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.
