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Futures Contract Specifications


Contract's name GBUSR
Contract symbol

GBUSR YYM where YY represent the last two (2) digits of the year when the Series expire and M represents the Expiration Month, which is indicated through a letter of the Latin alphabet, according to the following table of codification:

Expiration Month Symbol
January A
February B
March C
April D
May E
June F
July G
August H
September I
October J
November K
December L
Underlying asset The ratio between GBP and US dollar
Quotation (the price) Points
Tick size 0,0001 points (1 RON/contract)
Months of initiation March, June, September and December
Settlement date The second Friday preceding the third Wednesday of the settlement month. If the second Friday preceding the third Wednesday of the settlement month is not a business day, the settlement date will be the business day before the second Friday preceding the third Wednesday of the settlement month. The calendar day corresponding to the settlement date will be published in the first trading day, on the website www.sibex.ro, beginning with every new settlement.
Contract's size 10.000 Lei (RON) x the ratio between GBP and US dollar
First trading day For each settlement date, the first trading day is 12 months before, thus:
  • for March settlement, the first trading day is the first business day after the second Friday preceding the third Wednesday of the settlement month of the previous year.
  • for June settlement, the first trading day is the first business day after the second Friday preceding the third Wednesday of the settlement month of the previous year.
  • for September settlement, the first trading day is the first business day after the second Friday preceding the third Wednesday of the settlement month of the previous year.
  • for December settlement, the first trading day is the first business day after the second Friday preceding the third Wednesday of the settlement month of the previous year.
Minimum number of series and the characteristics of a series A number of futures contracts series will be listed so that four expiries are always available for trading.
Last trading day The second Friday preceding the third Wednesday of the settlement month.
Method of determining the daily settlement price for the daily mark to market procedure

The method of determination of the daily settlement price is established according with the ATHEXClear regulations.

See

APPENDIX NO.1.

.

The daily mark to market procedure

The open positions are subject to Daily Cash Settlement in RON, according to the following procedure:

Mark to market

When the Daily Settlement Price of the Contract, per traded Series, is higher than the Daily Settlement Price of the immediately preceding trading session, the buyer of the Contract is due from the seller, and accordingly the seller is obliged to pay to the buyer the Daily Cash Settlement Amount that arises from the difference between the aforementioned prices.

When the Daily Settlement Price of the Contract, per traded Series, is lower than the Daily Settlement Price of the immediately preceding trading session, the seller of the Contract is due from the buyer, and accordingly the buyer is obliged to pay to the seller the Daily Cash Settlement Amount that arises from the difference between the aforementioned prices.

Mark to trade

For the first trading day or in any other case when there is no Daily Settlement price for the immediately preceding trading session, when the Daily Settlement Price of the Contract, per traded Series, is higher than the trade price of the Contract, the buyer of the Contract is due from the seller, and accordingly the seller is obliged to pay to the buyer the Daily Cash Settlement Amount that arises from the difference between the aforementioned prices.

For the first trading day or in any other case when there is no Daily Settlement price for the immediately preceding trading session, when the Daily Settlement Price of the Contract, per traded Series, is lower than the trade price of the Contract, the seller of the Contract is due from the buyer, and accordingly the buyer is obliged to pay to the seller the Daily Cash Settlement Amount that arises from the difference between the aforementioned prices.

The Daily Cash Settlement Amount is given by:
Daily Cash Settlement Amount = (DsettleT - DsettleT-1) x M
Or
Daily Cash Settlement Amount = (DsettleT - Pfuture) x M
Where:
DsettleT: The Daily Settlement Price of the contract of the respective trading session( T)
DsettleT-1: The Daily Settlement Price of the contract of the immediately preceding trading session(T-1)
Pfuture: The trade price of the Contract
M: The Multiplier (contract size)
Method of determining the liquidation price at the settlement date
(Final Settlement Price)
The liquidation price or the final settlement price at the settlement date is equal with the quotation price of GBUSR futures contract for the same settlement, published by Chicago Mercantile Exchange in the settlement day of the contract.
Method of executing the open interest at the settlement date

The remaining open interest are cash-settled in RON according to the following procedure:

Mark to market

When the Final Settlement Price of the Contract, per traded Series, is higher than the Daily Settlement Price of the immediately preceding trading session, the buyer of the Contract is due from the seller, and accordingly the seller is obliged to pay to the buyer the Final Cash Settlement Amount that arises from the difference between the aforementioned prices.

When the Final Settlement Price of the Contract, per traded Series, is lower than the Daily Settlement Price of the immediately preceding trading session, the seller of the Contract is due from the buyer, and accordingly the buyer is obliged to pay to the seller the Final Cash Settlement Amount that arises from the difference between the aforementioned prices.

Mark to trade

In case there is no Daily Settlement price for the immediately preceding trading session and when the Final Settlement Price of the Contract, per traded Series, is higher than the trade price of the Contract, the buyer of the Contract is due from the seller, and accordingly the seller is obliged to pay to the buyer the Final Cash Settlement Amount that arises from the difference between the aforementioned prices.

In case there is no Daily Settlement price for the immediately preceding trading session, and when the Final Settlement Price of the Contract, per traded Series, is lower than the trade price of the Contract, the seller of the Contract is due from the buyer, and accordingly the buyer is obliged to pay to the seller the Final Cash Settlement Amount that arises from the difference between the aforementioned prices.

The Final Cash Settlement Amount is given by:

Final Cash Settlement Amount = (Fsettle - DsettleT-1) x M
Or
Final Cash Settlement Amount = (Fsettle - Pfuture) x M
Where,

Fsettle:The Final Settlement Price,

DsettleT-1:The Daily Settlement Price of the contract of the immediately preceding trading session(T-1)

Pfuture:the trade price of the contract

M: The Multiplier (contract size).

Trading schedule Monday to Friday between 10:00 - 23:15 ( Eastern European Time)
At the settlement date between 10:00 - 22:00 ( Eastern European Time)
Method of determining the Final Settlement Price in case the financial instrument is withdrawn from trading When the financial instrument is withdrawn from trading, the Final Settlement Price of the remaining open interests is calculated based on similar principles with the Final Settlement price defined in the section “Method of determining the liquidation price at the settlement date” with the difference that the Final Settlement Price is equal with the value of the settlement price of futures contract GBP/USD posted by Chicago Mercantile Exchange on the previous day then the one the instrument is withdrawn.
Standard maximum variation
Extended maximum variation
10%
15%
No. R.N.S.C. Registration Certificate: 111/15.07.2011