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% |
