In compliance with the decision of the RTS Derivatives Market Committee the Initial Margin requirement will be increased by the RTS Clearing Center for the holidays season in two stages:
- 1 stage – during the evening clearing session on December 22, 2010;
- 2 stage – during the evening clearing session on December 29, 2010.
The increased Initial Margin sizes will be in effect until the evening clearing session on January 11, 2011:
Futures contracts on | Basic IM size | IM size | |
---|---|---|---|
From December 22, 2010 | From December 29, 2010 | ||
RTS Index | 7,5% | 12% | 15% |
RTS Standard Index | 7,5% | 12% | 15% |
RTS Consumer & Retail Index | 30% | 33% | 35% |
RTS Oil & Gas Index | 20% | 28% | 35% |
MMC NORILSK NICKEL ordinary shares | 15% | 20% | 25% |
Gazprom ordinary shares | 12% | 16% | 20% |
LUKOIL ordinary shares | 12% | 16% | 20% |
Rosneft ordinary shares | 15% | 20% | 25% |
Sberbank ordinary shares | 12% | 16% | 20% |
Surgutneftegas ordinary shares | 15% | 20% | 25% |
VTB Bank ordinary shares | 15% | 20% | 25% |
MTS ordinary shares | 25% | 28% | 30% |
NOVATEK ordinary shares | 25% | 28% | 30% |
Transneft preferred shares | 15% | 23% | 30% |
Sberbank preferred shares | 15% | 23% | 30% |
RusHydro ordinary shares | 15% | 23% | 30% |
Tatneft ordinary shares | 25% | 28% | 30% |
Severstal ordinary shares | 25% | 28% | 30% |
Uralkali ordinary shares | 25% | 28% | 30% |
Surgutneftegas preferred shares | 15% | 23% | 30% |
FGC UES ordinary shares | 25% | 28% | 30% |
NLMK ordinary shares | 25% | 28% | 30% |
Polymetal ordinary shares | 25% | 28% | 30% |
MMK ordinary shares | 25% | 28% | 30% |
Troika Dialog AM, "Troika Dialog – RTS Standard Index", fund units | 15% | 23% | 30% |
USD/RUB exchange rate | 4% | 6% | 8% |
EUR/RUB exchange rate | 4% | 6% | 8% |
EUR/USD exchange rate | 4% | 6% | 8% |
AUD/USD exchange rate | 4% | 6% | 8% |
GBP/USD exchange rate | 4% | 6% | 8% |
average rate of the overnight MosPrime credit | ** | ** | ** |
average rate of the three month MosPrime credit | 15% | 20% | 25% |
gold | 8% | 10% | 12% |
refined silver | 10% | 15% | 20% |
sugar | 10% | 15% | 20% |
raw sugar | 10% | 15% | 20% |
URALS oil | 10% | 15% | 20% |
BRENT oil | 10% | 15% | 20% |
diesel fuel | 10% | 15% | 20% |
refined platinum | 10% | 15% | 20% |
refined palladium | 10% | 15% | 20% |
copper | 10% | 15% | 20% |
power index at the ‘Center’ hub (in basic load hours) | 15% | 20% | 25% |
power index at the ‘Center’ hub (in peak load hours) | 15% | 20% | 25% |
power index at the ‘Ural’ hub (in basic load hours) | 15% | 20% | 25% |
power index at the ‘Ural’ hub (in peak load hours) | 15% | 20% | 25% |
power index at the East Siberia’ hub (in basic load hours) | 15% | 20% | 25% |
power index at the ‘West Siberia’ hub (in basic load hours) | 15% | 20% | 25% |
On RTS Standard the increased Initial Margin requirement will be in effect until the evening clearing session on January 11, 2011.
Security | Basic IM size | IM size | |
---|---|---|---|
From December 22, 2010 | From December 29, 2010 | ||
MMC NORILSK NICKEL ordinary shares | 15% | 20% | 25% |
Gazprom ordinary shares | 12% | 16% | 20% |
LUKOIL ordinary shares | 12% | 16% | 20% |
Rosneft ordinary shares | 15% | 20% | 25% |
Sberbank ordinary shares | 12% | 16% | 20% |
Surgutneftegas ordinary shares | 15% | 20% | 25% |
VTB Bank ordinary shares | 15% | 20% | 25% |
MTS ordinary shares | 25% | 28% | 30% |
NOVATEK ordinary shares | 25% | 28% | 30% |
Polyus Gold ordinary shares | 25% | 28% | 30% |
Transneft preferred shares | 15% | 23% | 30% |
Uralsvyazinform ordinary shares | 15% | 23% | 30% |
Sberbank preferred shares | 15% | 23% | 30% |
RusHydro ordinary shares | 15% | 23% | 30% |
Tatneft ordinary shares | 25% | 28% | 30% |
Severstal ordinary shares | 25% | 28% | 30% |
Uralkali ordinary shares | 25% | 28% | 30% |
Surgutneftegas preferred shares | 15% | 23% | 30% |
FGC UES ordinary shares | 25% | 28% | 30% |
NLMK ordinary shares | 25% | 28% | 30% |
Polymetal ordinary shares | 25% | 28% | 30% |
MMK ordinary shares | 25% | 28% | 30% |
JSC "Aeroflot" ordinary shares | 25% | 28% | 30% |
JSC "INTER RAO UES" ordinary shares | 15% | 23% | 30% |
JSC "IDGC Holding" ordinary shares | 25% | 28% | 30% |
MOSENERGO ordinary shares | 25% | 28% | 30% |
PJSC "NCSP" ordinary shares | 25% | 28% | 30% |
JSC "OGK-1" ordinary shares | 25% | 30% | 35% |
JSC "OGK-2" ordinary shares | 25% | 30% | 35% |
JSC "WGC-3" ordinary shares | 25% | 28% | 30% |
OAO Raspadskaya ordinary shares | 25% | 30% | 35% |
JSC Gazprom Neft ordinary shares | 15% | 23% | 30% |
JSC "TGC-1" ordinary shares | 25% | 28% | 30% |
Troika Dialog AM, "Troika Dialog – RTS Standard Index", fund units | 15% | 23% | 30% |