Initial Margin Requirement on ME Derivatives Market Announced
OREANDA-NEWS. January 9, 2013. Moscow Exchange Derivatives Market Committee decided to increase the minimum initial margin for instruments traded on the Derivatives Market and in the Standard Sector of the Moscow Exchange for New Year's holidays 2012-2013. The increase will be undertaken in two stages: the first stage will take place during the main clearing session on the 26th of December 2012, the second stage will take place during the main clearing session on the 27th of December 2012. Initial margin parameters will be changed to base values during the main clearing session on the 8th of January 2013.
|
Futures contracts/ Standard market sector instruments |
Initial Margin size | ||
|
Basic size* |
First stage (starting from |
Second stage(starting from | |
|
RTSI |
10%** |
12%** |
14%** |
|
RTS Standard Index |
10% |
12% |
14% |
|
Russian Volatility Index |
30%** |
35%** |
40%** |
|
MICEX Index |
10% |
12% |
14% |
|
Sectoral index RTScr |
35%** |
37%** |
40%** |
|
Sectoral index RTSog |
35%** |
37%** |
40%** |
|
BOVESPA Index |
12% |
13% |
15% |
|
SENSEX Index |
10% |
12% |
15% |
|
Hang Seng Index |
10% |
12% |
15% |
|
FTSE/JSE Top40 Index |
12% |
13% |
15% |
|
Norilsk Nickel ordinary shares |
12% |
14% |
17% |
|
GAZPROM ordinary shares |
10% |
12% |
15% |
|
LUKOIL ordinary shares |
10% |
12% |
15% |
|
ROSNEFT ordinary shares |
12% |
14% |
17% |
|
Sberbank ordinary shares |
10% |
12% |
15% |
|
Surgutneftegas ordinary shares |
12% |
14% |
17% |
|
VTB Bank ordinary shares |
12% |
14% |
17% |
|
MTS ordinary shares |
15% |
17% |
20% |
|
NOVATEK ordinary shares |
15% |
18% |
22% |
|
Transneft preferred shares |
12% |
16% |
20% |
|
Sberbank preferred shares |
12% |
15% |
18% |
|
RusHydro ordinary shares |
12% |
15% |
18% |
|
RSDs representing rights on shares of United Company RUSAL Plc. |
15% |
17% |
20% |
|
Tatneft ordinary shares |
15% |
17% |
20% |
|
Severstal ordinary shares |
15% |
17% |
20% |
|
Uralkali ordinary shares |
15% |
17% |
20% |
|
Surgutneftegas preferred shares |
12% |
14% |
17% |
|
FGC UES ordinary shares |
20% |
25% |
30% |
|
NLMK ordinary shares |
25% |
30% |
35% |
|
MMK ordinary shares |
25% |
30% |
35% |
|
Aeroflot ordinary shares |
25% |
30% |
35% |
|
INTER RAO UES ordinary shares |
20% |
25% |
30% |
|
Holding IDGC ordinary shares |
25% |
30% |
35% |
|
MosEnergo ordinary shares |
25% |
30% |
35% |
|
NCSP ordinary shares |
25% |
30% |
35% |
|
OGK-2 ordinary shares |
25% |
30% |
35% |
|
Raspadskaya ordinary shares |
25% |
30% |
35% |
|
Gazprom neft ordinary shares |
20% |
25% |
30% |
|
TGK-1 ordinary shares |
25% |
30% |
35% |
|
Rostelecom ordinary shares |
15% |
16% |
18% |
|
Troika Dialog AM, "Troika Dialog - RTS Standard Index", fund units |
12% |
14% |
17% |
|
|
|
|
|
|
US dollar |
3,5% |
4,5% |
6,0% |
|
EUR/RUB exchange rate |
3% |
3,5% |
4,5% |
|
EUR/USD exchange rate |
3%** |
3,5%** |
4,5%** |
|
AUD/USD exchange rate |
5%** |
5%** |
5,5%** |
|
GBP/USD exchange rate |
3%** |
3,5%** |
4%** |
|
Rate of the three month MosPrime credit |
15% |
17% |
20% |
|
2-year Russian Federation government bonds |
1,5% |
2% |
2,5% |
|
4-year Russian Federation government bonds |
2,5% |
3% |
4% |
|
6-year Russian Federation government bonds |
3,5% |
4% |
4,5% |
|
10-year Russian Federation government bonds |
4,5% |
5% |
5,5% |
|
|
|
|
|
|
Refined gold |
6%** |
7,5%** |
9%** |
|
Refined silver |
12%** |
15%** |
18%** |
|
Raw sugar |
10% |
14% |
18% |
|
"URALS" oil |
15%** |
17%** |
20%** |
|
"BRENT" oil |
8%** |
10%** |
12%** |
|
Refined platinum |
8%** |
10%** |
12%** |
|
Refined palladium |
10%** |
12%** |
15%** |
|
Copper |
8% |
10% |
12% |
|
|
|
|
|
|
Diesel fuel |
15% |
17% |
20% |
|
Gas-oil |
12% |
15% |
18% |
|
Corn |
12% |
15% |
18% |
|
Wheat |
12% |
15% |
18% |
|
Cotton |
15% |
17% |
20% |
|
Soy beans |
12% |
15% |
18% |
|
|
|
|
|
|
power index at the "Center" hub (in basic load hours) |
15% |
17% |
20% |
|
power index at the "Center" hub (in peak load hours) |
15% |
17% |
20% |
|
power index at the "Ural" hub (in basic load hours) |
15% |
17% |
20% |
|
power index at the "Ural" hub (in peak load hours) |
15% |
17% |
20% |
|
power index at the "Eastern Siberia" hub (in basic load hours) |
15% |
17% |
20% |
|
power index at the "West Siberia" hub (in basic load hours) |
15% |
17% |
20% |
|
quarterly futures contract on the power index at the "Center" hub (in basic load hours) |
10% |
12% |
14% |
|
quarterly futures contract on the power index at the "Center" hub (in peak load hours) |
10% |
12% |
14% |
|
quarterly futures contract on the power index at the "Ural" hub (in basic load hours) |
10% |
12% |
14% |
|
quarterly futures contract on the power index at the "Ural" hub (in peak load hours) |
10% |
12% |
14% |
|
annual futures contract on the index at the "Center" hub (in basic load hours) |
5% |
6% |
7% |
|
annual futures contract on the index at the "Center" hub (in peak load hours) |
5% |
6% |
7% |
|
annual futures contract on the power index at the "Ural" hub (in basic load hours) |
5% |
6% |
7% |
|
annual futures contract on the power index at the "Ural" hub (in peak load hours) |
5% |
6% |
7% |
* percentage of the contract's value
** For these contracts the minimum initial margin in ruble value is more designated as for the calculation of the initial margin and current usd/rub rate is used.
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