Basic rates of the derivatives market at the Moscow Exchange

Тарифы срочного рынка на Московской бирже Currency

Participants in forward trades pay a commission on concluded deals. The size of these commissions varies depending on the tariff chosen by the participant. We will talk about them in the article, as well as about all those fees (commissions) that will need to be paid.

Basic tariffs for the Moscow Exchange

The table shows the current tariffs of the Moscow Exchange (VAT exempt):

NameCollection of the exchange itselfCollection of HKO NCC (National Clearing Center)General commission
Tariff number 1
Unchanged part (rubles)
Back part0.00575%0.00425%0.01%
Tariff No. 2
Unchanged part (rubles)14.38K10.63K25 thous.
Back part0.0053475%0.0039525%0.0093%
Tariff number 3
Unchanged part (rubles)143.75 thous.106.25 thous.250 thous.
Back part0.0050025%0.0036975%0.0087%
Tariff No. 4
Unchanged part (rubles)258.75 thous.191.25 thous.450 thous.
Back part0.0047725%0.0035275%0.0083%
Tariff number 5
Unchanged part (rubles)460 thous.340 thous.800 thous.
Back part0.0046%0.0034%0.0080%

Permanent (unchanging) part – paid on the first trading day (the period of time in days when the exchange trades) of each month, it does not matter whether the application (order) was submitted or deals were concluded / completed or not.
The reverse part is paid from the transaction amount on the day of the transaction, each commission is at least 0.01 rubles.

The change in the tariff is based on the participant’s application for choosing such an exchange trading plan. The application must be submitted to HKO NCC Bank within 5 working days before the beginning of the next calendar month (from which the selected tariff will be active).

Fee for admission to bidding

The amount of contributions, depending on the category of Participants to which the broker belongs, are presented in the table:

Categories of Participants in TransactionsContribution by category
“O”5,000,000
“O” (additional fee)250,000
“F1” or “F2”3,000,000
“T1” or “T2”1,000,000
“D1” or “D21,000,000

An additional fee is taken from the Participants of the “O” category for registration. It is not always charged. The decision on the existence of grounds for exemption from this contribution is made on the recommendation of the Derivatives Market Committee of PJSC Moscow Exchange.

Moscow Exchange Briefly about the categories:

  • “O”. The participants in the transaction are licensed for brokerage / dealer activities or work on the management of valuable assets. Members of this category have the right to trade in the Stock, Commodity and Money sections. They can transact from:
    • their own name and at their own expense;
    • own name and at the expense of the client;
    • name and at the expense of clients – clearing participants, as well as to make transactions with the indication of the clearing broker (depending on whether they comply with the corresponding part of the access conditions).
  • “F1”. Participants must be licensed for brokerage or valuable asset management. Members of this category have the right to trade in the Stock Section from:
    • own name and at the expense of clients;
    • name and at the expense of clients – clearing members, as well as conclude trades with the indication of the clearing broker.
  • “F2”. Participants must have a dealer license. This category of Participants is allowed to trade in the Stock section for making transactions:
    • on their own behalf and at their own expense;
    • with an indication of the clearing broker.
  • “T1”. Participants must be licensed for brokerage (a license for the implementation of such for the conclusion of contracts – derivative financial assets with the underlying asset in the form of a commodity) or activity for the management of valuable assets is counted. These Participants are granted admission to the Commodity section for making transactions:
    • on its own behalf and at the expense of clients;
    • on behalf of and at the expense of clients – clearing members;
    • with an indication of the clearing broker.
  • “T2”. Bidders must have a dealer license or they must be organizations with their own funds of at least 5 million rubles. This category has access to the Commodity section for transactions:
    • on their own behalf and at their own expense;
    • with an indication of the clearing broker.
  • “D1”. Participants must have a license for brokerage or valuable asset management. These Participants are admitted to trading in the Money section to make transactions:
    • on its own behalf and at the expense of clients;
    • on behalf of and at the expense of clients – clearing members;
    • with an indication of the clearing broker.
  • “D 2”. Participants must have a dealer license or be a credit / international organization. This category of Participants is allowed to trade in the Money section to make transactions:
    • on their own behalf and at their own expense;
    • with an indication of the clearing broker.

In accordance with the provisions of the Admission Rules, Participants may be allowed to trade in one or several market segments at once, including one or two categories in one section.

The admission rules can be found
here .

Exchange and clearing fees

Both of these fees are charged for futures contracts and on a margin basis, and an exchange fee is charged for scalping transactions as well.

Contract Fee for Futures

The amount of exchange commissions (fees) for using targetless or target orders for futures is calculated as follows:
FutFee = Round (Round (abs (FutPrice) * Round (W (f) / R (f); 5); 2) * BaseFutFee; 2)

FutFee ≥ 0.01 RUB

An explanation of the values ​​of the formula is presented in the table:

NameDecryption
FutfeeThe size of the commission for trading in futures (in rubles).
RoundA built-in function whose job is to round a number to a specified precision.
absA function to calculate the absolute value (this is an unsigned number).
W (f)The value of the minimum price step, which is determined according to the corresponding futures (in rubles).
R (f)The minimum price step, which is determined according to the corresponding futures.
BaseFutFeeThe base exchange rate of the futures freight rate for the Group of contracts to which it belongs:
  • foreign exchange contracts – 0.000885%;
  • interest – 0.003163%;
  • stock – 0.003795%;
  • index contracts – 0.001265%;
  • commodity – 0.002530%.
FutpriceThe value of the futures price determined in accordance with clauses 3.4.2-3.4.3 of this document  (in units of measurement specified in their price when placing an order).

