Procedure For Calculating Initial Margin Calculation On FORTS Changed

On October 14, 2008 on the Futures and Options market FORTS for the period of evening clearing session the procedure for calculating Initial Margin calculation changed.

In the current FORTS risk calculation system for calculating Initial Margin for options, volatility scenarios are taken into account, which is rise of volatility, drop of volatility, no changes in volatility.

These scenarios are estimated on the basis of the parameter VolatRange value (deviation of upper and lower limits from the calculated volatility curve – in per cent from the volatility value), which is determined by the RTS Clearing center with provision for the time left until the option expiry date.

Due to the raised volatility on the market by recommendation of the Derivatives Market Committee, the VolatRange value will be corrected in the following way:

Also the values of volatility curve for the contracts LKOH-10.08, LKOH-12.08, NOTK-12.08, PLZL-12.08, ROSN-12.08, RTKM-12.08, SNGR-12.08, TRNF-12.08 will be temporarily raised to the volatility level for the option on futures contract RTS-12.08.

These changes will come into force in the period of evening clearing session on October 14, 2008.