Transcript MICEX at Glance

May 11 - 12, 2006
The Derivatives Market
of the MICEX Group
Alexander Balabushkin
Deputy Head of Derivatives, MICEX
Moscow Interbank Currency Exchange
MICEX
●
MICEX was established in 1992 as a currency
exchange in the form of a closed-end joint-stock
company
●
Shareholders:
۰
۰
۰
۰
۰
۰
۰
۰
●
Central Bank of the Russian Federation
Association of Russian Banks
Sberbank RF
Vneshtorgbank
International Moscow Bank
Rosbank
Bank of Moscow
9 other leading commercial banks of Russia
Mission:
To be the core Russian financial marketplace, providing
market participants with full spectrum of trading, clearing
and settlement services based on high-end state-of-the
art solutions
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Moscow Interbank Currency Exchange
MICEX Group
MICEX
Stock
Exchange
National
Depository
Center
National
Mercantile
Exchange
MICEX
National Clearing Center
N.Novgorod Novosibirsk Ekaterinburg Samara
S.Petersburg
MICEX Settlement
House
Rostov
Vladivostok
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Moscow Interbank Currency Exchange
MICEX Group: Financial Supermarket
● The MICEX Group offers trading and
settlement services for 5 markets:
۰
۰
۰
۰
۰
currency market (since 1992)
federal bonds market (since 1993)
derivatives market (since 1996)
equity market (since 1997)
corporate and regional bonds market
(since 1999)
● Operates under the licenses of:
۰ Central Bank of the Russian Federation
(currency market)
۰ Federal Service for the Financial Markets
(securities market)
۰ Ministry for the Antimonopoly Policy
(derivatives market)
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Moscow Interbank Currency Exchange
MICEX Group: National Financial Infrastructure
St.-Petersburg
Novosibirsk
N. Novgorod
• 1500 banks and companies
Moscow
• 10 000 clients
• 11 telecom providers
• 318 brokerage systems
• 500 000 orders a day
• 250 000 trades a day
Samara
Rostov-on-Don
Yekaterinburg
Vladivostok
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Moscow Interbank Currency Exchange
MICEX Group: Advanced Information Technologies
● Screen-based
●
●
●
trading
with
remote access
Possibility of numerous trade
vehicles
Integrated services: trading,
clearing and settlement facilities
in the ‘one-stop shopping’
environment
Good scalability, flexibility and
universality of the system
● According to the Gartner Group,
the reliability of
system is 99,99%
the
Micex
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Moscow Interbank Currency Exchange
MICEX Group: Daily Average Volumes
USD mln
Period
2004
2005
Jan-Mar 2006
Foreign exchange
1400
2397
3216
Equities
434
574
1407
Corporate bonds
165
339
561
Federal bonds
187
409
516
2
26
100
2188
3745
5800
Market
Derivatives
Total
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Moscow Interbank Currency Exchange
MICEX Group: Market Shares
Leading Russian exchanges’ market shares in 2005
Period
MICEX
RTS
SPCEX and
other
Foreign exchange
94%
2%
4%
Equities*
79%
21%
-
Corporate bonds
97%
-
3%
Federal bonds
100%
-
-
Derivatives
21%
76%
3%
Market
• MICEX spot markets – basis for derivatives
• On-line funds transfers between MICEX markets
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(*) Gazprom stocks had been in limited circulation till the end of 2005 and were traded on the Stock
Exchange “Saint-Petersburg” (RTS SE Group) only. Gazprom stocks market share amounted to 15%.
