Product and Service Specifics
Transcript of Product and Service Specifics
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Product and Service Specifics
April 2012
2
Market microstructure 1 3
Stock Market 2 12
Derivatives markets (FORTS) 3 24
Agenda The Leading Global Exchange in a strong growth environment
FX Market
4 31
Market Data
6 41
2
IT services 7 43
Money Market 5 39
3
Market microstructure 1
3
What has been done and what is planned
Bringing business practices in
line with international standards
Development of the IPO/SPO
market
Task Done in 2011
• Adoption of the Law on the Central
Depository (CD)
• Launch of trading involving the Central
Counterparty
• Cancellation of the capital gain tax for
nonresidents
• Privatization in Russia
• Optimization of the issuance procedure
• Modernization of listing (e.g. new
quotation lists)
• Bringing the standards of information
disclosure and corporate governance in
line with international standards
• Changes in the requirements for
preservation of non-state pension
funds’ assets as a result of revaluation
(abolition of the requirement of the
annual breakeven result)
• Changes in regulations on information
disclosure: disclosure in English (with
subsequent translation into Russian),
financial reporting under IFRS
Attraction of foreign investors
Expected in 2012
• Ensuring compliance of the NSD with
requirements for CD
• Implementation of T+3 and DVP
settlements
• Bringing the clearing infrastructure in line
with international standards
• Liberalization of the criteria of investment of
the means of the Pension Fund of the
Russian Federation, non-state pension
funds and insurance companies
• Expanding the possibilities of investing the
means of sovereign funds
• Measures to motivate individual investors
• Creation of new types of instruments
(ETF, structured products)
• Modernization of technologies of access
to trading (DMA, co-location)
• Motivational tariff policy (e.g. volume
discounts)
• Creation of an English-speaking
Customer Support Center
• Regulation of cross trades
Creation of the Russian
investor base
4
Main market Main market
T+n Project Overview
Liquid shares
«Т0»
Market Sector
Standard
Liquid shares
«T+3»
5
•«T0», «T+3» (SPOT)
•«FORTS» (Derivatives)
•FX (next step)
Single cash position
•Collateral: RUB, USD or securities
•Collateral assets usable for delivery
Partial collateral
•Arbitrage strategies
•Currency hedge
Implementation of complex strategies
•Major international investors Increased liquidity
Instruments & Markets in T+n
Securities Market deals Negotiated deals Repo deals
Stocks TOP-35
►ССР
►T+ 3
►partial collateral
►ССР
partial collateral
T+0, T+1, …, T+3
►ССР
partial collateral
2 «REPO order books» (1 and 7 days), First part Т+0
«Direct REPO» (up to Т+7)
►Without CCP
Current Practice
►Without CCP
Current Practice
Other securities
►ССР
►T0
►100% collateral
►Without CCP
►T+0, …, T+3
►100% collateral
►Without CCP
►Т+1,…, Т+365
►“Direct REPO”
Liquid stocks of Russian companies and RDRs - TOP 35
Foreign securities
Liquid stocks of Russian companies and RDRs - TOP 50 Foreign securities
Government bonds
Liquid stocks of Russian companies and RDRs - TOP 50 Government bonds and marketable bonds of Russian issuers - TOP 15 Foreign securities
35
60*
75*
First stage
Second stage
Third stage
* - number of issuers
*
6
NSD – the CSD of the Russian Federation
Comments Modernization
New CSD law and NSD status
• Only one can run for CSD status
• No competition seen for NSD
• NSD is expected to get the status of the CSD in
July-August 2012
All additional AGC* requirements are met
• Special CSD regulation
• Finality of CSD settlement
• Special Obligatory reconciliation between the CSD
and registrars
• Status of CSD nominee accounts
• CSD records prevail registrars’ records
Now
NSD as CSD
7 * Association of Global Custodians
