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 market of Saint-Petersburg Exchange, Standard sector of the MICEX-RTS Securities market and RTS Money as follows. The new values of the initial margin will take effect on April 3, 2012 after the end of the evening clearing session.
FORTS futures contracts on/instrument of the Standard section/RTS Money/ Saint-Petersburg Exchange | Current minimum initial margin size | New minimum initial margin size |
---|---|---|
RTS Index | 10%** | 10%** |
RTS Standard Index | 10% | 10% |
Russian Volatility Index | 45%** | 30%** |
MICEX Index | 10% | 10% |
sector index RTScr | 30%** | 35%** |
sector index RTSog | 20%** | 35%** |
MMC NORILSK NICKEL ordinary shares | 20% | 15% |
Gazprom ordinary shares | 15% | 12% |
LUKOIL ordinary shares | 15% | 12% |
Rosneft ordinary shares | 20% | 15% |
Sberbank ordinary shares | 15% | 12% |
Surgutneftegas ordinary shares | 20% | 15% |
VTB Bank ordinary shares | 20% | 15% |
MTS ordinary shares | 25% | 20% |
NOVATEK ordinary shares | 25% | 20% |
Transneft preferred shares | 20% | 15% |
Sberbank preferred shares | 20% | 15% |
RusHydro ordinary shares | 20% | 15% |
RDRs representing rights on shares of United Company RUSAL Plc |
20% | 20% |
Tatneft ordinary shares | 25% | 20% |
Severstal ordinary shares | 25% | 20% |
Uralkali ordinary shares | 25% | 20% |
Surgutneftegas preferred shares | 20% | 15% |
FGC UES ordinary shares | 25% | 20% |
NLMK ordinary shares | 25% | 25% |
Polymetal ordinary shares | 25% | 25% |
MMK ordinary shares | 25% | 25% |
Aeroflot ordinary shares | 25% | 25% |
INTER RAO UES ordinary shares | 20% | 20% |
IDGC Holding ordinary shares | 25% | 25% |
MOSENERGO ordinary shares | 25% | 25% |
NCSP ordinary shares | 25% | 25% |
OGK-1 ordinary shares | 25% | 25% |
OGK-2 ordinary shares | 25% | 25% |
WGC-3 ordinary shares | 25% | 25% |
Raspadskaya ordinary shares | 25% | 25% |
Gazprom Neft ordinary shares | 20% | 20% |
TGC-1 ordinary shares | 25% | 25% |
на Troika Dialog AM, "Troika Dialog – RTS Standard Index", fund units |
20% | 15% |
Rostelecom ordinary shares | 25% | 20% |
USD/RUB exchange rate | 5% | 3.5% |
EUR/RUB exchange rate | 5% | 3.5% |
EUR/USD exchange rate | 5%** | 3.5%** |
AUD/USD exchange rate | 5%** | 5%** |
GBP/USD exchange rate | 5%** | 3.5%** |
average rate of the overnight MosPrime credit | *** | *** |
average rate of the three month MosPrime credit | 15% | 15% |
2-year Russian Federation government bonds | 3% | 1.5% |
4-year Russian Federation government bonds | 4% | 2.5% |
6-year Russian Federation government bonds | 4.5% | 3.5% |
Gold | 10%** | 8%** |
Refined silver | 15%** | 16%** |
Raw sugar | 15% | 12% |
URALS oil | 15%** | 15%** |
BRENT oil | 15%** | 10%** |
Refined platinum | 15%** | 10%** |
Refined palladium | 15%** | 12%** |
Copper | 15% | 10% |
Summer diesel fuel | 15% | 15% |
Gas-oil | 15% | 12% |
Corm | 15% | 12% |
Wheat | 15% | 12% |
Cotton | 15% | 12% |
Soy beans | 15% | 12% |
**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.