Currency
Derivatives
at Moscow
Exchange
Product
Guide
Exploring
the Russian Derivatives Market
12 years of successful development;
US $6-7bn average daily trading
volume (open ...
3
Advantages of currency derivatives
High liquidity
Trading in USD/RUB futures on FORTS
started in December 2002, and the ...
4
How does it work
Trading hours Moscow New York London Hong Kong
10:00–14:00 trading
14:00–14:03 clearing
14:03–18:45 tra...
5
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
0
500
1,000
1,500
2,000
2,500
Feb.2009
Apr.2009
Jun.2009
Aug.2009
Oct.20...
6
EUR/USD and EUR/RUB Futures
Underlying assets EUR/USD; EUR/RUB currency rates
Lot €1,000 / €1,000
Settlement Cash-settle...
USD/UAH Futures
Underlying asset USD/UAH currency rate
Lot USD1,000
Settlement Cash-settlement
Expiration day The 15th of ...
CONTACTS
Moscow, Russia
Irina Bukharina
Head of Money Market
Business Development
Derivatives Division
T	 +7 (495) 363-32-...
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Currency Derivatives at Moscow Exchange

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Interest in the Russian FX and FX derivatives markets has been growing recently. This was particularly clear at TradeTech FX in London, the largest annual conference dedicated to FX trading.

Welcome to observe Moscow Exchange Product Guide about Currency Derivatives.

Published in: Economy & Finance, Business
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Currency Derivatives at Moscow Exchange