10,548 3,471
1,755
196 170 74 52 17
USA Japan UK Finland Germany Poland Russia Turkey
55%
49%
48%
37%
36%
26%
5%
1%
35%
27%
30%
56%
59%
27%
42%
84%
3%
1%
4%
3%
31%
3%
2%
7%
24%
21%
3%
1%
16%
50%
13%
UK
USA
Finland
Japan
Poland
Turkey
Germany
Russia
Cash equities Bonds Cash Other
73%
As % of GDP
64% 81% 82% 5% 4% 2% 16%
2
2 1
1
Domestic institutional demand has significant growth potential
Pension system development expected to drive investment Pension funds assets structure (2010) - Significant opportunity
Currently Russian pension funds savings are
concentrated in low-yield bonds that represent
84.4% of their total investment portfolio due to
regulatory limitations
Less than 0.7% of pension funds savings are
currently invested in equities
MICEX-RTS is actively involved in development
of new legislation which will stimulate
institutional investment into the equity market
Experts predict significant growth in total
volume of the available pension funds savings,
and that major investment inflow will be driven
by pension funds after liberalization of pension
savings allocation regulation
Pension funds assets (US$bn, 2010) - Significant opportunity
Source: OECD, FCSM, NLU, PFRF, Expert RA Rating Agency Note: (1) 2009 numbers for UK
(2) Source for Japan: Tower Watson
(3) NGPF and GPF structure of portfolio of pension savings
(4) Other includes: loans, land and buildings, unallocated insurance contracts,
private investment funds and other investments
3
4
8
Russia’s privatization plan likely to attract foreign investors and
increase number of IPOs/SPOs
2012 2013 2014+
60
76
91
100
100
56
66
79
Sberbank
VTB
Alrosa
Sovkomflot
Rus.Helicopters
Rostelecom
Ilyushin Finance
FSK
FNL
FNL
MM
TRSP
MNF
TLC
MNF
PWR SPO
IPO
SPO
IPO
IPO
IPO
SPO
SPO
52
100
100
100
PWR
FNL
MNF
TRSP
58
Inter RAO
Rosnano
OSK
Sheremetyevo
RusHydro PWR
IPO
IPO
IPO
SPO
SPO 50 PWR Gazprom Energo IPO
IPO
IPO
IPO
TRSP
Russian Agri Bank
70
100
100
RosAgroLeasing
Russian Railways
FNL
FNL
Russia plans to launch a privatization program in 2012-2014+
The size of the program is over $32 billion*
MICEX-RTS is focused on securing these IPO/SPO transactions and
consequently increasing overall volumes and liquidity on the exchange
Gov.
Share Company Industry Deal type
Gov.
Share Company Industry Deal type
Gov.
Share Company Industry Deal type
75 O&G Rosneft SPO SPO TRSP 51 Aeroflot
IPO Uralvagonzavod 100 MNF
IPO Zarubegneft 100 O&G
IPO OAK 83 MNF
O&G Transneft IPO 100
9
Source: Dealogic, Offerings.ru, Ministry of Economic Development of the Russian Federation, Russian Privatization Plan
* http://www.economy.gov.ru/minec/about/structure/depreal/doc20101123_01
10
New concept of Listing: timeline
Listing of Foreign Securities
Modernization of quotation list
(from 6 to 3 lists)
«Novy Rynok»
Free float
Capitalization
Liquidity
Market-making
IFRS
Corporate governance
Free float
Capitalization
Liquidity
Market-making
IFRS
Corporate governance
Additional Corporate governance requirements to protect shareholders’ rights
Disclosure of public reporting in English
* regulation at the level of the Decree of FSFM and MICEX-RTS Listing Rules
** regulation at the level of MICEX-RTS Listing Rules
*
*
**
Q2’12 Q3’12
Free Float will be part of listing requirements
10 * regulation at the level of the Decree of FSFM and MICEX-RTS Listing Rules
** regulation at the level of MICEX-RTS Listing Rules
11
«Novy Rynok»: Premium section*
Only companies from the quotation list I and II can be included in the Premium section
Only ordinary shares of public companies can be included in the Premium section
Inclusion in the segment implies companies’ voluntary acceptance of obligations for a particular set
of requirements (company may choose and comply with mandatory number of requirements)
MICEX-RTS establishes the set of requirements (work in progress)
