Published on: 2026-09-28
Source: Moscow Exchange –
An important disclaimer is at the bottom of this article.
From October 12, 2026, the value of parameter K1, used in calculating the SwapRate (funding) component of variation margin, will change for one-day futures contracts with auto-rollover on precious metals and shares of Russian issuers (codes – GLDRUBF, SLVRUBF, SBERF, GAZPF), according to section 2.1.3. Specifications contracts.
The new value of K1 will be applied in the mark-to-market clearing session to determine the funding value for October 12, 2026. In the indicative funding calculation during the trading session on October 12, the current parameter value will be used, resulting in the funding value at the end of the trading day differing from the indicative value.
| Contracts | Current parameter values | Parameter values as of 23:50 MSK on October 12, 2026. |
| GLDRUBF, SLVRUBF, SBERF, GAZPF | K1=0.05%, K2=0.15% | K1=0%, K2=0.15% |
The values of parameters K1 and K2 for the other perpetual contracts remain unchanged.
Resetting the K1 parameter on perpetual futures is intended to improve pricing by reducing the divergence between contract prices and underlying assets. Earlier the K1 value was reset to zero for the perpetual futures IMOEXF and CNYRUBF, and for the new perpetual contracts the value of this parameter is also zero.
Detailed information about perpetual futures on precious metals and stocks of Russian issuers, as well as the procedure for calculating funding, is provided on the pages https://www.moex.com/a8493, https://www.moex.com/a8805.
Information about all perpetual futures is posted on page.
Please note; This information is raw content received directly from the source of information. It is an accurate report of what the source claims and does not necessarily reflect the position of MIL-OSI or its clients.