Changes to variation margin calculation for contracts denominated in a currency other than Russian rouble

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 is now determined using the following data:

1. Bloomberg (BGN Executable) over 18:00-18:05
   1. For USD/RUB, USD/CAD, USD/CHF, USD/GBP, USD/JP and USD/TRY, the closing value for each of the five following intervals are taken 18:00:00-18:00:59, 18:01:00-18:01:59, 18:02:00-18:02:59, 18:03:00-18:03:59, and 18:04:00-18:04:59.
   2. They are used to calculate CAD/RUB, CHF/RUB, GBP/RUB, JPY/RUB and TRY/RUB for each time slice (five values).
   3. For each exchange rate, the arithmetic mean function of the five calculated values is applied.
   4. The resulting rates are used to calculate the variation margin.

A similar procedure for determining the value of the minimum price fluctuation is applied to option contracts on the aforementioned futures contracts.