Published on: 2026-10-12
Source: Moscow Exchange –
An important disclaimer is at the bottom of this article.
Managing Director of the Derivatives Market at the Moscow Exchange Maria Patrikeeva
The key rate index futures allow you to profit from changes in expectations regarding decisions of the Central Bank or hedge interest rate risks. How the Moscow Exchange instrument works and what is important to consider before a deal – explained by Maria Patrikeeva
In September 2026, trading in futures on the key rate index began on the Moscow Exchange. The new instrument allows trading on expectations regarding the Bank of Russia’s decision at a specific meeting. Private investors can use it to realize their forecasts, while companies can use it to manage interest income and expenses. However, correctly predicting the direction of the rate movement is not enough: the financial result also depends on which expectations are already reflected in the contract price.
The contract complements the exchange’s range of interest rate instruments, which includes the RUONIA index futures. The main feature of the contract is its direct connection to the regulator’s decision. The quoted price can be compared with one’s forecast of the key rate, and the expiration date corresponds to the meeting calendar.
The tool is available to a wide range of clients, including unqualified private investors after passing a test with the broker.
Features of the contract and its parameters
The underlying asset of the futures contract is the key rate index of the Moscow Exchange, calculated based on official data from the Bank of Russia. The key rate is one of the most important benchmarks for the country’s economy. Its level affects the terms of bank loans and deposits, bond yields, and the cost of financing for businesses.
The index value numerically matches the key rate: at a rate of 14%, the index equals 14 points.
The futures contract is traded under the code KEYRATE, and its price is quoted in points, as is the index value. The futures price formed during trading reflects participants’ expectations regarding the rate level on the contract’s expiration date. For example, with a current rate of 14%, a quote of 13.50 points indicates that the market anticipates a decrease. As inflation data, economic activity figures, and regulator statements are released, expectations change, and so does the contract price. However, the quote is not a guaranteed forecast of the future decision.
The minimum transaction volume is one contract. The contract’s settlement volume equals the index value multiplied by ₽1000: at an index of 14, this is ₽14 thousand. To evaluate profit or loss on the contract, an important metric is the contract’s monetary sensitivity to price changes. The minimum price increment is 0.01 points, corresponding to ₽10 per contract. Thus, a price movement of 0.01 points corresponds to ₽10 per one contract, a movement of 0.25 points corresponds to ₽250, and a movement of one point will result in ₽1000 profit or loss depending on the position’s direction. For multiple contracts, the result is multiplied by their quantity.
Opening a position and contract execution
Before the deal, it is necessary to familiarize yourself with the contract specifications: check the underlying asset, quoting units, the cost of the minimum price increment, the trading end date, and the execution procedure.
The key rate index futures expire on the days of the scheduled meetings of the Bank of Russia. Trading of the corresponding series ends at 19:00 Moscow time, and the settlement price equals the index value calculated based on the rate announced by the regulator on the day of the meeting. Thus, the final result of the contract is tied to the decision of the specific meeting. The contract is cash-settled, meaning the parties fulfill their obligations under the contract through monetary settlements.
An unscheduled meeting of the Bank of Russia does not lead to early settlement: the futures contract will continue to trade until the set date. At the same time, the new decision and changes in participants’ expectations regarding subsequent meetings may significantly affect its price.
Two series of contracts are available for trading simultaneously: currently with maturities on October 23 and December 18, 2026. The current list of expiration dates in circulation should be checked on the exchange’s website or with a broker.
How to trade a contract considering rate expectations
When making a deal, the investor needs to compare the expected interest rate level with the contract quotation. If their expectation is higher than the current futures price, the investor should buy the contract; if the expected level is lower than the contract price, profit can be made by selling the contract. Therefore, even the expectation of a rate decrease can be a reason to buy a futures contract if, at the time of the deal, the market price already reflects a larger decrease than the investor expects.
Let’s consider a hypothetical example.
The key rate is 14%, the December futures are trading at 13.50 points, and the investor expects the rate to drop to 13.75% after the December meeting. His forecast is higher than the market price, so he buys the contract at 13.5.
