Transcript PowerPoint 프레젠테이션

Derivative Markets at KRX
Aug 10, 2005
Korea Exchange
Topics

Major Products

Financial Futures Market : 3 Yr KTB Futures

Currency Futures Market : USD Futures

Options Market : KOSPI 200 Index

Technology

Risk Management

Challenges Ahead
Major Products
 Major products : Most volume comes from stock-related derivatives
< Daily avg. trading volume >
Type
Stock Index Options
Stock Index Futures
Stock Index Futures
Interests Rate Futures
Currency Futures
(unit : contract)
Underlying
2005*
2004
KOSPI 200 8,765,732 10,126,736
KOSPI 200 169,585
223,329
KOSDAQ 50
233
828
3 Yr KTB
42,726
20,409
USD
10,313
8,361
 Other products : low liquidity
< Total Volume >
Futures
5 Yr KTB
CD
MSB
Gold
2005*
567
0
1,636
0
2004
61
0
2,621
969
Options
KOSDAQ 50
Equity
USD
3 Yr KTB futures
2005*
0
1
0
0
2004
1
1
0
0
* 2005 : by June
Financial Futures Market : 3 Yr KTB Futures
 Daily average volume
(unit :contract)
60,000
 Volume of the 3Yr KTB
futures has surged in 2005
due to the fluctuation
of the interest rate this year
52,369
42,726
(+45%)
50,000
40,000
29,409
30,000
20,000
10,000
6,305
0
2000
2001
2002
2003
2004 2005
* 2005 : by June
Source : KRX Review
Financial Futures Market : 3 Yr KTB Futures
 General trends by investor types
(unit:%)
Institutions
 Growth to more efficient
market
* Institutional & foreign
investors
: gradually increasing
25.0%
88.0%
21.1%
20.0%
84.0%
12.2%
15.0%
Foreigners
80.0%
10.0%
77.0%
* Individual investors
: sharply decreasing
85.4%
5.0% 2.0%
0.0%
4.8%
76.0%
Individuals
2000 2001 2002 2003 2004 2005
* 2005 : by June
Source : KRX Review
72.0%
Currency Futures Market : USD Futures
 Daily average volume
(unit :contract)
12,000
 Has broken the record this
year due to a high volatility
of the USD spot rate
 Open interests are increasing
for hedging purposes
10,313
+23.3%
10,000
8,361
8,000
6,000
5,556
4,000
2,000
0
2000
2001
2002
* 2005 : by June
2003
2004
2005
Source : KRX Review
Currency Futures Market : USD Futures
(unit:%)
 General trends by investor types
Institutions
20.0%
 Has become a more attractive
market to foreign investors
* Domestic investors are
gradually decreasing
82.0%
81.5%
Individuals
15.0% 16.9%
10.5%
10.0%
10.6%
Foreigners
5.0%
78.3%
81.0%
80.0%
79.0%
78.0%
1.6%
0.0%
77.0%
2000 2001
2002 2003 2004 2005
* 2005 : by June
Source : KRX Review
Options Market : KOSPI 200 Index
 Daily average volume
(unit : contract)
 Recorded the first ever
decrease in 2004, and fell
beneath 10 million contracts
per day in 2005
12,000,000
 Still, the most liquid product
in the world
6,000,000
(source: FIA data)
11,488,765
10,000,000
8,765,732
8,000,000
4,000,000
2,000,000
2000 2001 2002 2003 2004 2005
* 2005 : by June
Source : KRX Review
Options Market : KOSPI 200 Index
 Rationale to the decrease in KOSPI 200 options volume.
(unit:%)
60
 High volatility of the stock
market caused by the foreign
currency crisis has been
recovered to pre-financial
crisis level
 With the stock market
stabilizing, the volume is
recording a decrease
55.3
50
45.5
40
44.3
30
30.1
20
18
10
35.7
34.2
27.8
24.3
17.4
0
96 97 98
99 00 01
02 03
04
* 2005 : by June
05
Source : KRX Review
Options Market : KOSPI 200 Index
 General trends by investor types
(unit : %)
70.0
 The whole market structure
in terms of market participation
has evolved to be more
institutional investor oriented
* Individual investors :
recorded the lowest market share
in 2005
* Institutional investors & foreign
investors :
recorded the highest in 2005
66.0%
60.0
Individuals
50.0
40.0
45.1%
Institutions
34.0%
30.0
20.0
10.0
20.9%
24.0%
Foreigners
9.5%
0.0
2000
2001
* 2005 : by June
2002
2003
2004
2005
Source : KRX Review
Technology
 Two systems ⇒ To be integrated to a single platform
 KRX System (In-house trading system)
* for the stock related derivatives (KOSPI 200, STAR, Equity)
 Advantages :
 Timely adoption if rules & regulations are revised
 Cost saving
 KRX Commodity Futures System (Out-sourced)
* for the KTB & Currency etc.
 Advantages :
 New products easily implemented
 Used by 20+ exchanges around world
Technology
 Environment : rapid increase of internet users
 Nationwide Internet network cable installation

Home, Office, PC trading arcade etc
 Well developed Home Trading Systems

Fierce competition to attract more customers among
member firms
 Easy access to online real-time information


Making it easier for individual investors to trade options
Spreading websites providing market analysis and research
Risk Management
 Conservative margin system to guarantee settlement
 Initial Minimum Deposit : as an entry barrier
 Up-front Margining before Transactions

Margin checked automatically at a member’s system
when ordering before transaction

Initial margin: 15% / Maintenance margin: 10%
 Post Margining after transaction

Applies to the qualified institutional investors

Discount rate for hedging & arbitrage trading
Challenges Ahead
 A full-fledged derivative exchange with diverse products
 New Products planned or reviewed
* STAR 30 & KRX100 index/ Energy product/10 Yr KTB futures
 To revitalize the markets with low liquidity
* Equity options / 5 Yr KTB futures / USD options
 An internationalized exchange
 To attract international investors
* Exempted security by SEC to 3Yr KTB futures
* No Action relief from CFTC for KOSPI 200 futures
 Linkage with other foreign exchange
 To conform to the global standard
Challenges Ahead
 Equity Options (Launch Sep. 26. 2005)
 Equity Options market
 Underlying Assets : from seven to thirty Blue-chip stocks
 Settlement method : from physical delivery to cash settlement
 Multiplier : × 10
 Purpose
 To provide easy access to the market
 To supply an accurate hedging instrument
for institutional investors
 To revitalize the market with low liquidity
Challenges Ahead
 STAR 30 Index futures market (Launch Oct. 24. 2005)
 STAR 30 index futures(financial stability etc)




Underlying Assets : STAR 30 index based on stock at KOSDAQ
Base Index : 1000 Points vs 100 Points(KOSPI 200 index)
Trading Unit : 10,000 KRW vs 500,000KRW(KOSPI 200 index)
Offset ratio among index products : 50%
 Purpose
 To supply a hedging tool for the KOSDAQ market
 To revitalize the market replacing KOSDAQ 50 with low
liquidity
Thank You !