In compliance with the decision of the RTS Derivatives Market Committee the initial margin increase for the period of public holidays will be performed in two stages:
- from the clearing session held at 05.45 pm Moscow time on December 22nd,2008 till the clearing session held at 05.45 pm Moscow time on December 29th,2008;
- from the clearing session held at 05.45 pm Moscow time on December 29th, 2008 till the clearing session held at 05.45 pm Moscow time on January 11th,2009.
The initial margin size will be extended for the period of public holidays in accordance with the following table:
Futures Contracts |
Initial Margin Size | |
|---|---|---|
| From December 22, 2008 till December 29, 2008 |
From December 29, 2008 till January 11, 2009 |
|
| Non-delivery futures contract on RTS Index | 30% | 40% |
| Non-delivery futures contract on RTS Consumer & Retail Index | 40% | 50% |
| Non-delivery futures contract on RTS Oil & Gas Index | 35% | 50% |
| Non-delivery futures contract on RTS Telecom Index | 40% | 50% |
| Non-delivery futures contract on USA dollar | 10% | 15% |
| Delivery futures contract on MMC "NORILSK NICKEL" | 40% | 60% |
| Delivery futures contract on "Gazprom" | 35% | 50% |
| Delivery futures contract on "Lukoil" | 35% | 50% |
| Delivery futures contract on "Rosneft" | 35% | 50% |
| Delivery futures contract on "Sberbank" ordinary shares | 40% | 60% |
| Delivery futures contract on "Surgutneftegaz" | 40% | 60% |
| Delivery futures contract on JSC VTB Bank | 40% | 60% |
| Delivery futures contract on MTS OJSC | 45% | 60% |
| Delivery futures contract on NOVATEK | 45% | 60% |
| Delivery futures contract on OJSC "Polyus Gold" | 45% | 60% |
| Futures contract on Transneft privileged shares | 40% | 60% |
| Delivery futures contract on O.J.S.C. "Uralsvyazinform | 45% | 60% |
| Delivery futures contract on "Sberbank" privileged shares | 40% | 60% |
| Delivery futures contract on HydroOGK ordinary shares | 45% | 60% |
| Delivery futures contract on Tatneft ordinary shares | 45% | 60% |
| Delivery futures contract on Severstal ordinary shares | 45% | 60% |
| Delivery futures contract on "Rostelecom" | 45% | 60% |
| Delivery futures contract on granulated sugar, produced in accordance with all-Union State Standard 21-94 | 15% | 20% |
| Futures on gold | 15% | 20% |
| The contract on refined silver | 20% | 25% |
| The contract on "URALS" oil | 20% | 25% |
| Brent oil futures | 20% | 25% |
| The contract on the rate of the rouble overnight loan (deposit) on the interbank market of Moscow MosPrime | max(2700; 20*Sqrt(N)*2*1000000/36500) | max(2700; 25*Sqrt(N)*2*1000000/36500) |
| The contract on the rate of the rouble three-monthly loan (deposit) on the interbank market of Moscow MosPrime | 30% | 40% |
FORTS, the derivatives market of RTS, is a leading trading venue for futures and options in Russia. Trading on FORTS started in September 2001. At present FORTS has the widest range of instruments in Russia. These are 65 contracts (47 futures and 18 options) on shares of Russian companies, bonds, short term interest rates, currency, RTS Index, oil, silver, gas, oil, sugar and gold.
Trading volume on FORTS in 2007 grew threefold and reached 297.41 bln dollars or 144.9 million contracts. Compared with 2006 the number of trades increased more than twofold and reached 11.7mln. Total open interest at the end of the year equalled 14.7 bln rubles in cash or 3.2 million contracts. FORTS also saw a record day’s trading in 2007 when the value of all contracts traded reached 5.2 bln dollars on December 13th, 2007.