Moscow Interbank Currency Exchange
MICEX Derivatives Market: Products
Underlying
USD / RUB
Euro / RUB
Trading unit
USD 1000
Euro 1000
Contract months
Next 6 months + 2
months in quarterly
March cycle
Next 6 months
Final settlement day
Next 6 months + 2
months in quarterly
March cycle
15-th of contract month
Delivery
Final settlement price
Euro / USD
Cash settled
Micex USD / RUB
exchange rate
Central Bank of
Russia Euro / RUB
exchange rate
Tick
ECB Euro / USD
exchange rate
0,0001
Tick value
RUB 0,1
RUB 0,1
RUB 3
Fee
RUB 0,3 per contract
RUB 0,3 per contract
RUB 0,5 per contract
Initial margin
(=Deposit margin)
RUB 600 - 1000
(depending on
contract month)
RUB 1600 – 3500
(depending on
contract month)
RUB 1000 - 3500
(depending on
contract month)
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Moscow Interbank Currency Exchange
Market Structure
• MICEX authorized capital: RUB 800 mln
MICEX Derivatives Market
• Derivatives Market Reserve Fund: RUB 200 mln
• MICEX SH authorized capital: RUB 255 mln
Marketplace – MICEX
• MICEX SH is a specialized institution for providing
Clearing – MICEX
settlement services – “non-banking credit organization”
• The License and regulations of the Bank of Russia
do not allow active operations with clients' funds
Settlement bank – MICEX Settlement House
deposited with MICEX SH (lending)
• This guarantees safety of clients' funds
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Moscow Interbank Currency Exchange
Membership Structure
MICEX Derivatives Section
General Clearing
Member
Individual Clearing
Member
General Trading
Member
Clients
Clients
Associated Clearing
Member
Individual Trading
Member
Clients
Clients
GCM
ICM
GTM
ITM
ACM
Right to trade all types of contracts
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USD, EUR
Right to trade on its own account
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Right to trade for and on behalf of its Clients
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Right to settle its own and clients’ trades directly with MICEX
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Right to settle Trading Members’ trades with MICEX
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Banks
Non banks
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
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Moscow Interbank Currency Exchange
Membership Dynamics & Market Participants Rating
Date
Total
GCM
ICM
ACM
GTM
ITM
Active
01.01.05
156
24
57
4
56
15
39
01.04.05
161
25
58
7
56
15
42
01.09.05
161
25
58
9
54
15
51
01.01.06
164
26
60
10
53
15
62
01.04.06
168
26
62
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53
16
62
2005
March 2006
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Metallinvestbank
1
International Moscow Bank
2
Vneshtorgbank
2
Gazprombank
3
Eurofinance Mosnarbank
3
Metallinvestbank
4
Sberbank
4
MDM Bank
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Moscow Interbank Currency Exchange
Market Dynamics
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September 2004 — largest Russian banks set up a pool of liquidity providers
Trading volume in 2005 – 6.5 mln contracts or USD 6.5 bln in notional value
Trading volume in Q1 2006 — 5.7 mln contracts (11 times Q1’05 volume)
End-of-March open interest — 1.9 mln contracts or USD 1.9 bln
Record daily volume — USD 640 mln
Average transaction volume in 2005 — USD 7 mln (Q1 2006 – USD 10.5 mln)
contracts, or USD ths.
3 000 000
2 700 000
2 400 000
2 100 000
1 800 000
1 500 000
1 200 000
900 000
600 000
300 000
0
Trading volume
Open interest
Oct 04
Dec 04
Feb 05
Apr 05
June 05
Aug 05
Oct 05
Dec 05
Feb 06
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Moscow Interbank Currency Exchange
Open Interest
December 31, 2005
March'06
February'06
10%
7%
April'06
10%
USD 2 bln
May'06
16%
December 31, 2004
March'05
73.36%
January'06
34%
June'06
December'06
September'06
5%
12%
6%
USD 140 mln
June'05
0.04%
February'05
January'05
3.63%
22.98%
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Moscow Interbank Currency Exchange
USD/RUB Futures Market
Daily average trading volume (USD mln.)
140
Month-end open interest (USD bln.)
2.00
120
1.75
100
1.50
1.25
80
1.00
60
0.75
40
0.50
20
0.25
0
0.00
2004, 2004, 2005, 2005, 2005, 2005, 2005, 2005, 2006,
Oct. Dec. Feb. Apr. Jun. Aug. Oct. Dec. Feb.
MICEX
СМЕ
RTS
2004, 2004, 2005, 2005, 2005, 2005, 2005, 2005, 2006,
Oct. Dec. Feb. Apr. Jun. Aug. Oct. Dec. Feb.
