OREANDA-NEWS. May 11, 2010. On May 14, 2010 new principles for calculation of variation margin for FORTS contracts denominated in a foreign currency will become effective.

List of contracts:

Contracts quoted in basic points:

RTS Index futures and futures-style options on RTS Index futures;

Futures on RTS Sectoral Indices.

Contracts quoted in US dollars:

Futures contract on EUR/USD exchange rate;

Brent oil futures contract;

URALS oil futures contract;

Gold futures and futures-style options on gold futures;

Silver futures and futures-style options on silver futures;

Platinum futures and palladium futures.

The reviewed methodology provides for calculation of variation margin at the exchange rate that is much closer to the current exchange rate at the calculation moment.

The exchange rate will be calculated based on the USD quote published by Thomson Reuters in real time. A similar methodology for determination of the USD/RUB exchange rate is already employed for calculation of the RTS Index. The rate is updated each second during the trading session on every business day (methodology). For contracts that are quoted in basic points or US dollars the variation margin will be calculated at the exchange rate fixed at 2:00 pm MSC and 4:30 pm MSK during the intraday clearing session and the evening clearing session respectively.