Transcript Current status and development of MICEX currency market

Current status and development of MICEX
currency market
Sergey Savitsky., Vice-president of MICEX
2010 October
Structure of MICEX currency market
$10,6 billion – average daily volume on MICEX currency market on 2010
2009
17,7%
2010 Jan.-Sept.
1,0%
12,3%
1,3%
81,3%
USD/RUB
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EUR/RUB
EUR/USD
86,4%
USD/RUB
EUR/RUB
EUR/USD
MICEX currency market share on the Russian OTC market
(USD/RUB)
USD/RUB
50%
25
40%
20
30%
15
20%
10
7
MICEX currency market, average daily volume, billion $ (right side)
MICEX currency market share, %
3
Sep.10
Jul.10
May.10
Mar.10
Jan.10
Nov.09
Sep.09
Jul.09
May.09
Mar.09
Jan.09
Nov.08
Sep.08
Jul.08
May.08
Mar.08
Jan.08
Nov.07
Sep.07
Jul.07
0
May.07
0%
Mar.07
5
Jan.07
10%
Spot-swap structure USD/RUB
on MICEX currency market
2007
2008
14%
18%
40%
44%
42%
42%
TOD
TOM
SWAP
TOD
TOM
2009
SWAP
2010 Jan.-Sept.
10%
34%
56%
TOD
4
10%
TOM
SWAP
51%
TOD
38%
TOM
SWAP
MICEX currency market share on the Russian OTC market
(EUR/RUB)
EUR/RUB
100%
10
90%
80%
8
70%
60%
6
50%
40%
4
30%
20%
2
MICEX currency market, average daily volume, billion euro (right side)
MICEX currency market share, %
5
Sep.10
0
Jul.10
May.10
Mar.10
Jan.10
Nov.09
Sep.09
Jul.09
May.09
Mar.09
Jan.09
Nov.08
Sep.08
Jul.08
May.08
Mar.08
Jan.08
Nov.07
Sep.07
Jul.07
May.07
Jan.07
0%
Mar.07
10%
Spot-swap structure EUR/RUB
on MICEX currency market
2007
2008
10%
28%
25%
46%
65%
26%
TOD
TOM
TOD
SWAP
TOM
2009
SWAP
2010 Jan.-Sept.
6%
9%
11%
17%
TOD
6
83%
TOM
74%
SWAP
TOD
TOM
SWAP
Perspective trends of MICEX currency market
1. Two-level access scheme to FX MICEX trade
2. Organization of CNY/RUB trade on MICEX currency
market
3. Adaptation of MICEX currency market to conditions
of the raised influence on volatility by trading
program complexes (robots)
4. New risk-management system on MICEX currency
market
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Two-level access scheme to FX MICEX trade
MICEX trade system
orders
Trade information
Client
Market
participant
deals
National
clearing
center
deals
Market
participant
Two-level access scheme to FX MICEX trade:
conceptual issues of the project
• Market participant can take upward of one registration code.
• Additional registration code can be used for operations on behalf of bank and at the
expense of the client.
• Counter orders could be matched:
• orders of bank and it’s client;
• orders of bank’s clients.
• Market participant can take only one registration code for one client.
• For every registration code:
• reports of payment obligations are compiled;
• settlements are accomplished after clearing procedure;
• depositing money resources are considered.
• Market participant responsible for his obligations to MICEX/NCC .
After 25 October 2010 banks will be afforded an opportunity to give an access to FX MICEX
trade to their clients.
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Organization of CNY/RUB trade on MICEX currency market
Current development of bilateral relations between Russia and China offers favorable conditions for the
creation of initial liquidity of trading in.
The creation of a new instrument CNY/RUB on MICEX currency market is a promising strategic area of
development. Its goals are :
- determining direct exchange rate of CNY/RUB;
- providing banks and businesses with CNY and RUB liquidity for the purpose of using Russian and
Chinese national currencies in cross-border payments.
Terms of CNY/RUB trades:
- instrument – CNYRUB_TOD;
- instrument lot – 1000 CNY;
- exchange rate – n RUB for 10 CNY;
- trades time – 10:00-11:00 (Moscow time);
- 100% depositing of funds;
- it is intended to effect settlements in CNY via a commercial bank-resident of Russian Federation.
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Adaptation of MICEX currency market to conditions of the raised
influence on volatility by trading program complexes (robots)
Banks’ use of specialized trading software complexes in trading on currency markets
(including MICEX currency market) is a global trend.
On the one hand, this leads to an increase in market liquidity,
On the other hand, this leads to increase in the volatility of exchange rates.
The following approaches can help to reduce the influence of robots on market volatility and
improve the transparency of MICEX currency market for participants that do not use robots:
- creating a mechanism for setting a hold-on period to support orders entered by robots in
the trading system during a certain period of time;
- decreasing the accuracy of the quotation;
- increasing minimum lots for instruments of MICEX currency market.
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New risk-management system on MICEX currency market (New RMS):
main principles
• Unified collateral in USD, EUR and RUB for trading instruments of currency pairs
USD/RUB, EUR / RUB and EUR/USD; extending the limit of net operations to trading in
currency pairs EUR/RUB and EUR/USD.
• Portfolio approach: exchange rate risks for all transactions concluded on MICEX
currency market are assessed jointly. Opposite positions are evaluated based on the price of
swap.
• Unified position in rubles and foreign currencies. A participant’s final obligations for USD,
EUR and RUB will be the same for all instruments with TOD settlement date. Following the
results of trading, participant will receive a certificate with unified final obligations for USD,
EUR and RUB. Assets pledged as collateral are registered at discount.
• Adaptive rate of collateral may change during and after trading, considering changes in
the volatility.
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New RMS: principles
• In the course of trading or at the end of trading in instruments with TOM settlement date,
central rates and borders of the price range are determined, after which the «mark to
market» procedure takes place.
• After the «mark to market» procedure, a participant may be sent a «margin call» in the
case of insufficient collateral.
Participant may execute the «margin call» till 16:00 on T+1 day in three ways:
- by transferring additional collateral to NCC;
- by performing requirements/obligations for TOD instrument;
- by reducing the position in TOD instrument in trading.
If the participant fails to execute the «margin call», its position will be forcibly closed by NCC.
• Changing the additional session:
- if a participant fails to perform its obligations, exchange rate risks will be closed
in the market;
- shortage of liquidity will be covered either from NCC’s own funds or involving
the Bank of Russia.
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New RMS: working with participants in tarding
• For participants, launch of new RMS will mean the following changes:
- changes in the interface of the participant’s workplace;
- changes in the algorithm of settlements: participants will have to respond to
«margin calls»;
- changes in reporting documents (exchange certificates).
• To adapt participants to innovations, in January, MICEX intends to launch test stand that
will feature fully functional model of trading and clearing system MICEX currency market
with the new RMS.
• Participants will be able to adapt their programs to new RMS. Software vendors will be
sent requirements regarding the improvement of their software.
• Basing on the analysis of participants’ readiness, MICEX will decide on the final launch of
new RMS.
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Contacts
Address:
13, B. Kislovsky Per., Moscow, 125009
Telephone:
(495) 234-48-23
(495) 234-24-70
www.micex.ru
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