules for Determination of the Guarantee System Parameters of SDCO (JSC) in the derivatives market of SPIMEX approved by Director General;
sur_0003_Di_Dj.jpg  - shall mean the posted initial margin within the i-th/j-th position portfolio;
sur_0003_PPMi_PPMj.jpg  shall mean the posted preliminary delivery margin within the i-th/j-th position portfolio.

Example: Suppose, the Clearing Member has two portfolios opened: Portfolio 1 with the standard margining level and Portfolio 2 with the increased margining level. An order is filed from Portfolio 2 and in view of such order the posted initial margin and PPM shall take the following values:

D1 shall be the posted initial margin under Portfolio 1 equal to 100,000 Russian rubles;

D2 shall be the posted initial margin under Portfolio 2 which in view of the order is equal to 200,000 Russian rubles;

PPM1 shall be the posted preliminary delivery margin under Portfolio 1 equal to 40,000 Russian rubles;

PPM2 shall be the posted preliminary delivery margin under Portfolio 2 which in view of the order is equal to 50,000 Russian rubles;

The factor of MTL control k is equal to 0.02.

The Maximum Trading Lim it is equal to 110.000 Russian rubles.

In this example the Maximum Trading Lim it is compared to sur_0003_Dmtl.jpg = (100,000 – 40,000) + 0.02*(200,000 – 50,000) = 63,000 Russian rubles < 110,000 Russian rubles, so the order is to be accepted.


Example 1: Let some Clearing Member have two portfolios with the standard margining level established for both of them, the Member files a new order from the position register included into the second portfolio. Suppose, execution of this order (in view of possible execution of several or even all other active orders) leads to exceeding of the required collateral amount less the preliminary delivery margin under both portfolios over the MTL value, then such order is to be rejected.


Example 2: Let some Clearing Member have two portfolios, with the standard margining level established for portfolio 1, increased margining level established for portfolio 2. The Member files an order similar to that from example 1 from the position register included into the second portfolio. Suppose, execution of this order (in view of possible execution of several or even all other active orders) does not lead to exceeding of the required collateral amount under portfolio 1 less the preliminary delivery margin and the required collateral amount under portfolio 2 less the preliminary delivery margin multiplied by the factor of MTL control over the MTL value, then such order is to be accepted.

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