OREANDA-NEWS. December 27, 2011. 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.