OREANDA-NEWS. May 20, 2010. In accordance with the new principles of calculating variation margins for contracts quoted in foreign currency, RTS Stock Exchange is to calculate the indicative USD/RUB exchange rate.

The data on indicative USD/RUB exchange rate

For contracts that are quoted in basic points or US dollars the variation margin will be calculated by the exchange rate fixed at 2:00 pm MSK and 4:30 pm MSK during the intraday clearing session and the evening clearing session respectively. Please find the required US dollar exchange rate in the table published on the official RTS website.

Historical data on the indicative USD/RUB exchange rate for any trading day is available on the RTS ftp-server

You can find the following information relating to a particular trading day:

In the files dayf07.dbf and dayо07.dbf in the field TICK_PRICE - the price tick value in Russian rubles for the intraday clearing session for each contract quoted in US dollars;

In the files f07.dbf и о07.dbf in the field TICK_PRICE the price tick value in Russian rubles for the evening (main) clearing session for each contract quoted in US dollars.

Files dayf07.dbf и dayо07.dbf, as well as f07.dbf and о07.dbf are generated on the RTS ftp-server right after the corresponding clearing session.

Please note that the evening clearing session is the main session and that all trades and positions are settled with the exchange rate fixed at 16:30 MSK.