Transcript Document

MICEX Group Derivatives Market
Directing the Derivative Market Boom –
Trends and New Projects
Zhanna Smirnova
MICEX Vice President
World exchange derivatives market: trends
Value of trading, USD trillion
World exchange derivatives market trading value
2000
1750
Futures
Options
1500
1250
1000
750
500
250
0
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2003
2004
2005
2006
Open interest value, USD trillion
World exchange derivatives market open interest value
80
70
Futures
Options
60
50
40
30
20
10
0
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
World exchange derivatives market: products
FX
0,9%
World trading value
product structure in 2006
World open interest
product structure in 2006
(Total value - 1,809.5 USD trillion)
(Total value - 70.5 USD trillion)
EQ
9,8%
EQ
10,9%
FX
0,3%
IR
88,8%
IR
89,3%
World exchange derivatives market trading value growth (to 1996, %)
1000%
800%
Interest rate
Currency
Equity index
600%
400%
200%
0%
1996
1400%
1120%
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2005
2006
World exchange derivatives market open interest value growth (to 1996, %)
Interest rate
Currency
Equity index
840%
560%
280%
0%
1996
1997
1998
1999
2000
2001
2002
2003
2004
World exchange derivatives market: regions
Regional structure of the trading value
Asia and Pacific
8%
Other
1%
Europe
32%
North
America
59%
Regional structure of the open interest
Asia and Pacific
6%
Europe
33%
Other
1%
North
America
60%
Russian derivatives market: history and facts
Derivatives trading starts in Russia
October 1992
1990s: Start as it was…
2000s: And what’s now
 Exchanges
 1992 – Moscow Commodity Exchange
 1993 – Russian Exchange
 1994 – Moscow Central Stock Exchange
 1994 – The Exchange “Saint-Petersburg”
 1996 – MICEX
No activity since 1998
No activity since 1998
No activity since 1998
Till FORTS foundation 2001
Suspended 1998;
Restarted 2000
Trading now
Trading now
 2000 – SPCEX
 2001 – FORTS (based on SPBEX market)
 Products (by underlying)
GKO
Stock indices
Stocks,
indices
FX
1994
1996
STIR
CM
1998
2001
2002
2006
Russian derivatives market: dynamics of growth
Daily average value of trading
(USD billion)
Russian derivatives market trading value
1,05
0,90
0,75
0,60
0,45
0,30
0,15
0,00
Jan-02
Jul-02
Jan-03
Jul-03
Jan-04
Jul-04
Jan-05
Jul-05
Jan-06
Jul-06
Jan-07
Jan-06
Jul-06
Jan-07
Russian derivatives market open interest
7,0
Open interest value
(USD billion)
6,0
5,0
4,0
3,0
2,0
1,0
0,0
Jan-02
Jul-02
Jan-03
Jul-03
Jan-04
Jul-04
Jan-05
Jul-05
Russian derivatives market: underlying dynamics
15-times growth of the MICEX cash markets
Russian derivatives market: traded instruments
FX futures
FX options
STIR futures
STIR options
LTIR futures
Stock Index futures
Stock Index Options
EQ futures
EQ options
CM futures
CM options
MICEX
RTS
+
+
+
+
+
SPCEX SPBEX
+
+
+
+
Q3 2007
Q2 2007
Q3 2007
2008
Q4 2007
Q3 2007
+
+
+
+
+
+
+
+
+
+
Russian derivatives market: structure
Value of trading in 2006 by underlying
IR
0,9%
EQ
72,6%
CM
0,8%
FX
25,8%
Value of trading in 2006 by exchanges
SPCEX
0,3%
SPBEX
0,4%
MICEX
24,7%
RTS
74,6%
Average open interest in 2006 by underlying
IR
2,6%
CM
0,5%
EQ
39,9%
FX
57,0%
Average open interest in 2006 by exchanges
SPCEX
2,6%
RTS
43,7%
SPBEX
0,2%
MICEX
53,6%
Russian derivatives market: barriers on the way up
 Regulative
 Absence of special acts: derivative instrument
market law, clearing and netting law, etc.;
 Regulation vacuum of OTC cash-settled
√ solved
transactions;
 Tax problems for individual investors;
 Collateral & bankruptcy law
 Infrastructure
 Low clearing houses capitalization
 Educational
 Generally low educational level;
 Lack of special educational programs,
seminars, etc.