Premium segment implies:
Transparency to foreign investors Additional protection of shareholders’ rights
Goal: To ensure the transparency of the company to investors
and high standards of information disclosure
Disclosure of public reporting in English
Quarterly IFRS Financial Statements
Public presentations for investors and analysts
Events Calendar for investors for the coming year
Approved Policy on Trade in shares (for major shareholders,
TOP management and Audit Committee)
Goal: To improve protection of shareholders’ rights in order to
achieve the level comfortable to international investors
Retail tranche in IPO deals
Stability of the major shareholders structure for a fixed time after IPO
Protecting the rights of shareholders in cases of transition of control
or the voluntary delisting of securities by Issuer
Providing guaranteed level of dividend payments
Optimizing the timing of the annual shareholders meetings
11 * «Novy Rynok» is not a quotation list
Stock Market 2
12
-
50
100
150
200
2009/I 2009/II 2009/III 2009/IV 2010/I 2010/II 2010/III 2010/IV 2011/I 2011/II 2011/III 2011/IV
Stocks Bonds
Cash equity & Fixed Income turnover (US$bn)1
Key facts about MICEX-RTS Securities Market
Highly liquid Russian Blue Chips
2nd and 3rd tier stocks (traded only on MICEX-RTS)
Exchange-traded Fixed Income Instruments and Government bonds (OFZ)
Trading hours: 10:00-23:50
Number of members: 6272
Number of global members3: 352
MICEX-RTS Securities Market Overview
13 (1) MICEX-RTS Data (2) As of 12.04.2012 (3) Subsidiaries of global banks
32% 32% 34% 33% 29% 27% 36%
21% 19% 16% 20% 26% 30% 20%
8% 9% 8% 8% 7% 8% 7% 7% 6% 6% 5% 7% 7% 6% 7% 6% 5% 5% 6% 5% 5% 6% 5% 5% 5% 5% 4% 5% 4% 4% 6% 5% 4% 3% 3%
17% 19% 19% 18% 17% 16% 19%
Q1'10 Q2'10 Q3'10 Q4'10 Q1'11 Q2'11 Q3'11
Sberbank Gazprom GMK Lukoil Rosneft VTB Sberbank-p Other
General characteristics of the market’s liquid stocks
Blue-chips share of trading
83% 81% 81% 82% 83% 84% 81% % of total
value
84.9 93.0 71.9 85.3 102.3 96.9 113.7 US $bn
Q1'10 Q2'10 Q3'10 Q4'10 Q1'11 Q2'11 Q3'11
Sberbank 1,73 1,8 1,39 1,61 1,89 1,49 2,27
Gazprom 1,12 1,06 0,65 0,95 1,69 1,66 1,25
GMK 0,41 0,52 0,33 0,4 0,43 0,44 0,42
Lukoil 0,38 0,34 0,24 0,26 0,44 0,37 0,41
Rosneft 0,36 0,32 0,22 0,25 0,4 0,3 0,31
VTB 0,33 0,27 0,2 0,25 0,33 0,24 0,29
Sberbank-p 0,2 0,23 0,24 0,27 0,25 0,19 0,19
Average daily trading value
Blue-chips have a huge share of trading in MICEX portfolio (> 80% of total value)
14 Source: MICEX-RTS data
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Volume (contracts) Price (rub)
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8%
10%
12%Volatility
Spread (% of LTP)
mill
ion
s
Sberbank
TICKER Name FREE_FLOAT Capitalization ($) ADTV* ($) ADS** ADS (%)
SBER Sberbank 40% 50 202 204 651 782 104 587 0,00067 2,64%
*average daily trading volume **average daily spread
15 Source: MICEX-RTS data
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0%
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10%Volatility
Spread (% of LTP)
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Ми
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Volume (contracts)
Price (rub)
mill
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Gazprom
TICKER Name FREE_FLOAT Capitalization ($) ADTV ($) ADS ADS (%)
GAZP GAZPROM 51% 118 428 736 368 367 035 027 0,0013 2,54%
16 Source: MICEX-RTS data
0
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3000
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Price (rub)
x10
00
0
MMC Norilsk Nickel 0
1.2
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0%
2%
4%
6%
8%
10%
12%Volatility
Spread (% of LTP)
TICKER Name FREE_FLOAT Capitalization ($) ADTV ($) ADS ADS (%)
GMKN MMC NorNick 48% 42 823 513 578 181 883 367 0,095 4,18%
17 Source: MICEX-RTS data
01
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0%
