The first Russian commodity index was approved by the Central Bank.
The underlying asset of the futures contract will be the price index of wheat on delivery terms CPT Novorossiysk (Index code — WHCPT), which is calculated by JSC NTB (National Commodity Exchange).
In May 2021, the NTB began calculating and publishing the wheat price index.
Commodity auctions for the purchase of wheat have begun at the National Commodity Exchange since August 2021, based on the results of which this index is calculated.
The weighted average price of 1 ton of wheat of the 4th grade is taken as a basis, with the condition of delivery by CPT Novorossiysk. The price is indicated in Russian rubles without VAT.
What is the “plus” of the appearance of the wheat price index?
This index can be used to regulate commodity markets.
But first of all, it is a benchmark for market participants, which should allow more efficient planning of business processes and the use of price risk hedging tools.
It is for hedging price risks that trading is launched with a settlement contract for a futures on the wheat index and a margined option for this contract.
Incredible options are transactions related to the purchase and sale of an option, in which there is no movement of funds on the accounts of the seller and the buyer, however, the full amount of collateral is reserved for trading accounts of the parties involved in the transaction.
Moreover, their accounts must have enough funds that are needed for reservation.
Parameters of new contracts:
A settlement futures contract for the Wheat Index.
• lot size — 1 ton, quotation in rubles per ton of wheat;
• the minimum price step is 10 rubles;
• cost of a price step — 10 rubles;
• trade code — WHEAT.
A futures-settled option on the Wheat Index.
• lot size — one futures;
• the minimum price step is 10 rubles;
• price step cost – 10 rubles;
• long code — WHEAT, short code — W4.
Contract specifications are posted on the website (https://www.moex.com/a1563).
Market participants express hope that in the future there will be an FOB-based wheat price index, because Russia is a market-maker in the world wheat market.
