By the decision of the MICEX-RTS Derivatives market committee, Joint-stock company "RTS Clearing Center" increases the size of initial margin for the FORTS derivatives market, Standard sector of the securities market, Moscow Energy Exchange and Saint-Petersburg Exchange for the period of January holidays.
The increased Initial Margin sizes will be in effect from the evening clearing session on December 28, 2011 until the evening clearing session on January 10, 2012:
| FORTS futures contracts on/instrument of the Standard section/instrument of RTS Money | Basic Initial Margin * , **** | Initial margin size for the holiday period |
|---|---|---|
| RTS Index | 10%** | 12%** |
| RTS Standard Index | 10% | 12% |
| Russian Volatility Index | 45%** | 45%** |
| MICEX Index | 10% | 12% |
| sectoral index RTScr | 30%** | 35%** |
| sectoral index RTSog | 20%** | 25%** |
| MMC NORILSK NICKEL ordinary shares | 20% | 25% |
| Gazprom ordinary shares | 15% | 18% |
| LUKOIL ordinary shares | 15% | 18% |
| Rosneft ordinary shares | 20% | 25% |
| Sberbank ordinary shares | 15% | 18% |
| Surgutneftegas ordinary shares | 20% | 25% |
| VTB Bank ordinary shares | 20% | 25% |
| MTS ordinary shares | 25% | 30% |
| NOVATEK ordinary shares | 25% | 30% |
| Polyus Gold ordinary shares | 25% | 30% |
| Transneft preferred shares | 20% | 25% |
| Sberbank preferred shares | 20% | 25% |
| RusHydro ordinary shares | 20% | 25% |
| Tatneft ordinary shares | 25% | 30% |
| Severstal ordinary shares | 25% | 30% |
| Uralkali ordinary shares | 25% | 30% |
| Surgutneftegas preferred shares | 20% | 25% |
| FGC UES ordinary shares | 25% | 30% |
| NLMK ordinary shares | 25% | 30% |
| Polymetal ordinary shares | 25% | 30% |
| MMK ordinary shares | 25% | 30% |
| Aeroflot ordinary shares | 25% | 30% |
| INTER RAO UES ordinary shares | 20% | 25% |
| IDGC Holding ordinary shares | 25% | 30% |
| MOSENERGO ordinary shares | 25% | 30% |
| NCSP ordinary shares | 25% | 30% |
| OGK-1 ordinary shares | 25% | 30% |
| OGK-2 ordinary shares | 25% | 30% |
| WGC-3 ordinary shares | 25% | 30% |
| Raspadskaya ordinary shares | 25% | 30% |
| Gazprom Neft ordinary shares | 20% | 25% |
| TGC-1" ordinary shares | 25% | 30% |
| Troika Dialog AM, "Troika Dialog – RTS Standard Index", fund units | 20% | 25% |
| US dollar | 5% | 6% |
| USD/RUB exchange rate | 5% | 6% |
| EUR/RUB exchange rate | 5% | 6% |
| EUR/USD exchange rate | 5%** | 6%** |
| AUD/USD exchange rate | 5%** | 6%** |
| GBP/USD exchange rate | 5%** | 6%** |
| average rate of the overnight MosPrime credit | *** | *** |
| average rate of the three month MosPrime credit | 15% | 18% |
| 2-year Russian Federation government bonds | 3% | 4% |
| 4-year Russian Federation government bonds | 4% | 5% |
| 6-year Russian Federation government bonds | 4,5% | 5% |
| Gold | 10%** | 12%** |
| Refined silver | 15%** | 18%** |
| Sugar | 15% | 18% |
| Raw sugar | 15% | 18% |
| Gas-oil | 15% | 18% |
| Corn | 15% | 18% |
| Cotton | 15% | 18% |
| Wheat | 15% | 18% |
| Soybeans | 15% | 18% |
| URALS oil | 15%** | 18%** |
| BRENT oil | 15%** | 18%** |
| Diesel fuel | 15% | 18% |
| Refined platinum | 15%** | 18%** |
| Refined palladium | 15%** | 18%** |
| Copper | 15% | 18% |
| monthly contracts on the power index at the ‘Center’ hub (in basic load hours) | 15% | 18% |
| quarterly contracts on the power index at the ‘Center’ hub (in basic load hours) | 10% | 12% |
| annual contracts on the index at the ‘Center’ hub (in basic load hours) | 5% | 6% |
| monthly contracts on the power index at the ‘Center’ hub (in peak load hours) | 15% | 18% |
| quarterly contracts on the power index at the ‘Center’ hub (in peak load hours) | 10% | 12% |
| annual contracts on the power index at the ‘Center’ hub (in peak load hours) | 5% | 6% |
| monthly contracts on the power index at the ‘Ural’ hub (in basic load hours) | 15% | 18% |
| quarterly contracts on the power index at the ‘Ural’ hub (in basic load hours) | 10% | 12% |
| annual contract son the power index at the ‘Ural’ hub (in basic load hours) | 5% | 6% |
| monthly contracts on the power index at the ‘Ural’ hub (in peak load hours) | 15% | 18% |
| quarterly contracts on the power index at the ‘Ural’ hub (in peak load hours) | 10% | 12% |
| annual contracts on the power index at the ‘Ural’ hub (in peak load hours) | 5% | 6% |
| power index at the ‘Eastern Siberia’ hub (in basic load hours) | 15% | 18% |
| power index at the ‘West Siberia’ hub (in basic load hours) | 15% | 18% |
* in per cent of the contract’s price.
** Values of the initial margin basic size in rubles are greater than those indicated hereinabove for these contracts as a 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.
**** In accordance with the decision of the Derivatives market committee as of 09.08.2011.
