Initial Margin

To secure duly discharge of its obligations under futures contracts a Clearing Member shall deposit a cash and/or collateral – the initial margin. SDCO uses the SPAN methodology for the calculation of initial margins which are set separately for each position portfolio held by each Clearing Member.

Initial margin is calculated as the sum of:

  • SPAN-requirement;
  • Accumulated loss under variation margin obligations;
  • Preliminary delivery margin.

Detailed information on the initial margin requirements is given in clause 04.02 of the Clearing Rules.

Both calendar and inter-commodity spreads are taken into account while calculating initial margins for position portfolios.

Exemplary initial margins for various SPIMEX products are given below:

Product symbol Product name Exemplary initial margins*
U SPIMEX Urals Crude Deliverable Futures (FOB Primorsk) 14 – 16 %
FSMOSIDTL SPIMEX Cash-Settled Futures on the Moscow-based Regional Index for Summer Diesel 3 – 4 %
FSMOSIDTZ SPIMEX Cash-Settled Futures on the Moscow-based Regional Index for Winter Diesel 7 – 8 %
FSMOSIREG SPIMEX Cash-Settled Futures on the Moscow-based Regional Index for Gasoline Regular 92 4 – 5 %
FSMOSIMZT SPIMEX Cash-Settled Futures on the Moscow-based Regional Index for Fuel Oil 16 – 18 %
FSMOSITRD SPIMEX Cash-Settled Futures on the Moscow-based Regional Index for Jet Oil 6 – 7 %
FDDTL5KIR SPIMEX Deliverable Futures for Summer Diesel (Kirishi-based) 5 – 6 %
FDPRM5KIR SPIMEX Deliverable Futures for Gasoline Premium 95 (Kirishi-based) 5 – 6 %
FDREG5KIR SPIMEX Deliverable Futures for Gasoline Regular 92 (Kirishi-based) 4 – 6 %
FDPR560NZ SPIMEX Deliverable Futures for Gasoline Premium 95 on Nizhny Novgorod hub 4 – 6 %
FDRG560NZ SPIMEX Deliverable Futures for Gasoline Regular 92 on Nizhny Novgorod hub 4 – 5 %
FDDL560NZ SPIMEX Deliverable Futures for Summer Diesel on Nizhny Novgorod hub (10ppm) 3 - 5 %
FDDZ160NZ SPIMEX Deliverable Futures for Winter Diesel on Nizhny Novgorod hub (10ppm, cfpp -26) 7 - 8 %
FDRG560ER SPIMEX Deliverable Futures for Gasoline Regular 92 on Perm hub 4 – 5 %
FDDL560ER SPIMEX Deliverable Futures for Summer Diesel on Perm hub (10ppm) 3 - 5 %
FDDZ360ER SPIMEX Deliverable Futures for Winter Diesel on Perm hub (10ppm, cfpp -38) 5 – 6 %

* Current margin rates applicable to stand-alone open positions are disclosed at the Web-site of SDCO clearing house.

Delivery Margin

Delivery margin is an amount deposited by a Clearing Member to secure duly discharge of its obligations to effect delivery of physical commodity. By expiration date of the futures contract each Clearing Member having open positions in such futures shall deposit a delivery margin with SDCO.

Five (5) trading days prior to the expiry of the relevant futures contract SDCO starts to raise the initial margin rate by including into it a preliminary delivery margin. By the expiration date of the contract this amount (initial margin plus preliminary delivery margin) is equal to the delivery margin.

The amount of delivery margin is set individually for each deliverable futures contract.

Collateral for SPIMEX futures contracts can be deposited in:

  1. Roubles;
  2. US Dollars;
  3. Bank Guarantees issued by credit institutions accredited at SDCO clearing house:
    • eligible for inclusion into the initial and/or delivery margins
    • eligible for inclusion into the delivery margin only

All non-Rouble amounts are discounted by SDCO.

The share of bank guarantees and non-Rouble monetary funds cannot exceed:

  • 70% of the initial margin;
  • 100% of the delivery margin.

For more information about collateral for SPIMEX futures contracts please refer to the RDCO Web-site.


DB query error.
Please try later.