OREANDA-NEWS. August 10, 2011. In accordance with the resolution adopted by the Derivatives Market Committee of RTS on August 9, 2011 the basic sizes of the Initial Margin requirements for futures contracts on FORTS and instruments on RTS Standard are to be changed started from the evening clearing session at 6.45pm MSK on the 9th of August, 2011:

Futures contracts on/
security on RTS Standard

Initial Margin size
before 6.45pm MSK
on August 9, 2011

Initial Margin size
coming into effect
after 7.00 pm MSK
on August 9, 2011

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 Russian Federation government bonds

2%

3%

Four-year Russian Federation government bonds

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, RTS Clearing Center made a decision to increase Initial Margin basic size for RTS Money instruments:

Instruments on RTS Money

Initial Margin size
before 6.45pm MSK
on August 9, 2011

Initial Margin size
coming into effect
after 7.00 pm MSK
on August 9, 2011

Currency pair USD/RUB

3,5%

5%

Currency swap USD/RUB

3,5%

5%