2%
4%
6%
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12%Volatility
Spread (% of LTP)
0
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Volume (contracts)
Price (rub)
Lukoil
TICKER Name FREE_FLOAT Capitalization ($) ADTV ($) ADS ADS (%)
LKOH Lukoil 76% 44 478 743 858 149 133 552 0,01847 3,38%
18 Source: MICEX-RTS data
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0%
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Volatility Spread (% of LTP)
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0 Volume (contracts)
Price (rub)
Rosneft
TICKER Name FREE_FLOAT Capitalization ($) ADTV ($) ADS ADS (%)
ROSN Rosneft 15% 65 345 160 319 110 944 026 0,00258 3,82%
19 Source: MICEX-RTS data
TICKER Name FREE_FLOAT Capitalization ($) ADTV ($) ADS ADS (%)
VTBR VTB 17% 22 661 127 503 83 891 095 0,00000102 4,36%
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Ми
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Volume (contracts)
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VTB 0
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4%
9%
14%
19%
24%Volatility
Spread (% of LTP)
bill
ion
s
*
* - raised the minimum lot size and increased the number of decimal places 20
Source: MICEX-RTS data
-10
40
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240
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Ми
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Volume (contracts)
Price
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0%
2%
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12%Volatility
Spread (% of LTP)
Sberbank - p
mill
ion
s
TICKER Name FREE_FLOAT Capitalization ($) ADTV ($) ADS ADS (%)
SBERP Sberbank-p 93% 1 788 113 695 50 872 937 0,001165 5,73%
21 Source: MICEX-RTS data
Key features: 2nd tier securities
• There is inverse relationship between average daily turnover and spread: the more liquid securities are, the narrower their spread is
• However, the correlation coefficient is only -0.078. We can see a quite liquid securities with a high spread (quartile III).
• According to our calculations, quartile III consists of 15 papers, which accounted for more than 28% of average daily turnover.
Quartile:
I. Low liquidity and high spread (third tier)
II. Low liquidity and low spread (third tier with MM program)
III. High liquidity with high spread
(area for LLT)
IV. High liquidity with low spread (Blue Chips)
I
II
III
IV
23 Source: MICEX-RTS data
Derivatives markets (FORTS) 3
24
25
Equity Market
Futures on:
14 most liquid stocks
RTS & MICEX Indices
RTSVX (Volatility Index)
Options on:
12 most liquid stocks
RTS Index, MICEX Index
Money Market
Futures on:
Fixed Income: 2yr, 4yr and 6yr
federal loan bonds
Short-term Interest Rates
(MosPrime Rate, RUONIA)
Currencies: USD/RUB,
EUR/USD, EUR/RUB, AUD/USD,
GBP/USD
Options on:
Currencies: USD/RUB,EUR/USD
Commodity Market
Futures on:
Oil: Gas oil, Urals oil, Brent oil
Precious metals: Gold, Silver,
Platinum and Palladium
Power Price Index
Sugar, Wheat, Copper
Options on:
- Gold, Silver, Platinum, Brent oil
Derivatives
0
100
200
300
400
500
600
2009/I 2009/II 2009/III 2009/IV 2010/I 2010/II 2010/III 2010/IV 2011/I 2011/II 2011/III 2011/IV
Derivatives turnover (US$bn)*
Source: MICEX-RTS data
SECURITY MONEY COMMODITY
Futu
res
Equity:
- 14 (most liquid stocks)
Indices:
-RTS Index , MICEX Index, RTS Sectoral Indices, RTSVX (Volatility Index)
Short terms Interest Rates:
- Overnight MosPrime
- Three-month MosPrime
Currencies:
USD/RUB, EUR/USD, EUR/RUB, AUD/USD, GBP/USD
Fixed Income:
- Futures on 2yr, 4yr and 6yr federal loan bonds
Gas Oil (Physical Delivery ),
Sugar (Cash settled ), Gold,
Silver, Platinum, Palladium, Urals
Brent, Copper
Op
tio
ns
-RTS Index
-12 (most liquid stocks) USD/RUB, EUR/USD
Gold, Silver, Platinum, Brent oil, Power Price Index, Wheat
FORTS derivatives market instruments
