OREANDA-NEWS. June 8, 2012. On recommendation of the Derivatives Market Committee of MICEX-RTS, the RTS Clearing Center has established the following sizes of minimum basic collateral on instruments trading on the FORTS Derivatives Market, Derivatives Market of Moscow Energy Exchange, Derivatives Market of Saint Petersburg Exchange, in the Standard sector of the Securities Market and RTS Money for the upcoming June public holidays:

Futures contract on/ Standard sector instruments/ foreign currency (RTS Money)

Collateral requirement

Basic size*

Collateral for the public holidays

Increase

the RTS Index

10%**

15%**

1.5

the RTS Standard Index

10%

15%

1.5

the Russian Volatility Index

30%**

45%**

1.5

the MICEX Index

10%

15%

1.5

the RTS Consumer & Retail Index

35%**

35%**

1

the RTS Oil & Gas Index

35%**

35%**

1

the BOVESPA Index

12%

18%

1.5

the SENSEX Index

10%

15%

1.5

the Hang Seng Index

10%

15%

1.5

the FTSE/JSE Top40 Index

12%

18%

1.5

MMC NORILSK NICKEL ordinary shares

15%

22,50%

1.5

Gazprom ordinary shares

12%

18%

1.5

LUKOIL ordinary shares

12%

18%

1.5

Rosneft ordinary shares

15%

22,50%

1.5

Sberbank ordinary shares

12%

20%

1.67

Surgutneftegas ordinary shares

15%

22,50%

1.5

VTB Bank ordinary shares

15%

22,50%

1.5

MTS ordinary shares

20%

25%

1.25

NOVATEK ordinary shares

20%

25%

1.25

Transneft preferred shares

15%

25%

1.67

Sberbank preferred shares

15%

22,50%

1.5

RusHydro ordinary shares

15%

22,50%

1.5

RDRs representing stocks of United Company RUSAL Plc

20%

25%

1.25

Tatneft ordinary shares

20%

25%

1.25

Severstal ordinary shares

20%

30%

1.5

Uralkali ordinary shares

20%

25%

1.25

Surgutneftegas preferred shares

15%

20%

1.33

FGC UES ordinary shares

20%

30%

1.5

NLMK ordinary shares

25%

30%

1.2

Polymetal ordinary shares

25%

30%

1.2

Magnitogorsk Iron & Steel Works ordinary shares

25%

30%

1.2

Aeroflot ordinary shares

25%

30%

1.2

NTER RAO UES ordinary shares

20%

25%

1.25

IDGC Holding ordinary shares

25%

30%

1.2

MOSENERGO ordinary shares

25%

30%

1.2

Novorossiysk Commercial Sea Port ordinary shares

25%

30%

1.2

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

"Troika Dialog – RTS Standard Index", fund units

15%

20%

1.33

Rostelecom ordinary shares

20%

25%

1.25

USD/RUB exchange rate

3,50%

5%

1.43

EUR/RUB exchange rate

3,50%

5%

1.43

EUR/USD exchange rate

3.5%**

5%**

1.43

AUD/USD exchange rate

5%**

6%**

1.2

GBP/USD exchange rate

3.5%**

5%**

1.43

average rate of the overnight MosPrime credit

***

***

 

average rate of the three month MosPrime credit

15%

22,50%

1.5

2-year Russian Federation government bonds

1.50%

2%

1.33

4-year Russian Federation government bonds

2,50%

3,50%

1.4

6-year Russian Federation government bonds

3,50%

4%

1.14

USD/RUB swap

3,50%

5%

1.43

refined gold

8%**

12%**

1.5

refined silver

16%**

20%**

1.25

raw sugar

12%

15%

1.25

URALS oil

15%**

20%**

1.33

BRENT oil

10%**

15%**

1.5

refined platinum

10%**

15%**

1.5

refined palladium

12%**

18%**

1.5

copper

10%

15%

1.5

Diesel fuel

15%

20%

1.33

gas-oil

12%

16%

1.33

corn

12%

16%

1.33

wheat

12%

16%

1.33

cotton

12%

18%

1.5

soybeans

12%

16%

1.33

monthly contracts on the average power price index at the "Center" hub (in basic load hours)

15%

18%

1.2

quarterly contracts on the average power price index at the "Center" hub (in basic load hours)

10%

12%

1.2

yearly contracts on the average power price index at the "Center" hub (in basic load hours)

5%

6%

1.2

monthly contracts on the average power price index at the "Center" hub (in peak load hours)

15%

18%

1.2

quarterly contracts on the average power price index at the "Center" hub (in peak load hours)

10%

12%

1.2

yearly contracts on the average power price index at the "Center" hub (in peak load hours)

5%

6%

1.2

monthly contracts on the average power price index at the "Ural" hub (in basic load hours)

15%

18%

1.2

quarterly contracts on the average power price index at the "Ural" hub (in basic load hours)

10%

12%

1.2

yearly contracts on the average power price index at the "Ural" hub (in basic load hours)

5%

6%

1.2

monthly contracts on the average power price index at the "Ural" hub (in peak load hours)

15%

18%

1.2

quarterly contracts on the average power price index at the "Ural" hub (in peak load hours)

10%

12%

1.2

yearly contracts on the average power price index at the "Ural" hub (in peak load hours)

5%

6%

1.2

average power price index at the "Eastern Siberia" hub (in basic load hours)

15%

18%

1.2

average power price index at the "Western Siberia" hub (in basic load hours)

15%

18%

1.2

* percentage of contract value

** for these contracts values of the minimum basic initial margin in rubles are greater than those indicated above as the current USD/RUB exchange rate is used to calculate variation margin and initial margin sizes.

*** the 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.

The increased Initial Margin requirements will be in effect from the evening clearing session on June 7, 2012 until the evening clearing session on June 13, 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.

Following a recommendation of the Derivatives Market Committee, the RTS Clearing Center has approved for the period from June 8 through June 13, 2012 a 40% increase of collateral requirements for positions in all types and series of derivatives on MICEX Derivatives Market that will be in effect on June 7, 2012.