If the rate at execution is 13.75%, the total profit will be ₽250 per contract: (13.75 – 13.50) × 1000.
If the regulator lowers the rate to 13%, the loss will be ₽500: (13.00 – 13.50) × 1000.
In both cases, the rate decreased, but the outcome of the deal was different. Commissions and taxes are not taken into account in the example.
Waiting for execution is not mandatory: the position can be closed with an offsetting trade. In this case, the result is determined by the difference between the opening and closing prices, taking into account the direction of the position. The buyer profits when the price rises, the seller when it falls. Therefore, before opening a position, it is important to define the time frame of the trading idea and the circumstances under which it may need to be reconsidered.
How companies can manage interest rate risk
For businesses, a futures contract can be used for hedging interest rate risks. For example, a company with a loan tied to the key rate, expecting rates to rise, can buy a futures contract. If the rate level at execution turns out to be higher than the purchase price, the positive result on the contract will help offset part of the increased interest expenses on the loan. If a rate drop is anticipated, selling the contract can be used to protect income on assets with a floating rate: the profit from the sold contract when rates fall can compensate for the reduction in interest income.
The number of contracts is determined based on the volume of obligations or assets exposed to interest rate risk, as well as based on the frequency of interest payments and the sensitivity of cash flows to rate changes.
For accurate hedging, the dates of the rate reset on the hedged instrument are also important. If the instrument involves multiple rate resets during its lifetime, then for more precise hedging it may be necessary to select positions in contracts with several expiration dates. If the loan is linked to a different interest rate benchmark, this creates an additional risk of divergence in its dynamics from the key rate.
The “shoulder” mechanism and its risks
To open a position, a margin deposit is required – funds that ensure the fulfillment of obligations under the contract. It usually constitutes only a portion of the position’s value under the contract, while profit and loss depend on the change in the entire position’s value. This is precisely how leverage arises: the result relative to the deposited funds can be significantly greater than the percentage change in the quote.
Conditional example.
At a price of 14 points, the volume of one contract is ₽14 thousand. If the margin requirement is ₽5 thousand, then the leverage is 2.8. A price movement of one point can result in ₽1,000 profit or loss – that is 20% of the deposited margin.
The margin amount in the example is conditional. Actual requirements should be checked with the broker before the transaction. During the contract’s term, margin requirements may change, including in the event of increased volatility. At the same time, the potential loss on the futures contract is not limited to the initial margin amount.
The open position is revalued daily. A positive or negative result is reflected through variation margin — cash settlements based on the price changes of the contract during a single trading day. If the market moves against the position, additional funds to maintain the position may be required even before the contract expires.
Even an accurate forecast of the final rate does not exclude intermediate losses and the need to replenish the brokerage account. If there are insufficient funds, the broker may forcibly close the position. To prevent this from happening, it is important to have a liquidity reserve and the ability to quickly top up the account in advance.
What to consider when choosing the position size
The position size should be determined based on the allowable loss and the available margin. For example, an unfavorable movement of one point means a loss of ₽1000 per contract or ₽100,000 per hundred contracts. However, the chosen scenario does not set a limit on possible losses: an unexpected regulator decision or an unscheduled meeting can cause a sharper change in quotes. The reserve must take into account both the risk of a sudden price change of the contract and the risk of an increase in margin requirements.
Before submitting an order, it is important to assess the available buy and sell prices, the volumes of matching orders, and the commissions, which may vary among different brokers. For a large position, it is especially important to determine whether it can be opened or closed without a significant deviation from the current market price. Predefined exit conditions help to act consistently but do not guarantee execution at the desired price during sharp market movements.
Futures quote as a reference for expectations regarding the decision of the Bank of Russia
As the liquidity of the contract grows, the quotes of its various series may become an additional benchmark for expectations regarding the decisions of the Bank of Russia. By comparing them, participants will be able to assess the level of the rate that the market anticipates for the upcoming meetings. The informativeness of such a signal will depend on trading activity and the breadth of participants involved.
Please note; This information is raw content received directly from the source of information. It represents an accurate report of what the source claims and does not necessarily reflect the position of MIL-OSI or its clients.