26.04.2022 08:41
Changes to variation margin calculation for contracts denominated in a currency
In accordance with clause 5.1.3 of the specifications of the futures contracts for the US dollar to foreign currency exchange rate and for the euro to foreign currency exchange rate (the "Specifications"), the procedure for calculating the variation margin for the following contracts has been changed:
- USD/JPY (UJPY),
- USD/CAD (UCAD),
- USD/CHF (UCHF),
- USD/TRY (UTRY),
- EUR/CAD (ECAD),
- EUR/GBP (EGBP),
- EUR/JPY (EJPY).
When calculating the variation margin in accordance with clause 2.1.3 of the Specifications, the tick value will be determined using the following data:
| Rate | Intraday clearing | End-of-day clearing |
|---|---|---|
| CAD/RUB | Value vs. previous end-of-day clearing | Official rate of the Bank of Russia for the next day |
| CHF/ RUB | Value calculated according to indicative FX methodology using the CHFRUB_TOM of the Moscow Exchange FX Market | Official rate of the Bank of Russia for the next day |
| GBP/ RUB | Value calculated according to indicative FX methodology using the GBPRUB_TOM of the Moscow Exchange FX Market | Official rate of the Bank of Russia for the next day |
| TRY/ RUB | Value calculated according to indicative FX methodology using the TRYRUB_TOM of the Moscow Exchange FX Market | Official rate of the Bank of Russia for the next day, divided by 10 |
| JPY/ RUB | Value calculated according to indicative FX methodology using the JPYRUB_TOM of the Moscow Exchange FX Market, as divided by 100 | Official rate of the Bank of Russia for the next day, divided by 100 |
https://www.cbr.ru/eng/currency_base/daily/
The changes described will apply from 25 April through 20 May.