06.12.2012 10:59
Initial Margin requirement on the Moscow Exchange Derivatives Market
Dear Trading Participants of the Derivatives Market,
please be advised that due to the launch of SPECTRA, the new platform for trading and clearing on the Derivatives Market and in the Standard Sector of the Moscow Exchange and in accordance with the decision of the Derivatives Market Committee the new Initial Margin value is determined for the period from the evening clearing session on December 06 through the evening clearing session on December 11, 2012.
| Futures contracts/ Standard market sector instruments | Initial Margin size | |
|---|---|---|
| Basic size* | From the evening clearing session on December 06 through the evening clearing session on December 11, 2012 |
|
| RTSI | 10%** | 12%** |
| RTS Standard Index | 10,0% | 12,0% |
| Russian Volatility Index | 30%** | 40%** |
| MICEX Index | 10,0% | 12,0% |
| Sectoral index RTScr | 35%** | 35%** |
| Sectoral index RTSog | 35%** | 35%** |
| BOVESPA Index | 12,0% | 15,0% |
| SENSEX Index | 10,0% | 12,0% |
| Hang Seng Index | 10,0% | 12,0% |
| FTSE/JSE Top40 Index | 12,0% | 15,0% |
| Norilsk Nickel ordinary shares | 12,0% | 15,0% |
| GAZPROM ordinary shares | 10,0% | 12,0% |
| LUKOIL ordinary shares | 10,0% | 12,0% |
| ROSNEFT ordinary shares | 12,0% | 15,0% |
| Sberbank ordinary shares | 10,0% | 12,0% |
| Surgutneftegas ordinary shares | 12,0% | 15,0% |
| VTB Bank ordinary shares | 12,0% | 15,0% |
| MTS ordinary shares | 15,0% | 18,0% |
| NOVATEK ordinary shares | 15,0% | 18,0% |
| Transneft preferred shares | 12,0% | 15,0% |
| Sberbank preferred shares | 12,0% | 15,0% |
| RusHydro ordinary shares | 12,0% | 15,0% |
| RSDs representing rights on shares of United Company RUSAL Plc. | 15,0% | 18,0% |
| Tatneft ordinary shares | 15,0% | 18,0% |
| Severstal ordinary shares | 15,0% | 18,0% |
| Uralkali ordinary shares | 15,0% | 18,0% |
| Surgutneftegas preferred shares | 12,0% | 15,0% |
| FGC UES ordinary shares | 20,0% | 24,0% |
| NLMK ordinary shares | 25,0% | 30,0% |
| MMK ordinary shares | 25,0% | 30,0% |
| Aeroflot ordinary shares | 25,0% | 30,0% |
| INTER RAO UES ordinary shares | 20,0% | 24,0% |
| Holding IDGC ordinary shares | 25,0% | 30,0% |
| MosEnergo ordinary shares | 25,0% | 30,0% |
| NCSP ordinary shares | 25,0% | 30,0% |
| OGK-2 ordinary shares | 25,0% | 30,0% |
| Raspadskaya ordinary shares О | 25,0% | 30,0% |
| Gazprom neft ordinary shares | 20,0% | 24,0% |
| TGK-1 ordinary shares | 25,0% | 30,0% |
| Rostelecom ordinary shares | 15,0% | 18,0% |
| Troika Dialog AM, "Troika Dialog – RTS Standard Index", fund units | 12,0% | 15,0% |
| US dollar | 3,5% | 5,0% |
| EUR/RUB exchange rate | 3,0% | 4,0% |
| EUR/USD exchange rate | 3%** | 4%** |
| AUD/USD exchange rate | 5%** | 5%** |
| GBP/USD exchange rate | 3%** | 4%** |
| average rate of the three month MosPrime credit | 15,0% | 18,0% |
| 2-year Russian Federation government bonds | 1,5% | 1,5% |
| 4-year Russian Federation government bonds | 2,5% | 2,5% |
| 6-year Russian Federation government bonds | 3,5% | 3,5% |
| gold | 6%** | 7.5%** |
| Refined silver | 12%** | 15%** |
| Raw sugar | 10,0% | 15,0% |
| "URALS" oil | 15%** | 18%** |
| "BRENT" oil | 8%** | 10%** |
| Refined platinum | 8%** | 10%** |
| Refined palladium | 10%** | 12%** |
| copper | 8,0% | 10,0% |
| Diesel fuel | 15,0% | 18,0% |
| Gas-oil | 12,0% | 15,0% |
| corn | 12,0% | 15,0% |
| wheat | 12,0% | 15,0% |
| cotton | 15,0% | 18,0% |
| soy beans | 12,0% | 15,0% |
| power index at the 'Center' hub (in basic load hours) | 15,0% | 18,0% |
| power index at the 'Center' hub (in basic load hours) | 15,0% | 18,0% |
| power index at the 'Ural' hub (in basic load hours) | 15,0% | 18,0% |
| power index at the 'Ural' hub (in peak load hours) | 15,0% | 18,0% |
| power index at the 'Eastern Siberia' hub (in basic load hours) | 15,0% | 18,0% |
| power index at the 'West Siberia' hub (in basic load hours) | 15,0% | 18,0% |
| quarterly futures contract on the power index at the 'Center' hub (in basic load hours) | 10,0% | 12,0% |
| quarterly futures contract on the power index at the 'Center' hub (in peak load hours) | 10,0% | 12,0% |
| quarterly futures contract on the power index at the 'Ural' hub (in basic load hours) | 10,0% | 12,0% |
| quarterly futures contract on the power index at the 'Ural' hub (in peak load hours) | 10,0% | 12,0% |
| annual futures contract on the index at the 'Center' hub (in basic load hours) | 5,0% | 6,0% |
| annual futures contract on the index at the 'Center' hub (in peak load hours) | 5,0% | 6,0% |
| annual futures contract on the power index at the 'Ural' hub (in basic load hours) | 5,0% | 6,0% |
| annual futures contract on the power index at the 'Ural' hub (in peak load hours) | 5,0% | 6,0% |
For further information, please contact the Public Relations Department at (495) 363-3232.