√ solved
Russian derivatives market: potential of growth
Average annual exchange derivatives market trading volume growth, 2004-06
27,92%
USA
51,59%
Western Europe
Japan
3,29%
Australia
16,22%
Brazil
16,78%
153,88%
Russia
97,66%
India
23,95%
China
14,37%
M exico
Korea
-2,19%
85,77%
Hungary
34,93%
Poland
-20%
0%
20%
40%
60%
80%
100%
120%
140%
160%
180%
Russian derivatives market: potential of growth
33,00
30,84
30,00
Derivatives / cash financial instruments trading value ratio (organized markets),
times
27,00
24,00
21,00
18,00
15,76
15,00
12,00
9,00
4,70
6,00
2,12
3,00
1,38
1,01
Poland
Hungary
0,07
0,00
North America
Western Europe
India
China
Russia
Russian derivatives market: potential of growth
70,00
Exchange derivatives market trading value / GDP ratio, times
60,26
60,00
50,00
40,00
30,00
25,77
20,00
10,00
2,03
1,29
0,72
0,25
0,24
0,17
India
M exico
China
Poland
Hungary
Russia
0,00
North America
Western
Europe
MICEX derivatives market: infrastructure
MICEX
SICEX
Exchange
Clearing
organization
URCEX
MICEX SH
SCIEX
Settlement
organization
NCSEX
Remote access via Internet
for MICEX derivatives market participants
and their clients
MICEX derivatives market: membership
MICEX Derivatives Market
Individual Clearing
Members
CLients
General Clearing
Members
Trading (non-clearing)
Members
Banks
Clients
Clients
Non-banks
MICEX derivatives market members (as of 01.05.07)
All
GCM
ICM
ACM
GTM
ITM
182
28
72
20
48
14
MICEX derivatives market: membership
Number of MICEX derivatives market members
185
180
175
170
165
160
155
150
01.10.04 01.01.05 01.04.05 01.07.05 01.10.05 01.01.06 01.04.06 01.07.06 01.10.06 01.01.07 01.04.07 01.07.07
MICEX derivatives market: market leaders
Position by
turnover
(Jan-May
2007)
MICEX Derivatives Market participants
Membership
Category
1
OJSCo SCB "Metallinvestbank"
GCM
2
CJSC IMB
GCM
3
JSB Gazprombank (CJSC)
GCM
4
JSC Bank of Khanty-Mansiysk
ICM
5
Evrofinance Mosnarbank
GCM
6
OJSC Bank "Petrocommerce"
GCM
7
ZAO Citibank
GCM
8
JSC Vneshtorgbank
GCM
9
ZAO Standard Bank
ICM
Sberbank
GCM
10
MICEX derivatives market: instruments
FX futures:
$
€
USD/RUB
€/$
EUR/USD
EUR/RUB
MICEX Group
Derivatives
market
STIR futures:
Forthcoming:
MICEX MICEX Index futures
o/n
Overnight MosIBOR
3-M
3 month MosPrime Rate
MICEX USD/RUB futures: trading statistics
MICEX USD/RUB futures: trading statistics
6,0
3,5
2,5
4,0
2,0
3,0
1,5
2,0
1,0
1,0
0,5
Turnover distribution of USD/RUB futures series,
Jan'07-May'07
3 months
15,8%
2 months
17,5%
21 234 643
contracts
1 month
25,1%
12 months
13,0%
4 months
10,1%
9 months
6,0%
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Open interest distribution of USD/RUB futures
series, end-of-May'07
Aug-07
7,0%
Jul-07
13,1%
5 months
3,0%
6 months
9,5%
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
0,0
Sep-04
0,0
Jun-07
17,4%
Sep-07
16,4%
2 666 190
contracts
Mar-08
10,3%
Oct-07
8,9%
Nov-07
2,8%
Dec-07
24,2%
Month-end open interest (mln contr.)
3,0
Month-end open interest
Jul-04
Monthly volume of trading (mln contr.)
Monthly volume of trading
5,0
Average spread duration
Average spread volume
16.03.2007
09.03.2007
02.03.2007
23.02.2007
16.02.2007
09.02.2007
02.02.2007
26.01.2007
100%
5000
90%
4500
80%
4000
70%
3500
60%
3000
50%
2500
40%
2000
30%
1500
20%
1000
10%
500
0%
0
Average bid-ask spread volume per futures
series (contr.)
