OREANDA-NEWS. March 07, 2012. Beginning March 8, 2012 through March 10, 2012 the size of initial margin for the MICEX-RTS derivatives market, Standard sector of the securities market, RTS Money, derivatives markets of Saint-Petersburg Exchange   and Moscow Energy Exchange will be increased, due to public holidays.

The increased Initial Margin sizes will be in effect from the evening clearing session on March 6, 2012 until the evening clearing session on March 11, 2012.

For the MICEX derivatives market the deposit margin rates will be increased by 40% for the period from March 7, 2012 to March 11, 2012.

FORTS futures contracts on/instrument
of the Standard section/RTS Money/ Saint-Petersburg Exchange 

Initial margin  

Basic initial margin 

Initial margin size
for the holiday period 

Increase coefficient 

 

RTS Index

10%**

15%**

1.5

 

RTS Standard Index

10%

15%

1.5

 

Russian Volatility Index

45%**

45%**

1

 

MICEX Index

10%

15%

1.5

 

sector index RTScr

30%**

30%**

1

 

sector index RTSog

20%**

30%**

1.5

 

MMC NORILSK NICKEL ordinary shares

20%

22,50%

1.125

 

Gazprom ordinary shares

15%

20%

1.333

 

LUKOIL ordinary shares

15%

20%

1.333

 

Rosneft ordinary shares

20%

22,50%

1.125

 

Sberbank ordinary shares

15%

20%

1.333

 

Surgutneftegas ordinary shares

20%

22,50%

1.125

 

VTB Bank ordinary shares

20%

22,50%

1.125

 

MTS ordinary shares

25%

25%

1

 

NOVATEK ordinary shares

25%

25%

1

 

Transneft preferred shares

20%

25%

1.25

 

Sberbank preferred shares

20%

22,50%

1.125

 

RusHydro ordinary shares

20%

25%

1.25

 

Tatneft ordinary shares

25%

25%

1

 

Severstal ordinary shares

25%

30%

1.2

 

Uralkali ordinary shares

25%

30%

1.2

 

Surgutneftegas preferred shares

20%

20%

1

 

FGC UES ordinary shares

25%

30%

1.2

 

NLMK ordinary shares

25%

30%

1.2

 

Polymetal ordinary shares

25%

30%

1.2

 

MMK ordinary shares

25%

30%

1.2

 

Aeroflot ordinary shares

25%

25%

1

 

INTER RAO UES ordinary shares

20%

22,50%

1.125

 

IDGC Holding ordinary shares

25%

30%

1.2

 

MOSENERGO ordinary shares

25%

30%

1.2

 

NCSP ordinary shares

25%

25%

1

 

OGK-1 ordinary shares

25%

30%

1.2

 

OGK-2 ordinary shares

25%

30%

1.2

 

WGC-3 ordinary shares

25%

30%

1.2

 

Raspadskaya ordinary shares

25%

30%

1.2

 

Gazprom Neft ordinary shares

20%

25%

1.25

 

TGC-1" ordinary shares

25%

30%

1.2

 

Ha Troika Dialog AM, "Troika Dialog – RTS Standard Index", fund units

20%

20%

1

 

Rostelecom ordinary shares

25%

30%

1.2

 

RDR representing rights on stocks of United Company RUSAL Plc

20%

25%

1.25

 

 

 

 

 

 

 USD/RUB exchange rate

5%

6,5%

1.3

 

US dollar

5%

6,5%

1.3

 

EUR/RUB exchange rate

5%

6,5%

1.3

 

EUR/USD exchange rate

5%**

6.5%**

1.3

 

AUD/USD exchange rate

5%**

6.5%**

1.3

 

GBP/USD exchange rate

5%**

6.5%**

1.3

 

average rate of the overnight MosPrime credit

***

***

 

 

average rate of the three month MosPrime credit

15%

22,5%

1.5

 

2-year Russian Federation government bonds

3%

3%

1

 

4-year Russian Federation government bonds

4%

4,5%

1.125

 

6-year Russian Federation government bonds

4,5%

4,5%

1

 

 

 

 

 

 

Gold

10%**

12.5%**

1.25

 

Refined silver

15%**

22.5%**

1.5

 

Raw sugar

15%

20%

1.333

 

Gas-oil

15%

20%

1.333

 

Corn

15%

20%

1.333

 

Cotton

15%

20%

1.333

 

Wheat

15%

20%

1.333

 

Soybeans

15%

20%

1.333

 

URALS oil

15%**

20%**

1.333

 

BRENT oil

15%**

20%**

1.333

 

Diesel fuel

15%

20%

1.333

 

Refined platinum

15%**

20%**

1.333

 

Refined palladium

15%**

20%**

1.333

 

Copper

15%

20%

1.333

 

Instruments of Moscow Energy Exchange derivatives market

 

 

 

 

monthly contracts on the power index at the ‘Center’ hub (in basic load hours)

15%

18%

1.2

 

quarterly contracts on  the power index at the ‘Center’ hub (in basic load hours)

10%

12%

1.2

 

annual contracts on the index at the ‘Center’ hub (in basic load hours)

5%

6%

1.2

 

monthly contracts on the power index at the ‘Center’ hub (in peak load hours)

15%

18%

1.2

 

quarterly contracts on the power index at the ‘Center’ hub (in peak load hours)

10%

12%

1.2

 

annual contracts on the power index at the ‘Center’ hub (in peak load hours)

5%

6%

1.2

 

monthly contracts on the power index at the ‘Ural’ hub (in basic load hours)

15%

18%

1.2

 

quarterly contracts on the power index at the ‘Ural’ hub (in basic load hours)

10%

12%

1.2

 

annual contract son the power index at the ‘Ural’ hub (in basic load hours)

5%

6%

1.2

 

monthly contracts on the power index at the ‘Ural’ hub (in peak load hours)

15%

18%

1.2

 

quarterly contracts on the power index at the ‘Ural’ hub (in peak load hours)

10%

12%

1.2

 

annual contracts on the power index at the ‘Ural’ hub (in peak load hours)

5%

6%

1.2

 

power index at the ‘Eastern Siberia’ hub (in basic load hours)

15%

18%

1.2

 

power index at the ‘West Siberia’ hub (in basic load hours)

15%

18%

1.2

 

* 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 the 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.