  1. 1. Currency Derivatives at Moscow Exchange Product Guide
  2. 2. Exploring the Russian Derivatives Market 12 years of successful development; US $6-7bn average daily trading volume (open interest: US $10-11bn); 87 contracts on indices, equities, currencies, interest rates, commodities (59 futures + 19 options); 148 clearing members; Included in TOP-10 global derivatives exchanges (by FIA). FORTS – MOSCOW EXCHANGE’S DERIVATIVES MARKET Product range Index Derivatives Currency Derivatives Futures on: • RTS Index; • MICEX Index; • RTS Standard Index ; • RTS Sector Indices; • RTSVX (Volatility Index). Futures on: • USD/RUB Exchange Rate; • EUR/USD Exchange Rate; • Other currency pairs: EUR/RUB, AUD/USD, GBP/USD, USD/JPY, USD/CHF, USD/UAH; • Fixed Income: 2Y, 4Y, 6Y, 10Y and 15Y federal loan bonds; • Short–term Interest Rates: Overnight MosPrime, 3M MosPrime , RUONIA. Options on: • RTS Index; • MICEX Index. Options on: • USD/RUB; • EUR/USD; • EUR/RUB. Equity Derivatives Commodity Derivatives Futures on: • Sberbank ordinary shares; • Gazprom ordinary shares; • Lukoil ordinary shares; • and 11 other most liquid stocks. Futures on: • Gold; • Brent oil; • Gas oil (physical delivery), Urals oil; • Precious metals: Silver, Platinum and Palladium; • Power Price Index; • Sugar; • Wheat; • Copper. Options on: • 12 most liquid stocks. Options on: • Gold, Silver, Platinum, Brent oil. Indices 56.7% Currency 31.6% Stock 7.2% Commodity 4.1% Bonds 0,4% Market structure Trading Volumes by groups, USD
  3. 3. 3 Advantages of currency derivatives High liquidity Trading in USD/RUB futures on FORTS started in December 2002, and the contract has become a key instrument on the derivatives market. Reliability and guarantees (CCP guarantees; funds). Standard terms (according to specifications). Available to a spectrum of clients: global investment banks, institutional investors, domestic brokers, individuals. The Futures Industry Association (FIA) included USD/RUB Futures and EUR/USD Futures in top-10 most actively traded derivatives worldwide: non- residents 38% legal entities 25% individual 37% asset management 1% non- residents 18% legal entities 57% individual 18% asset management 7% USD/RUB Futures Trading volume by client type USD/RUB Futures open interest by client type
  4. 4. 4 How does it work Trading hours Moscow New York London Hong Kong 10:00–14:00 trading 14:00–14:03 clearing 14:03–18:45 trading 18:45–19:00 clearing 19:00–23:50 trading New York, London summer time 10AM 2AM 7AM 2PM Convenience: Sponsored DMA access available for all levels of participation Advanced in-house technologies used for clearing and trading Almost 24-hour trading (main and additional evening trading session) Cost efficiency 3.5-5% of the contract’s value (collateral) instead of the full amount; Collateral accepted in Russian rubles, US dollars, and securities. Order-book for USD/RUB Futures (Si): Over USD1.5 bn daily liquidity Great MM opportunities Calendar spreads in USD/RUB futures available from June, 5
  5. 5. 5 0 500 1,000 1,500 2,000 2,500 3,000 3,500 4,000 0 500 1,000 1,500 2,000 2,500 Feb.2009 Apr.2009 Jun.2009 Aug.2009 Oct.2009 Dec.2009 Feb.2010 Apr.2010 Jun.2010 Aug.2010 Oct.2010 Dec.2010 Feb.2011 Apr.2011 Jun.2011 Aug.2011 Oct.2011 Dec.2011 Feb.2012 Apr.2012 Jun.2012 Aug.2012 Oct.2012 Dec.2012 Feb.2013 Apr.2013 Jun.2013 Aug.2013 Open Interest, bn USD Trading Volume, bn USD Average Daily Trading Volume Open Interest, end of month Products in focus USD/RUB Futures Underlying asset USD/RUB currency rate Lot US$1,000 Settlement Cash-settlement Expiration day The 15th of the corresponding expiration month of the expiration year Maturity 3 and 6 months Tick size RUB1 Tick value RUB1 Initial margin 3.5% of the contract value USD/RUB Codes Moscow Exchange – Si,  Bloomberg – URA,  Reuters – SIRTSc1 Average Daily Trading Volume and Open Interest for USD/RUB Futures (USD)
  6. 6. 6 EUR/USD and EUR/RUB Futures Underlying assets EUR/USD; EUR/RUB currency rates Lot €1,000 / €1,000 Settlement Cash-settlement Expiration day The 15th of the corresponding expiration month of the expiration year Maturity 3 and 6 month Tick size USD0.0001/RUB1 Tick value USD0.1/RUB1 Initial margin 3.5% of the contract value EUR/USD Codes Moscow Exchange – ED,  Bloomberg – REDA,  Reuters – EDRTSc1 EUR/RUB Codes Moscow Exchange – Eu,  Bloomberg – RERA,  Reuters – EURTSc1 USD/JPY and USD/CHF Futures Underlying asset USD/JPY аnd USD/CHF currency rate Lot USD1,000 Settlement Cash-settlement Expiration day The 15th of the corresponding expiration month of the expiration year Maturity 3 and 6 months Tick size JPY0.01; CHF0.0001 Tick value JPY10 Initial Margin 4% of the contract value USD/JPY Codes Moscow Exchange – UJPY  Bloomberg – JPPA  Reuters – JPRTSc1 USD/CHF Codes Moscow Exchange – UCHF  Bloomberg – CFLA  Reuters – CFRTSc1 GBP/USD and AUD/USD Futures Underlying assets GBP/USD; AUD/USD currency rates Lot £1,000 / AU$1,000 Settlement Cash-settlement Expiration day The 15th of the corresponding expiration month of the expiration year Maturity 3 and 6 months Tick size USD0.0001 Tick value USD0.1 Initial margin 3.5% – for GBP/USD, Futures and 5% – for AUD/USD Futures GBP/USD Codes Moscow Exchange – GBPU,  Bloomberg – XUPA,  Reuters – GURTSc1 AUD/USD Codes Moscow Exchange – AUDU,  Bloomberg – XAPA,  Reuters – AURTSc1
