Moscow Exchange to add instruments eligible for inter-contract spread credits

13/03/2013

Starting from the evening clearing session on March 13, 2013 Moscow Exchange is expanding the list of its Derivatives market's instruments eligible for an initial margin benefit when opposite positions in these contracts are taken (inter-contract spreads):

  • an inter-contract spread for opposite positions in the RTS Index futures and RTS Standard Index futures will be improved to add the MICEX Index futures;
  • an inter-contract spread for opposite positions in the 2-year Government bonds futures, 4-year Government bonds futures and 6-year Government bonds futures will be introduced.

When taking opposite positions in the RTS Index futures, MICEX Index futures and RTS Standard Index futures or in the futures on the Government bonds, initial margin will only be required for one of the contracts (whichever is the largest). As a result, the trading members will enjoy 1.5-2 times less funding costs to trade these instruments.