Currency Derivatives at Moscow Exchange

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 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.

Indices56.7%

Currency31.6%

Stock7.2%

Commodity4.1%

Bonds0,4%

Market structureTrading Volumes by groups, USD

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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

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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

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

.200

9

Dec

.200

9

Feb.

2010

Apr.

2010

Jun.

2010

Aug.

2010

Oct

.201

0

Dec

.201

0

Feb.

2011

Apr.

2011

Jun.

2011

Aug.

2011

Oct

.201

1

Dec

.201

1

Feb.

2012

Apr.

2012

Jun.

2012

Aug.

2012

Oct

.201

2

Dec

.201

2

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)

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EUR/USD and EUR/RUB Futures

Underlying assets EUR/USD; EUR/RUB currency rates

Lot €1,000 / €1,000



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




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




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

USD/UAH Futures

Underlying asset USD/UAH currency rate

Lot USD1,000




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 2Open account with one of the brokers from the list

Step 3Test your system with the Exchange Test Environment

Step 4Complete your connectivity process

Step 5Switch 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

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CONTACTSMOSCOw, RUSSIA

Irina BukharinaHead of Money Market Business DevelopmentDerivatives Division

T +7 (495) 363-32-32 ext. 26062E [email protected]

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.

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Currency Derivatives at Moscow Exchange

Economy & Finance

Transcript of Currency Derivatives at Moscow Exchange