Initial Margin Requirements for Futures on FORTS Changed
OREANDA-NEWS. August 10,
|
Futures contracts on/ |
Initial Margin size |
Initial Margin size |
|
RTS Index |
7,5%* |
10%* |
|
RTS Standard Index |
7,50% |
10% |
|
Russian Volatility Index |
30%* |
45%* |
|
MMC NORILSK NICKEL ordinary shares |
15% |
20% |
|
Gazprom ordinary shares |
12% |
15% |
|
LUKOIL ordinary shares |
12% |
15% |
|
Rosneft ordinary shares |
15% |
20% |
|
Sberbank ordinary shares |
12% |
15% |
|
Surgutneftegas ordinary shares |
15% |
20% |
|
VTB Bank ordinary shares |
15% |
20% |
|
Transneft preferred shares |
15% |
20% |
|
Sberbank preferred shares |
15% |
20% |
|
RusHydro ordinary shares |
15% |
20% |
|
Surgutneftegas preferred shares |
15% |
20% |
|
INTER RAO UES ordinary shares |
15% |
20% |
|
Gazprom Neft ordinary shares |
15% |
20% |
|
Troika Dialog AM, "Troika Dialog – RTS Standard Index", fund units |
15% |
20% |
|
USD/RUB exchange rate |
3,50% |
5% |
|
EUR/RUB exchange rate |
3,50% |
5% |
|
EUR/USD exchange rate |
3,5%* |
5%* |
|
AUD/USD exchange rate |
3,5%* |
5%* |
|
GBP/USD exchange rate |
3,5%* |
5%* |
|
Two- year |
2% |
3% |
|
Four-year |
3% |
4% |
|
| ||
|
Gold |
7,5%* |
10%* |
|
Refined silver |
10%* |
15%* |
|
URALS oil |
10%* |
15%* |
|
BRENT oil |
10%* |
15%* |
|
Diesel fuel |
10% |
15% |
|
Refined platinum |
10%* |
15%* |
|
Refined palladium |
10%* |
15%* |
|
Copper |
10% |
15% |
|
Sugar |
10% |
15% |
|
Raw sugar |
10% |
15% |
|
Gas-oil |
10% |
15% |
|
Corn |
12% |
15% |
|
Cotton |
12% |
15% |
|
Wheat |
12% |
15% |
|
Soybeans |
12% |
15% |
|
RTS Money USD/RUB |
3,50% |
5% |
* 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.
In addition,
|
Instruments on RTS Money |
Initial Margin size |
Initial Margin size |
|
Currency pair USD/RUB |
3,5% |
5% |
|
Currency swap USD/RUB |
3,5% |
5% |




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