16.03.07
09.03.07
02.03.07
23.02.07
16.02.07
09.02.07
02.02.07
26.01.07
19.01.07
12.01.07
05.01.07
29.12.06
22.12.06
15.12.06
08.12.06
01.12.06
24.11.06
6 months
19.01.2007
12.01.2007
05.01.2007
29.12.2006
22.12.2006
15.12.2006
08.12.2006
17.11.06
10.11.06
03.11.06
27.10.06
3 months
01.12.2006
24.11.2006
17.11.2006
10.11.2006
03.11.2006
20.10.06
13.10.06
06.10.06
29.09.06
22.09.06
15.09.06
08.09.06
01.09.06
25.08.06
18.08.06
11.08.06
04.08.06
28.07.06
21.07.06
14.07.06
07.07.06
Spread (RUB)
1 month
27.10.2006
20.10.2006
13.10.2006
06.10.2006
29.09.2006
22.09.2006
15.09.2006
08.09.2006
01.09.2006
25.08.2006
18.08.2006
11.08.2006
04.08.2006
28.07.2006
21.07.2006
14.07.2006
07.07.2006
Average bid-ask spread duration
(% of trading session)
MICEX USD/RUB futures: liquidity
0,06
MICEX USD/RUB futures: daily average bid-ask spread
12 months
0,05
0,04
0,03
0,02
0,01
MICEX USD/RUB futures: average spread volume and its duration within trading session
USD/RUB futures: domestic & international market
Open interest value (RUB),
end-of-Apr'07
Trading value (RUB),
Jan'07-Apr'07
MICEX
98,6%
MICEX
97,5%
SPCEX
0,1%
SPCEX
0,1%
RTS
2,4%
Daily average turnover (USD mln)
RTS
1,3%
Month-end open interest (USD bln)
3,2
Apr-07
Jan-07
Oct-06
Jul-06
RTS
Apr-06
Jan-06
Oct-05
0,0
Jul-05
0
Jan-05
0,4
Apr-07
40
Jan-07
0,8
Oct-06
80
Jul-06
1,2
Apr-06
120
Jan-06
1,6
Oct-05
160
Jul-05
2,0
Apr-05
200
Jan-05
2,4
Oct-04
240
СМЕ
MICEX
2,8
RTS
Oct-04
СМЕ
MICEX
280
Apr-05
320
MICEX STIR futures: trading statistics
STIR futures: trading statistics
90
140
Monthly volume of trading
70
100
60
80
50
60
40
30
40
20
20
10
0
MICEX 3-m MosPrime Rate futures: daily average bid-ask spread
0,40%
1 month
2 months
3 months
0,35%
0,30%
0,25%
0,20%
0,15%
0,10%
29.09.06 14.10.06 29.10.06 13.11.06 28.11.06 13.12.06 28.12.06 12.01.07 27.01.07 11.02.07 26.02.07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06
Jul-06
Jun-06
May-06
0
Month-end open interest (contr.)
80
Month-end open interest
Spread
Monthly volume of trading (contr.)
120
New types of orders
Combination trading
Automatic quoting
Market-making programs
MICEX FX & STIR futures: nearest plans
Synthetic products
Futures-type settlement options
Long interest rate products
MICEX equity derivatives: firm basis
MICEX SE
derivatives market
Exchange
MICEX SE
Clearing house
MICEX
Settlement house
MICEX SH
Technical Center
Liquid
underlying
cash
markets of
MICEX Group
MICEX
High-end
trading,
clearing
and settlement
IT solutions
Strong and
effective
financial
safeguards
system
Clear market
rules and
simple
transaction
procedures
MICEX SE derivatives market: coming instruments
MICEX indices family
MICEX Index
«Blue chips»
MICEX10 index
Sectoral
MICEX O&G
Capitalization
MICEX PWR
MICEX Large Caps
MICEX TLC
MICEX Middle Caps
…
MICEX Small Caps
MICEX Index: diversification and liquidity
Capitalization
Liquidity
Weighted price of 10
last trades
On average 5.5 ticks
per second
Calculation
5%
min free-float
15%
max issuers’ weight
3 month watch list
Structure
Compliance
With
regulations
6 month calculation base
RF
Index
Investment
funds
EU
UCITS
requirements
10
sectors
30
shares
80%
capitalization
95%
trading value
USA
Broad-based
security
index
MICEX Index: economic sectors
15,55%
11,62%
10,11%
5,61%
53,54%
0,34%
2,57%
0,41%
0,25%
Oil and Gas
Energy
Machinery
Banks
IT and mass media
Transport
Metallurgy
Telecommunication
Consumer
MICEX Index structure reflects exchange equity market distribution
MICEX Index: Russian EQ market benchmark
MICEX Index
RTS
RTX
RTS
7,0%
MICEX SE
63%
…
DJ
Titans
Russia…
MSCI
Russia
LSE
25%
FTSE Russia IOB
Index
NYSE
DBAG
3,2%
2,3%
DAXglobal
Russia
Russian equity market in 2006: how many indices the market needs?
