News

National Clearing Center extends the list of Derivatives market instruments with initial margin preferences for counter-positions:

  1. Inter-contract spread group OFZ now includes the Fifteen-year Russian Federation government bonds futures.
  2. List of contracts that have discounts on inter-month spreads is extended (for the first and second quarter maturity dates for the following futures):

Underlying asset code

Futures contracts

Eu

EUR/USD Exchange rate

GBPU

GBP/USD Exchange Rate

AUDU

AUD/USD Exchange Rate

UJPY

JPY/USD Exchange rate

MIX

MICEX Index

VTBR

VTB Bank ordinary shares

OFZ2

Two-year Russian Federation government bonds

OFZ4

Four-year Russian Federation government bonds

OFZ6

Six-year Russian Federation government bonds

OFZ10

Ten-year Russian Federation government bonds

OFZ15

Fifteen-year Russian Federation government bonds

 

The changes come into force starting from the evening clearing session, September 5, 2014.

In case there are counter-positions between futures on OFZ baskets or between futures contracts in the inter-month spread, initial margin will only be reserved for one of the contracts: biggest initial margin out of the two positions. As a result, Trading Participants reduce their trading costs when applying this strategy to the instruments mentioned above.