Contract fee based on margin

Margin is the difference between price and cost (analogous to the concept of profit). Futures-style options are operations related to options trading, in which there is no cash flow on the accounts of both buyers and sellers, but the entire amount of collateral is kept on the trading accounts of the participants in the transaction.
MarginUse the following formula to calculate the amount of exchange commission for margin option contracts based on targetless or targeted orders:
OptFee = Round (min [(FutFee * K); Round (Premium * Round (W (o) / R (o); 5); 2) * BaseFutFee]; 2)

OptFee ≥ 0.01 rubles.

An explanation of the values ​​of the formula is presented in the table:

NameDecryption
OptFeeThe size of the commission (in rubles) for the conclusion of the transaction.
RoundThere is a decryption in the previous subsection.
FutfeeThe size of the commission (in rubles) for futures trading.
PremiumThe value of the option premium (in units of measure specified in the order for the option price).
W (o)The size of the minimum price step (in rubles).
R (o)The minimum price step.
BaseFutFeeThe value of the base rate at which the option is concluded is 0.06325 (exchange). The calculated base interest rate for the conclusion is 0.04675 (clearing).
TOAdditional coefficient: K = 2.

Scalping fee

Scalping futures trading are trades based on targetless orders. They lead to the opening and closing of futures positions within one trading period. More details about the instruments of these deals in the table:

NameDefinitionsBilling
FuturesForward trades, executed on the basis of targetless orders, lead to the opening and closing of futures positions within one trading period.0.5 of the total exchange fees for scalping transactions.
OptionsForward trades executed on the basis of targetless orders, if the option is exercised within one trading period (regardless of value), lead to the opening of opposite positions. Buying options to buy (Call) and sell – to sell (Put) options can lead to the opening of long positions in futures. Selling Call Options and buying Put Options will result in short futures positions. Scalper pair options:
  • Call acquisition – Call sale;
  • Call acquisition – Put purchase;
  • purchase of Put – purchase of Put;
  • acquisition Put – sale Call.

The total commission for executing scalping transactions using options is calculated using the following formulas:

  • Fee = (OptFee (1) + OptFee (2)) * K → if OptFee (1) = OptFee (2);
  • Fee = 2 * OptFee (1) * K + (OptFee (2) – OptFee (1)) → if OptFee (1) <OptFee (2);
  • Fee = 2 * OptFee (2) * K + (OptFee (1) – OptFee (2)) → if OptFee (1)> OptFee (2).

An explanation of the values ​​of the formulas is presented in the table:

NameDecryption
FeeTotal exchange commission for scalping operations (in rubles).
OptFee (1)The total amount of fees for executing trades within one trading period with options that lead to the opening of futures, calculated in accordance with the subsection “Contract Fee Based on Margin”.
OptFee (2)The total amount of fees for executing orders during the trading period … that lead to the closure of futures, calculated according to the subsection “Contribution … based on margin”.
TOA coefficient that is always 0.5.

Calendar Spreads Fee

Calendar Spread – Buy and sell futures with different maturities based on spread orders at the same time.
Stock exchangeThe amount of the contribution is determined in each trading period for each part of the clearing register based on the amount of fees from each futures transaction based on target-free or targeted orders of the “Calendar Spread”. The calculation is made according to the following formula:
FeeCS = ΣFutFeeCS * (1 – K) The decoding of the values ​​of the formulas is presented in the table:

NamesDecryption
FeeCSAmount of collection (in rubles) of the Calendar spread based on targetless orders within one trading period.
TOEffective discount rate during the marketing period, which is 0.2. This period, starting from the first trading day, is six months. During this period, you can enter into futures based on targetless orders. At the end of the period, the discount rate is not applied (here it is = 0).
ΣFutFeeCSThe commission for futures transactions (in rubles) charged on the basis of targetless orders of the “Calendar spread” is calculated as follows: FutFeeCS = Round ((Round ((abs FutPrice (1)) + abs (FutPrice (2))) * Round (W ( f) / R (f); 5)); 2) * BaseFutFee; 2) where:
  • FutPrice (1) – the value of the last calculated futures price (the one with the closest expiration date). Unit dimensions – those specified in the order for futures;
  • FutPrice (2) – the total value of the calculated futures price … (and further, similar to FutPrice (1)).

For the rest of the values, there is a decryption above.

The formula for calculating the fee for Calendar spreads for futures based on an order for a “Calendar spread” trade during a trading day is as follows:
FeeCS = ΣFutFeeCS Explanations of the values ​​used are already given in the article above.

Other fees

There are also the following fees:

  • Contribution to the Guarantee Fund. The smallest possible contribution of each of the Clearing Members to this fund is 10 million rubles. PJSC Moscow Exchange document on this type of contributions – download .
  • Clearing Commission and Tariffs. The concepts and meanings can be found in these documents:
    • Clearing rules for the stock market, the deposit and credit market – here .
    • Clearing rules for the commodity market – here.
  • Transaction fees. The document on “Additional fees …” is devoted to these fees by the exchange – see the document . Charged for transactions:
    • ineffective (if a dealer or a client conducts a lot of transactions, but at the same time makes few transactions);
    • erroneous Flood Control (if the dealer or the client conducts many such transactions with error code 9999);
    • executed by mistake, but different from Flood Control (if the dealer or his client conducts many such transactions with error codes 31, 332, 333, 4103, 3, 14, 50, 0).

In order to trade on the Derivatives market, you first need to understand all its nuances. Including with tariffs, commissions and fees charged on them, which are offered to participants of this type of trading.

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