OREANDA-NEWS. February 26, 2010. On February 19, 2010 updated specifications of the RTS Index futures contract, futures-style option contract on the RTS Index futures, and futures contracts on the RTS Oil & Gas Index, RTS Consumer & Retail Index and RTS Telecom Index will come into effect. As per the amended specifications starting from this March a new procedure for determination of the settlement price and a different term for settlement will apply.

Effective specifications

New specifications

The settlement price of futures contracts on the RTS Index and sectoral indices
is determined in the period from 4:45 pm to 5:45 pm MSK

The settlement price of futures contracts on the RTS Index and sectoral indices
will be determined in the period from 3:00 pm to 4:00 pm MSK

Futures contracts are settled during the evening clearing session on the trading day following the last trading day of the futures contracts

Futures contracts will be settled during the evening clearing session on the last trading day of the futures contracts

Automatic expiry of quarterly in-the-money options is performed based on the averagevalue of the RTS Index/ sectoral index for the period from 4:45 pm to 5:45 pm MSK

Automatic expiry of quarterly in-the-money options will be performed based on the averagevalue of the RTS Index/ sectoral index for the period from 3:00 pm to 4:00 pm MSK

Procedure for determination of the tick value and variation margin formulae remain unchanged: Causes 3.3.4 and 4.3 of the specifications of the RTS Index futures and sectoral indices futures are in effect as worded in the previous version (see clauses 7.3 and 9.2 respectively). Clauses 4.1.3 and 4.2.3 of the specifications of the futures-style option on the RTS Index futures also remain in effect as worded in the previous version (see clauses 9.3 and 13.2 respectively).