MICEX
СМЕ
RTS
* Based on official data from Internet sites of the exchanges
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Moscow Interbank Currency Exchange
Futures and Options on Russian Exchanges
End-of-March 2006 open interest
Q1 2006 trading volume
MICEX
97%
MICEX
96%
FX only
SPCEX
1%
SPCEX
2%
RTS
2%
RTS
2%
MICEX
68,5%
MICEX
26,5%
All products
SPCEX
1,7%
SPCEX
0,4%
RT S
73,1%
* Based on official data from Internet sites of the exchanges
RTS
29,8%
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Moscow Interbank Currency Exchange
Plans for 2006: STIRs
Short-term interest rate futures –
new instruments for the Russian market
(1)
 Underlying - 3-month MosPrime Rate
 Calculated by the National Foreign Exchange Association
 Methodology is approved by EBRD which uses MosPrime Rate for quarterly setting coupon for its floater
 Contributor Panel consists of 8 leading participants of the Russian money market:
ABN Amro, Citibank, Gazprombank, IMB, Raiffeisenbank, Sberbank, Vneshtorgbank, WestLB Vostok
 Expected launch time – June 2006
(2)
 Underlying – compounded MosIBOR Overnight Rate
 Analogs – BM&F One-Day Interbank Deposut Futures, EONIA Futures
 O/n deposits account for 70% of Russian money market
 Contributor Panel consists of 16 leading participants of the Russian money market
 Expected launch time – July 2006
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Moscow Interbank Currency Exchange
MICEX SE: Leader Among Exchanges of the CIS and CEE
● The capitalization of the Russian
The turnover on the equity market
in January-February 2006 and the number of issuers
equity market is 84% of Russia’s GDP
bln USD
The number of
issuers
NYSE
2641.5
1817*
NASDAQ
2040.7
2816
London SE
1201.2
2762
Tokyo SE
1140.4
2337
stock market is over 60% of the stock
Euronext
563.0
961
market of the countries of the CIS,
Deutsche Borse
420.5
645
Hong Kong Ex&Cl
125.8
1130
Shanghai SE
56.6
833
MICEX SE
49.6
186
Singapore Ex
26.6
458
Wiener Borse
12.4
91
Warsaw SE
8.6
234
or 647.4 bln USD (as of April 1, 2006)
● The trading volume in the Russian
Central and Eastern Europe
*) January 2006
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Moscow Interbank Currency Exchange
MICEX Index: Dynamics
Country
Growth of national stock
index in Jan-Mar 2006
Russia
(MICEX Index)
+28.5%
China (SSEC)
+11.8%
Germany (DAX)
+10.4%
United Kingdom
(FT-SE)
+6.2%
Japan (Nikkei)
+5.9%
USA (DJIA)
+3.7%
Changes in world indexes
2000 -2005, %
-200
0
200
400
600
800
1000
MICEX
Index
DJIA
SSEC
Nikkei
On April 26 MICEX Index exceeded the level of 1500
Growth from the beginning of 2006 – 41%
FT-SE
DAX
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Moscow Interbank Currency Exchange
Plans for 2006: Futures on MICEX Index
Q1 2006 Turnover
SE "Sa intPe te rsburg"
(Ga zprom
stocks)
$14.74bln (15% )
MISEX SE
(other stocks)
$2.67bln (3%)
RTS
$5.84bln (6%)
MICEX Index
$77.59bln
(76%)
• Potentially the most attractive product for domestic investors
• Expected time – October 2006
ISSUER
"Aeroflot"
"AvtoVAZ"
"RAO UES"
"RAO UES"
"Gazprom"
"Norilsk Nickel"
STOCK TYPE
Common stock
Common stock
Common stock
Preference stock
Common stock
Common stock
"LUKoil"
"Mosenergo"
"MTS"
"RBC IS"
"Rostelecom"
"Sberbank"
"Sberbank"
Common stock
Common stock
Common stock
Common stock
Common stock
Common stock
Preference stock
"Sibneft"
"Surgutneftegaz"
"Surgutneftegaz"
Common stock
Common stock
Preference stock
"Tatneft"
"Transneft"
"Uralsvyazinform"
Common stock
Preference stock
Common stock
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Moscow Interbank Currency Exchange
Plans for 2006: Options
 Underlying: futures contracts on USD/RUB, later other futures
 Settlement method: futures-style, new for the Russian market
 Expected time: October-November 2006
Plans for 2007
 Single stock futures and options
 Futures on federal bonds
 Futures on corporate bonds
Common variant of “cheapest–to-deliver”
ZCYC:
• recalculated on-line
• methodology was developed by
the Central Bank and MICEX
or cash settled futures on the basis of ZCYC
 National Mercantile Exchange – wheat, white sugar, oil, gold,… (commodity futures)
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Moscow Interbank Currency Exchange
Plans for 2006: Financial Safeguard System
MICEX Reserve Fund for derivatives market
• The Board of Directors decided to recommend to the Shareholders Meeting
to allocate to the Reserve Fund additionally RUB 300 mln
• As a result the MICEX Reserve Fund for derivatives market will be increased up to RUB 500 mln
• The Clearing Fund will be set up by clearing members
• The Reserve Fund and the Clearing Fund will be used proportionately in cases when the initial margin of
a defaulting clearing member is not sufficient to close out its positions
SPAN
• MICEX and CME have signed SPAN License Agreement
• SPAN implementation is under way
• Expected time - October-November 2006
Step-by-step raising of requirements for clearing members
• The goal is to strengthen the guarantee system by restricting clearing membership to first-rate banks only
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Moscow Interbank Currency Exchange
SPAN Implementation Design
price
order
• Built in the trading system
• On-line margining
• Capital adequacy checks
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Moscow Interbank Currency Exchange
Contacts
● Address:
۰ 13, B. Kislovskiy per., Moscow, 125009, Russia
● Telephone:
۰ +7 495 7059610
۰ +7 495 7059612
۰ +7 495 7059627
● Fax:
۰ +7 495 2027504
● E-mail:
۰ [email protected]
● Web-server:
۰ www.micex.com
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