  7. 7. USD/UAH Futures Underlying asset USD/UAH currency rate Lot USD1,000 Settlement Cash-settlement Expiration day The 15th of the corresponding expiration month of the expiration year Maturity 3 and 6 months Tick size UAH0.005 Tick value UAH5 Initial Margin 15% of the contract value USD/UAH Codes Moscow Exchange – UUAH  Bloomberg – UDTA  Reuters – UURTSc1 Easy steps to get an access to the market Step 1 See the list of existing FORTS Members (http://www.rts.ru/en/forts/members.html) Step 2 Open account with one of the brokers from the list Step 3 Test your system with the Exchange Test Environment Step 4 Complete your connectivity process Step 5 Switch into production How to get started Russian regulations prevent foreign entities from becoming FORTS market Clearing Members; such entities have two ways of accessing the market: Become a client of an existing FORTS Member; Create a subsidiary in Russia that applies to become a FORTS Clearing Member. For details on how to apply for FORTS Clearing Membership, please visit: http://rts.micex.ru/a522 7
  8. 8. CONTACTS Moscow, Russia Irina Bukharina Head of Money Market Business Development Derivatives Division T +7 (495) 363-32-32 ext. 26062 E irina.bukharina@moex.com Disclaimer This presentation has been prepared and issued by Open Joint Stock Company «Moscow Exchange MICEX-RTS» (the “Company”). Unless otherwise stated, the Company is the source for all data contained in this document. Such data is provided as at the date of this document and is subject to change without notice. This document does not constitute or form part of, and should not be construed as, an offer or invitation for the sale or subscription of, or a solicitation of any offer to buy or subscribe for, any securities, nor shall it or any part of it or the fact of its distribution form the basis of, or be relied on in connection with, any offer, contract, commitment or investment decision relating thereto, nor does it constitute a recommendation regarding the securities of the Company. The information in this document has not been independently verified. No representation or warranty, express or implied, is made as to, and no reliance should be placed on, the fairness, accuracy or completeness of the information or opinions contained herein. None of the Company, or any of its subsidiaries or affiliates or any of such person’s directors, officers or employees, advisers or other representatives, accepts any liability whatsoever (whether in negligence or otherwise) arising, directly or indirectly, from the use of this document or otherwise arising in connection therewith. This presentation includes forward-looking statements. All statements other than statements of historical fact included in this presentation, including, without limitation, those regarding our financial position, business strategy, management plans and objectives for future operations are forward-looking statements. These forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause our actual results, performance, achievements or industry results to be materially different from those expressed or implied by these forward-looking statements. These forward-looking statements are based on numerous assumptions regarding our present and future business strategies and the environment in which we expect to operate in the future. Important factors that could cause our actual results, performance, achievements or industry results to differ materially from those in the forward-looking statements include, among other factors: • perception of market services offered by the Company and its subsidiaries; • volatility (a) of the Russian economy and the securities market and (b) sectors with a high level of competition that the Company and its subsidiaries operate; • changes in (a) domestic and international legislation and tax regulation and (b) state policies related to financial markets and securities markets; • competition increase from new players on the Russian market; • the ability to keep pace with rapid changes in science and technology environment, including the ability to use advanced features that are popular with the Company’s and its subsidiaries’ customers; • the ability to maintain continuity of the process of introduction of new competitive products and services, while keeping the competitiveness; • the ability to attract new customers on the domestic market and in foreign jurisdictions; • the ability to increase the offer of products in foreign jurisdictions. Forward-looking statements speak only as of the date of this presentation and we expressly disclaim any obligation or undertaking to release any update of, or revisions to, any forward-looking statements in this presentation as a result of any change in our expectations or any change in events, conditions or circumstances on which these forward-looking statements are based. 10986

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