National Clearing Center extends the list of Derivatives market instruments with initial margin preferences for counter-positions:
Inter-contract spread group OFZ now includes the Fifteen-year Russian Federation government bonds futures.
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.