Derivatives Market's initial margin requirements to change
As recommended by Moscow Exchange's Derivatives Market Committee, the National Clearing Centre (NCC), acting as the CCP, is to increase the minimum initial margin for the following futures contracts during high market volatility.
| Minimum initial margin | ||
|---|---|---|
| Underlying asset | Current size | New size from 19:00 MSK* on 13 March 2014 |
| CHMF | 15.0% | 20.0% |
| FEES | 20.0% | 25.0% |
| GAZR | 10.0% | 15.0% |
| GMKR | 12.0% | 15.0% |
| HYDR | 12.0% | 18.0% |
| LKOH | 10.0% | 15.0% |
| MIX | 7.5% | 11.0% |
| MEXC | 15.0% | 20.0% |
| MTSI | 15.0% | 20.0% |
| NOTK | 15.0% | 20.0% |
| ROSN | 12.0% | 15.0% |
| RTKM** | 15.0% | 25.0% |
| RTS | 7.5% | 12.0% |
| RTSS | 7.5% | 12.0% |
| SBPR | 12.0% | 15.0% |
| SBRF | 10.0% | 15.0% |
| SNGP | 12.0% | 15.0% |
| SNGR | 12.0% | 15.0% |
| TATN | 15.0% | 20.0% |
| TRNF | 12.0% | 15.0% |
| URKA | 15.0% | 25.0% |
| VTBR | 12.0% | 18.0% |
| YNDX | 15.0% | 25.0% |
| Eu | 3.0% | 4.5% |
| Si | 3.5% | 4.5% |
| RTSVX | 30.0% | 50.0% |
* The increase will be during the evening clearing session on 13 March 2014.
** NOTE: following the reorganisation of Rostelecom by spinning off CJSC RT-Mobile, trading in Rostelecom ords and prefs is to be suspended; this is preliminary planned for 26 March 2014 through 2 April 2014. During this period, the National Settlement Depository will suspend depository transactions in these shares, and the London Stock Exchange will not trade DRs representing them. As such, the NCC will increase the initial margin for futures on Rostelecom ords to 50% as per the recommendation of the Moscow Exchange Derivatives Market Committee. This is preliminarily planned for 20 March 2014. The firm dates of the trading suspension and initial margin requirement increase will be announced in due course.
For further information, please contact the Public Relations Department at (495) 363-3232.