MICEX Index: key indicator of Russian EQ market
National exchange equity market turnover
MICEX SE (MICEX Index) - 95,85%
MICEX SE (the rest stocks) - 2,47%
RTS Classic Stock Market -1,47%
RTS Exchange Stock Market - 0,08%
SE "Saint-Petersburg" (Gazprom stocks) - 0,13%
Russian equity market in 2007: strengthening positions of MICEX SE
MICEX Index: basis for index investment funds
Index funds net asset value
MICEX Index - 93,12%
RTS Index - 6,28%
Other Indices - 0,61%
Russian collective investments in 2007: investors choose MICEX Index
MICEX Index: basis for index investment funds
Net asset value growth
MICEX Index funds
900%
Formed
MICEX Index funds
21
All funds
700%
Under formation
2
500%
Registration
5
300%
28
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06
Jul-06
Jun-06
May-06
Apr-06
Mar-06
Feb-06
Jan-06
100%
Dec-05
Total number
MICEX Index futures: analogies from abroad
Country
Key index
(national
currency)
Brazil
Futures &
options
availability
IBovespa;
IBrX-50 (BRL)
(BRL)
Hong
Kong
Hang Seng
Index (HKD)
(HKD)
India
S&P CNX
Nifty (INR)
Korea
S&P CNX
DEFTY (USD)
(KRW)
KLCI
(MYR)
Mexico
(foreign
currency)
KOSPI 200
(KRW)
Malaysia
(INR)
Key index
(MYR)
IPC Index
(MXN)
(MXN)
FTSE Bursa
Malaysia 100
Index (USD)
Futures &
options
availability
MICEX Index: analogies from abroad
Foreign exchange rates dynamics
110%
100%
90%
80%
70%
60%
BRL/USD
INR/USD
JPY/USD
50%
40%
Jan-00
Oct-00
Jul-01
Apr-02
Jan-03
Oct-03
Jul-04
Apr-05
MXN/USD
IDR/USD
RUB/USD
Jan-06
Oct-06
Russian currency is a stable one – there is no need to use another
MICEX Index futures: contract specification
Underlying
Trading Unit
Contract Months
MICEX Index
RUB 20 times MICEX Index
2 nearest months in the March quarterly cycle:
Mar, Jun, Sep, Dec
Final Settlement Day The 15th calendar day of the contract month
Settlement Method
Price Quoting
Cash-settled
MICEX Index times 100
Minimum Price
Fluctuation
25 price points or RUB 5 per contract
Final Settlement
Price
MICEX Index determined on the final
settlement day times 100
Fee
RUB 1 per contract
MICEX Derivatives Market financial safeguards
Overall reliability
and stability of
MICEX derivative
market is
confirmed by
reports of juridical
bureau “Milbank,
Tweed, Hadley and
McCloy”, the
Institute of State
and Law of The
Russian Academy
of Sciences and by
the KPMG
company
Risk management system
fundamentals:
daily mark-to-market procedures
and calculation of variation margin
gross-margining and collateral
(performance bonds) prepayment
compulsory liquidation of insolvent
members’ positions
MICEX Reserve Fund
accounts for RUB 500 million
MICEX Derivatives Market financial safeguards
Current limitations:
Gross-margining
Cash collateral
Strict liquidation
procedures
Coming flexibility:
SPAN based
portfolio margining
Collective clearing fund
Market procedures of
settling insolvency
situations
Variety of financial
collateral
Net-margining of CMs
MICEX Derivatives Market
IT’S TIME
TO SERIOUSLY CONSIDER
JOINING
THE RAPIDLY EVOLVING
RUSSIAN MARKET
OF LARGE POTENTIAL
Contacts
MICEX Derivatives Market Division
 Phone:
+7 (495) 705-96-12
+7 (495) 705-96-27
Thank You!
+7 (495) 705-96-03
 Fax:+7 (495) 202-75-04
 e-mail:
[email protected]
 Web:
www.micex.ru