RTS Increased Initial Margin Requirement for Holidays Season
OREANDA-NEWS. December 20,
1 stage – during the evening clearing session on December 22, 2010;
2 stage – during the evening clearing session on December 29, 2010.
The increased Initial Margin sizes will be in effect until the evening clearing session on January 11, 2011:
|
Futures contracts on |
Basic IM size |
IM size | |
|
From December 22, 2010 |
From December 29, 2010 | ||
|
RTS Index |
7,5% |
12% |
15% |
|
RTS Standard Index |
7,5% |
12% |
15% |
|
RTS Consumer & Retail Index |
30% |
33% |
35% |
|
RTS Oil & Gas Index |
20% |
28% |
35% |
|
MMC NORILSK NICKEL ordinary shares |
15% |
20% |
25% |
|
Gazprom ordinary shares |
12% |
16% |
20% |
|
LUKOIL ordinary shares |
12% |
16% |
20% |
|
Rosneft ordinary shares |
15% |
20% |
25% |
|
Sberbank ordinary shares |
12% |
16% |
20% |
|
Surgutneftegas ordinary shares |
15% |
20% |
25% |
|
VTB Bank ordinary shares |
15% |
20% |
25% |
|
MTS ordinary shares |
25% |
28% |
30% |
|
NOVATEK ordinary shares |
25% |
28% |
30% |
|
Transneft preferred shares |
15% |
23% |
30% |
|
Sberbank preferred shares |
15% |
23% |
30% |
|
RusHydro ordinary shares |
15% |
23% |
30% |
|
Tatneft ordinary shares |
25% |
28% |
30% |
|
Severstal ordinary shares |
25% |
28% |
30% |
|
Uralkali ordinary shares |
25% |
28% |
30% |
|
Surgutneftegas preferred shares |
15% |
23% |
30% |
|
FGC UES ordinary shares |
25% |
28% |
30% |
|
NLMK ordinary shares |
25% |
28% |
30% |
|
Polymetal ordinary shares |
25% |
28% |
30% |
|
MMK ordinary shares |
25% |
28% |
30% |
|
| |||
|
USD/RUB exchange rate |
4% |
6% |
8% |
|
EUR/RUB exchange rate |
4% |
6% |
8% |
|
EUR/USD exchange rate |
4% |
6% |
8% |
|
AUD/USD exchange rate |
4% |
6% |
8% |
|
GBP/USD exchange rate |
4% |
6% |
8% |
|
average rate of the overnight MosPrime credit |
** |
** |
** |
|
average rate of the three month MosPrime credit |
15% |
20% |
25% |
|
| |||
|
gold |
8% |
10% |
12% |
|
refined silver |
10% |
15% |
20% |
|
sugar |
10% |
15% |
20% |
|
raw sugar |
10% |
15% |
20% |
|
URALS oil |
10% |
15% |
20% |
|
BRENT oil |
10% |
15% |
20% |
|
diesel fuel |
10% |
15% |
20% |
|
refined platinum |
10% |
15% |
20% |
|
refined palladium |
10% |
15% |
20% |
|
copper |
10% |
15% |
20% |
|
| |||
|
power index at the ‘Center’ hub (in basic load hours) |
15% |
20% |
25% |
|
power index at the ‘Center’ hub (in peak load hours) |
15% |
20% |
25% |
|
power index at the ‘Ural’ hub (in basic load hours) |
15% |
20% |
25% |
|
power index at the ‘Ural’ hub (in peak load hours) |
15% |
20% |
25% |
|
power index at the |
15% |
20% |
25% |
|
power index at the ‘ |
15% |
20% |
25% |
On RTS Standard the increased Initial Margin requirement will be in effect until the evening clearing session on January 11, 2011.
|
Security |
Basic IM size |
IM size | |
|
From December 22, 2010 |
From December 29, 2010 | ||
|
MMC NORILSK NICKEL ordinary shares |
15% |
20% |
25% |
|
Gazprom ordinary shares |
12% |
16% |
20% |
|
LUKOIL ordinary shares |
12% |
16% |
20% |
|
Rosneft ordinary shares |
15% |
20% |
25% |
|
Sberbank ordinary shares |
12% |
16% |
20% |
|
Surgutneftegas ordinary shares |
15% |
20% |
25% |
|
VTB Bank ordinary shares |
15% |
20% |
25% |
|
MTS ordinary shares |
25% |
28% |
30% |
|
NOVATEK ordinary shares |
25% |
28% |
30% |
|
Polyus Gold ordinary shares |
25% |
28% |
30% |
|
Transneft preferred shares |
15% |
23% |
30% |
|
Uralsvyazinform ordinary shares |
15% |
23% |
30% |
|
Sberbank preferred shares |
15% |
23% |
30% |
|
RusHydro ordinary shares |
15% |
23% |
30% |
|
Tatneft ordinary shares |
25% |
28% |
30% |
|
Severstal ordinary shares |
25% |
28% |
30% |
|
Uralkali ordinary shares |
25% |
28% |
30% |
|
Surgutneftegas preferred shares |
15% |
23% |
30% |
|
FGC UES ordinary shares |
25% |
28% |
30% |
|
NLMK ordinary shares |
25% |
28% |
30% |
|
Polymetal ordinary shares |
25% |
28% |
30% |
|
MMK ordinary shares |
25% |
28% |
30% |
|
JSC "Aeroflot" ordinary shares |
25% |
28% |
30% |
|
JSC "INTER RAO UES" ordinary shares |
15% |
23% |
30% |
|
JSC "IDGC Holding" ordinary shares |
25% |
28% |
30% |
|
MOSENERGO ordinary shares |
25% |
28% |
30% |
|
PJSC "NCSP" ordinary shares |
25% |
28% |
30% |
|
JSC "OGK-1" ordinary shares |
25% |
30% |
35% |
|
JSC "OGK-2" ordinary shares |
25% |
30% |
35% |
|
JSC "WGC-3" ordinary shares |
25% |
28% |
30% |
|
OAO Raspadskaya ordinary shares |
25% |
30% |
35% |
|
JSC Gazprom Neft ordinary shares |
15% |
23% |
30% |
|
JSC "TGC-1" ordinary shares |
25% |
28% |
30% |
|
Troika Dialog AM, "Troika Dialog – RTS Standard Index", fund units |
15% |
23% |
30% |
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