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    26.04.2012 13:42

    Initial Margin requirement on the MICEX-RTS derivatives market to be increased for the holidays season

    Please be advised that in accordance with recommendations of the MICEX-RTS Derivatives committee, RTS Clearing Center have changed initial margin values for the FORTS Derivatives market, derivatives markets of Saint-Petersburg Exchange and Moscow Energy Exchange, Standard sector of the MICEX-RTS Securities market and RTS Money as follows.  

                                                                                                                                                                           
    FORTS futures contracts on/instrument
    of the Standard section/RTS Money Instruments
     
    Initial Margin Size 
    Basic size*  Size for the holidays period  Increase 
    RTS Index 10%** 15%** 1,5
    RTS Standard Index 10% 15% 1,5
    Russian Volatility Index 30%** 45%** 1,5
    RTS Index 10% 15% 1,5
    RTS Standard Index 35%** 35%** 1
    sector index RTSog 35%** 35%** 1
    MMC NORILSK NICKEL ordinary shares 15% 22,5% 1,50
    Gazprom ordinary shares 12% 20% 1,67
    LUKOIL ordinary shares 12% 15% 1,25
    Rosneft ordinary shares 15% 22,5% 1,50
    Sberbank ordinary shares 12% 20% 1,67
    Surgutneftegas ordinary shares 15% 22,5% 1,50
    VTB Bank ordinary shares 15% 22,5% 1,50
    MTS ordinary shares 20% 25% 1,25
    NOVATEK ordinary shares 20% 25% 1,25
    Transneft preferred shares 15% 25% 1,67
    Sberbank preferred shares 15% 22,5% 1,50
    RusHydro ordinary shares 15% 22,5% 1,50
    RDRs representing rights on shares of United Company RUSAL Plc 20% 25% 1,25
    Tatneft ordinary shares 20% 25% 1,25
    Severstal ordinary shares 20% 30% 1,50
    Uralkali ordinary shares 20% 25% 1,25
    Surgutneftegas preferred shares 15% 20% 1,33
    FGC UES ordinary shares 20% 30% 1,50
    NLMK ordinary shares 25% 30% 1,20
    Polymetal ordinary shares 25% 30% 1,20
    MMK ordinary shares 25% 30% 1,20
    Aeroflot ordinary shares 25% 25% 1,00
    INTER RAO UES ordinary shares 20% 22,5% 1,13
    IDGC Holding ordinary shares 25% 30% 1,20
    MOSENERGO ordinary shares 25% 25% 1,00
    NCSP ordinary shares 25% 25% 1,00
    OGK-1 ordinary shares 25% 30% 1,20
    OGK-2 ordinary shares 25% 30% 1,20
    WGC-3 ordinary shares 25% 30% 1,20
    Raspadskaya ordinary shares 25% 30% 1,20
    Gazprom Neft ordinary shares 20% 25% 1,25
    TGC-1 ordinary shares 25% 30% 1,20
    на Troika Dialog AM, "Troika Dialog – RTS Standard Index", fund units 15% 20% 1,33
    Rostelecom ordinary shares 20% 25% 1,25
     


    USD/RUB exchange rate 3,5% 5% 1,43
    US Dollar 3,5% 5% 1,43
    EUR/RUB exchange rate 3,5% 5% 1,43
    EUR/USD exchange rate 3.5%** 5%** 1,43
    AUD/USD exchange rate 5%** 5%** 1
    GBP/USD exchange rate 3.5%** 5%** 1,43
    average rate of the overnight MosPrime credit *** ***
    average rat      e of the three month MosPrime credit 15% 22,5% 1,50
    2-year Russian Federation government bonds 1,5% 2% 1,33
    4-year Russian Federation government bonds 2,5% 3,5% 1,40
    6-year Russian Federation government bonds 3,5% 4% 1,14
     


    Gold 8%** 12%** 1,50
    Refined silver 16%** 22.5%** 1,41
    Raw sugar 12% 16% 1,33
    URALS oil 15%** 20%** 1,33
    BRENT oil 10%** 16%** 1,60
    Refined platinum 10%** 15%** 1,50
    Refined palladium 12%** 20%** 1,67
    Copper 10% 15% 1,50
     


    Summer diesel fuel 15% 20% 1,33
    Gas-oil 12% 16% 1,33
    Corm 12% 16% 1,33
    Wheat 12% 16% 1,33
    Cotton 12% 20% 1,67
    Soy beans 12% 16% 1,33
     


    monthly contracts on the power index at the 'Center' hub (in basic load hours) 15% 18% 1,20
    quarterly contracts on  the power index at the 'Center' hub (in basic load hours) 10% 12% 1,20
    annual contracts on the index at the 'Center' hub (in basic load hours) 5% 6% 1,20
    monthly contracts on the power index at the 'Center' hub (in peak load hours) 15% 18% 1,20
    quarterly contracts on the power index at the 'Center' hub (in peak load hours) 10% 12% 1,20
    annual contracts on the power index at the 'Center' hub (in peak load hours) 5% 6% 1,20
    monthly contracts on the power index at the 'Ural' hub (in basic load hours) 15% 18% 1,20
    quarterly contracts on the power index at the 'Ural' hub (in basic load hours) 10% 12% 1,20
    annual contract son the power index at the 'Ural' hub (in basic load hours) 5% 6% 1,20
    monthly contracts on the power index at the 'Ural' hub (in peak load hours) 15% 18% 1,20
    quarterly contracts on the power index at the 'Ural' hub (in peak load hours) 10% 12% 1,20
    annual contracts on the power index at the 'Ural' hub (in peak load hours) 5% 6% 1,20
    power index at the 'Eastern Siberia' hub (in basic load hours) 15% 18% 1,20
    power index at the 'West Siberia' hub (in basic load hours) 15% 18% 1,20

    * In per cent of the contract's price.
    ** Values of the initial margin basic size in rubles are greater than those indicated hereinabove for these contracts as the current USD/RUB exchange rate is used to calculate variation margin and initial margin sizes.
    *** Amount in rubles is determined by the formula max(2700; 15*Sqrt(N)*2*1000000/36500), where N – number of days for the period from the current day to the futures settlement day, Sqrt – square root.

    The new values of the initial margin will be in effect starting from the end of the evening clearing session on April 27, 2012 to the evening clearing session on May 2, 2012.

    In addition, in accordance with the recommendations of the MICEX-RTS Derivatives market committee, the following values of the collateral limits for the MICEX Derivatives market have been set for the period from April 28, 2012 through May 2, 2012:

    • for the contracts on RUB/USD exchange rate: from 7% to 10%;
    • for the contracts on interest rates: from 2% to 3%.

    For further information, please contact the Public Relations Department at (495) 363-3232.

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