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Russian Trading System
Stock Exchange
Opportunities of Derivatives
market for foreign investors
Russian Derivatives market
Derivatives market – the fastest growing, the most profitable
segment of the Russian financial market.
2007 – until now this year has been
the most profitable year in the history
of derivatives market:
•Rapid growth of trading volume
•Steep growth of number of trading participants
•Legislation improvements
•Infrastructure changes
The facts above create a solid base for the future market
development
Positive factors that promote development of
derivatives market
FORTS (Futures and Options on RTS)
1.
2.
3.
4.
Legal defence of futures contracts (the law was adopted
by the governmental authorities and signed by RF
President on January 26, 2007)
Cancellation of limitations for capital transactions with
currency
Macroeconomic policy helps further economics and
financial market development
The process of overflow of the main share of the
derivatives on Russian assets to Russia
Russian derivatives market
FORTS (Futures and Options on RTS)
FORTS (Futures and Options on RTS)
is a derivatives division of the Russian Trading System Stock Exchange
FORTS has 13 years experience in futures and options trading
FORTS is a leader of the Russian market in:
•Monthly Trading volume – 27 bln US dollars
•Number of traded contracts - 53
•Number of active market participants - 90
•Number of accounts - 20000
Last Records:
Daily open interest exceeded $9,5 billion.
Daily trading volume grew to $1,8 billion.
FORTS – is a reliable and technologically advanced market
Russian derivatives market
Market Dynamics
FORTS is
•in the international exchanges top-20 by trading volume
•the world leader in the single stock derivatives segment
•the fastest growing segment of the Russian financial market
2000
7000
Derivatives daily average values per month, 2001-2007
1800
Trading volume, mln.USD
6000
Open interest, mln.USD
1400
5000
1200
4000
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200
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Open Interest
Trading volume
1600
Why Russian Derivatives market?
Volume examples
Monthly trading volume of futures and options contracts on IOB Index on
LSE
45 mln USD
Monthly trading volume on futures and contracts on RTS Index
15 bln USD
Monthly trading volume on futures contracts on Rebco oil on NYMEX
0
Monthly trading volume on futures contracts on Urals on RTS
32 mln USD
Conclusion: financial instruments on Russian assets have better liquidity
in Russia
FORTS (Futures and Options on RTS)
Wide range of instruments
FORTS offers a wide range of derivative instruments:
Equity derivatives:
-Futures on 15 most liquid shares
-Options on 15 most liquid shares
Index derivatives:
-Futures on RTS Index and RTS Sectoral Indices
-Options on RTS Index
Bond futures:
-Futures on 12 most liquid bonds
Short terms Interest Rate futures
-MosIBOR Futures
-MosPrime Futures
Currency derivatives:
-Futures on UDS
-Option on USD
Commodity derivatives:
-Physical Delivery Gas oil futures
-Futures on Gold and on Silver
-Futures on Oil (Urals)
-Options on Gold
FORTS advantages
FORTS (Futures and Options on RTS)
•Highly liquid market
•Aggregation of demand of local and global market
participants
•A large number of market participants (more than 14
thousand of clients’ accounts)
•A wide range of instruments
•An opportunity of arbitrage with western financial markets
FORTS – maximum opportunities for
international investors
• Hedging of positions in Russian assets (both
portfolios and separate securities)
• Hedging of positions in rubles and USD
• An opportunity to make money on volatile and
bear market
• Making arbitrage deals
• An opportunity to trade with Russian
counterparties
• Offering clients trading on the Russian market
(DMA, Structured Products)
Russian derivatives market
RTS Index Derivatives
•Futures on the RTS Index was launched in August 2005
•Option on RTS Index future was launched in September 2005
•Within 6 months RTS Index has become the most popular Russian
derivative
•Open interest is over 2,4 bln dollars
RTS Index is the benchmark of the Russian stock market
•Calculated since 1995
•Capitalization-weighted, with free-float coefficients
•Consist of 50 preferred and common shares
•Calculated real-time
Current market capitalization of companies included the RTS Index as of
Sept 25 is $935 bln.
RTS Index is included in the Standard&Poor’s Index Global Portfolio
Russian derivatives market
Money market derivatives
Effective instrument for hedging of risks in domestic
Russian assets
-
Futures contract on exchange RUR\US dollar rate
-
Option on futures contract on exchange RUR\US dollar
rate
-
Futures contract on short-term interest rate
Russian market instruments
Commodity Derivatives
-February 20th, 2007
Started of physical delivery futures contracts on Gas oil
-Sugar futures launched 19 September, 2007
-Weather derivatives will be launched in November,
2007
-Futures contracts on oil
Cash-settled futures contracts on export oil Urals. Settlement based on
pricing information supplied by Platts (Urals-ex-Baltic Sea CIF R'dam)
-Futures and options on gold
-Futures contracts on silver
FORTS General Clearing Members
• Main Russian banks (Sberbank, Gazprombank, VTB,
Alfa-bank, NRB, etc.)
• Global investment banks (CSFB, Deutsche Bank,
Raiffeisenbank Austria , UBS)
• Leading Russian investment banks (Troika Dialog,
Renaissance Capital, CIT-Finance, Aton etc.)
• Leading Russian investment companies
FORTS Participants
-Leading investment companies
-Investment banks including global investment banks
-Commercial banks
-Institutional investors
-Non-residents
-Private investors
-Industry participants
In total more than 20 000 participants who are served by
up to 180 professional market participants
Settlement guarantees
A separate specialized clearing company – RTS Clearing House:
 acts as a central counterparty to the futures and options
transactions
 runs the settlement of all the contracts
Three-level guarantee system:
• Initial margin (guarantee payment)
• Reserve Fund
• Contingency Fund
The funds’ amount on Sept, 2007
1. Initial margin
(deposited by FORTS members and their clients)
2. Guarantee Funds:
2.1. Contingency Fund
(made of equal contributions of FORTS members)
2.2. Reserve Fund
(formed from RTS Clearing House own balance sheet)
mln $
460
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Contact details:
RTS Derivatives Department
Tel/Fax: 007 495 705 90 31
E-mail: [email protected]
Web:
www.rts.ru or www.forts.ru