RTS Increased Initial Margin Requirement for Holidays Season
OREANDA-NEWS. December 21,
1 stage – during the evening clearing session on December 22, 2008;
2 stage – during the evening clearing session on December 29, 2009.
The increased Initial Margin sizes will be in effect until the evening clearing session on January 11, 2010:
|
Futures contracts on |
Basic IM size |
IM size | |
|
From December 22, 2009 |
From December 29, 2009 | ||
|
RTS Index |
10% |
15% |
25% |
|
RTS Consumer & Retail Index |
30% |
35% |
35% |
|
RTS Oil & Gas Index |
20% |
25% |
35% |
|
RTS Telecom Index |
30% |
35% |
35% |
|
MMC NORILSK NICKEL ordinary shares |
20% |
25% |
35% |
|
Gazprom ordinary shares |
15% |
20% |
30% |
|
LUKOIL ordinary shares |
15% |
20% |
30% |
|
Rosneft ordinary shares |
20% |
25% |
35% |
|
Sberbank ordinary shares |
15% |
20% |
30% |
|
Surgutneftegas ordinary shares |
20% |
25% |
35% |
|
VTB Bank ordinary shares |
20% |
25% |
35% |
|
MTS ordinary shares |
30% |
35% |
35% |
|
NOVATEK ordinary shares |
30% |
35% |
35% |
|
Polyus Gold ordinary shares |
30% |
35% |
35% |
|
Transneft privileged shares |
20% |
25% |
35% |
|
Uralsvyazinform ordinary shares |
30% |
35% |
35% |
|
Sberbank privileged shares |
20% |
25% |
35% |
|
RusHydro ordinary shares |
30% |
35% |
35% |
|
Tatneft ordinary shares |
30% |
35% |
35% |
|
Severstal ordinary shares |
30% |
35% |
35% |
|
Rostelecom ordinary shares |
30% |
35% |
35% |
|
Uralkali ordinary shares |
20% |
25% |
35% |
|
Surgutneftegas privileged shares |
20% |
25% |
35% |
|
FGC UES ordinary shares |
30% |
35% |
35% |
|
NLMK ordinary shares |
30% |
35% |
35% |
|
Polymetal ordinary shares |
30% |
35% |
35% |
|
MMK ordinary shares |
30% |
35% |
35% |
|
USD/RUB exchange rate |
4% |
8% |
12% |
|
EUR/RUB exchange rate |
4% |
8% |
12% |
|
EUR/USD exchange rate |
4% |
8% |
12% |
|
average rate of the overnight MosPrime credit |
max (2700; 15* Sqrt |
max (2700; 20* Sqrt |
max(2700; 25* Sqrt |
|
average rate of the three month MosPrime credit |
15% |
20% |
30% |
|
gold |
7,50% |
10% |
15% |
|
refined silver |
15% |
15% |
20% |
|
sugar |
10% |
15% |
20% |
|
URALS oil |
10% |
15% |
20% |
|
BRENT oil |
10% |
15% |
20% |
|
refined platinum |
15% |
15% |
20% |
|
refined palladium |
15% |
15% |
20% |
On RTS Standard the increased Initial Margin requirement will be in effect until the evening clearing session on January 11, 2010.
|
Security |
Basic IM size |
IM size | |
|
From December 22, 2009 |
From December 29, 2009 | ||
|
MMC NORILSK NICKEL ordinary shares |
20% |
25% |
35% |
|
Gazprom ordinary shares |
15% |
20% |
30% |
|
LUKOIL ordinary shares |
15% |
20% |
30% |
|
Rosneft ordinary shares |
20% |
25% |
35% |
|
Sberbank ordinary shares |
15% |
20% |
30% |
|
Surgutneftegas ordinary shares |
20% |
25% |
35% |
|
VTB Bank ordinary shares |
20% |
25% |
35% |
|
MTS ordinary shares |
30% |
35% |
35% |
|
NOVATEK ordinary shares |
30% |
35% |
35% |
|
Polyus Gold ordinary shares |
30% |
35% |
35% |
|
Transneft privileged shares |
20% |
25% |
35% |
|
Uralsvyazinform ordinary shares |
30% |
35% |
35% |
|
Sberbank privileged shares |
20% |
25% |
35% |
|
RusHydro ordinary shares |
30% |
35% |
35% |
|
Tatneft ordinary shares |
30% |
35% |
35% |
|
Severstal ordinary shares |
30% |
35% |
35% |
|
Uralkali ordinary shares |
20% |
25% |
35% |
|
Surgutneftegas privileged shares |
20% |
25% |
35% |
|
FGC UES ordinary shares |
30% |
35% |
35% |
|
NLMK ordinary shares |
30% |
35% |
35% |
|
Polymetal ordinary shares |
30% |
35% |
35% |
|
MMK ordinary shares |
30% |
35% |
35% |
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