Russian Ruble/U.S. Dollar futures

Ruble record ADV of 10,386 ($355M notional) achieved in March 2020

Key macro facts

Russia is the 11th largest economy in the world with a nominal gross domestic product of $1.6 trillion in 2019.  Because Russia’s economy is heavily dependent on its status as a producer and exporter of oil, natural gas, steel, and aluminium, Russia is susceptible to movements in global commodity prices.  Oil has fallen more than 40% in price during 2020.  Falling oil prices have been compounded by a depreciating ruble, which has declined more than 20% against the US dollar during 2020.  Russian economic growth is expected to be between one and two percent during the first quarter of 2020.  However, GDP growth is likely losing traction as the global coronavirus outbreak is expected to hurt the country’s export sector due to compromised international trade flows, falling oil prices, and a depreciating ruble.  Many economists predict Russia is entering another recession and will experience negative GDP growth during the last three quarters of 2020.

Key stats

  • RUB Futures March 2020 ADV of 10,386 ($355M notional); up 86% vs February 2020
  • Large Open Interest Holders reached a record 52 on 14/01/20
  • RUB Futures YTD 2020 Average Open interest of 48,702 contracts (up 8.9% vs YTD 2019) reflecting steady increase in end-user participation.

Key features

  • Tight bid-ask spreads across all trading hours by dedicated market makers providing liquidity across all time zones.
  • CME’s RUB/USD futures contract offers a useful tool for risk managers to hedge their RUB currency risks.
  • CME offers a venue to access Russian assets along with the benefit of facing a regulated, central counterparty with reduced credit risk.

Key capital efficiencies and margin offsets

  • 45% savings with Norwegian Krone (NOK/USD)
  • 30% savings with Australian Dollar (AUD/USD)
  • 25% savings with Brent and WTI Crude
  • 20% savings with Brazilian Real (BRL/USD)

Cash-settled Russian Ruble futures at CME Group

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Standard futures

Globex: 6R Bloomberg: RUA Curncy Reuters: 0#RUSS: 

Block minimum threshold: 50

 

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Cash-settled Russian Ruble futures at CME Group

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Contract Specifications

Contract Unit 2,500,000 Russian rubles
Price Quotation U.S. dollars and cents per Russian Ruble
Trading Hours CME Globex: Sundays: 5:00 p.m. - 4:00 p.m. Central Time (CT) next day. Monday - Friday: 5:00 p.m. – 4:00 p.m. CT the next day, except on Friday - closes at 4:00 p.m. and reopens Sunday at 5:00 p.m. CT.
CME ClearPort: Sundays: 5:00 p.m. - 4:00 p.m. Central Time (CT) next day. Monday - Friday: 5:00 p.m. – 4:00 p.m. CT the next day, except on Friday - closes at 4:00 p.m. and reopens Sunday at 5:00 p.m. CT.
Minimum Price Fluctuation 0.000005 per Ruble=$12.50
Product Code CME Globex: 6R
CME ClearPort: RU
Clearing: RU
Listed Contracts Twelve consecutive (serial) contract months for the 1st year of maturity (includes 4 March, June, September and December quarterly contract months) plus 16 additional March quarterly months covering a total maturity range of 5 years (total of 20 March quarterly contract months plus 8 nearby non-March quarterly cycle serial contract months for a total of 28 contract months listed).
Settlement Method Financially Settled
Termination Of Trading Trading terminates on 15th day of the contract month , if that is not a business day, then it is the business day after that.
Settlement Procedures RUB/USD Futures Settlement Procedures
Position Limits CME Position Limits
Exchange Rulebook CME 260
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Contract Unit One futures contract for 2,500,000 Russian rubles
Minimum Price Fluctuation 0.000005 per Russian ruble = $12.50
Trading Hours CME Globex: Sunday - Friday 5:00 p.m. - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m.
CME ClearPort: Sunday - Friday 5:00 p.m. - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m.
Open Outcry: 7:20 a.m. – 2:00 p.m. Central Time (CT)
Product Code CME Globex: 6R
CME ClearPort: RU
Open Outcry: UO
Clearing: RU
Listed Contracts Monthly contracts listed for 12 consecutive months
Settlement Procedures Option on cash-settled futures contract
Termination Of Trading Trading terminates at 11:00 a.m. Moscow time on the 15th day of the month. If this is not a Moscow business day, trading terminates on the next business day of the Moscow interbank foreign exchange market.
Position Limits CME Position Limits
Exchange Rulebook CME 260A
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Exercise Style European
Settlement Method Deliverable
Underlying Russian Ruble Futures

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