Name Bid / Ask spread Average Trading
volume, mln USD Average OI, mln USD
RTSI 5 points /1 tick 4500-5700 2100-2550
GAZP 3-5 rub / 3-5 ticks 280-420 350-420
LKOH 10-15 rub / 10-15 ticks 50-80 65-100
SBRF 1-2 rub / 1-2 ticks 280-350 320-350
VTB 7-14 rub / 7-14 ticks 15-35 60-75
LIQUIDITY OF EQUITY FUTURES
26
Specification of futures contracts
RTS Index Futures MICEX Index Futures Gazprom ordinary shares
futures
Maturity 3 and 6 months 3 and 6 months 3 and 6 months
Contract size RTS Index * 100 MICEX Index * 100 100 equities
Contract value Index futures value * US$0.02 Index futures value * 1 RUB Equity futures' price * 1 RUB
Quotation points points rubles per 100 equities
Tick size 5 points 5 points 1 rub
Tick value 10% x FX rate 5 RUB 1 rub
Delivery Cash-settlement Cash-settlement Physical delivery
Daily settlement price
Normally last traded price Normally last traded price Normally last traded price
Expiration day
The 15th of the expiration month of the expiration year. If the 15th day is not a Business day, Business day, following the 15th day of the Contract’s expiration month of the expiration year
The 15th of the expiration month of the expiration year. If the 15th day is not a Business day, Business day, following the 15th day of the Contract’s expiration month of the expiration year
The trading day preceding the 15th of the expiration month of the expiration year. If the 15th day is not a Business day, Business day, following the 15th day of the Contract’s expiration month of the expiration year
Expiration settlement price
The average value of the RTS Index for the period from 3pm to 4pm MSK on the expiration day multiplied by 100.
The average value of the MICEX Index for the period from 3pm to 4pm MSK on the expiration day multiplied by 100.
Normally last traded price. It is used to close out positions in equity futures and open positions in underlying equities on Standard cash equity market (T+4)
27
0
1 000
2 000
3 000
4 000
5 000
6 000
7 000
8 000
9 000
0
1 000
2 000
3 000
4 000
5 000
6 000
7 000
8 000
2006-01 2006-08 2007-03 2007-10 2008-05 2008-12 2009-07 2010-02 2010-09 2011-04 2011-11
Op
en
inte
rest
, mm
USD
Trad
ing
volu
me
, mm
USD
ADTV, equity derivatives ADTV, index derivatives
ADOI, equity derivatives ADOI, index derivatives
Equity and Equity Index Derivatives average daily trading volume
and open interest, MM USD
28 Source: MICEX-RTS data
Local banks Global brokers Local brokers
ALFA-BANK
NOMOS-BANK
ROSEUROBANK
VTB BANK
SAINT-PETERSBURG BANK
CREDIT SUISSE
MORGAN STANLEY
DEUTSCHE BANK
MERRILL LYNCH
UNICREDIT
OTKRITIE
BROKERCREDITSERVICE
IT INVEST
ZERICH CAPITAL MANAGEMENT
ALOR
44,87 55,13
Trading volume, contracts December 2011
Non-residents
Residents
Liquidity and key participants of equity derivatives market
29
Equity and equity index futures
Contract Trading volume, mm
USD Trading volume, contracts
RTS 90 304 32 334 520
SBRF 5 411 20 617 380
GAZR 3 327 6 125 793
LKOH 899 1 732 250
MIX 572 129 136
Equity and equity index options
Contract Trading volume, mm
USD Trading volume, contracts
RTS 6 788 2 413 490
GAZR 108 195 729
SBRF 60 222 176
MIX 25 5 941
GMKR 20 11 183
KEY PARTICIPANTS
Source: MICEX-RTS data
Clearing member
Broker Prop account of CM
End client
End client
Prop account
End client
Prop account
Prop account
Membership structure on FORTS
Only Russian resident
Resident or non-resident
Residents and non-residents are allowed to trade on end client level
30
31
FX Market 4
32
Foreign Exchange
EUR/RUB
USD/RUB
EUR/USD
T+0
Spot T+1
Swap T+0/T+1
Basket (USDEUR) /RUB
CNY/RUB
UAH/RUB
KZT/RUB
BYR/RUB
Spot T+1
USD/RUB
Swap T+1/T+2
-
100
200
300
400
500
600
700
800
900
1 000
2009/I 2009/II 2009/III 2009/IV 2010/I 2010/II 2010/III 2010/IV 2011/I 2011/II 2011/III 2011/IV
Instruments
FX turnover (US$bn)
* MICEX-RTS Data Source: MICEX-RTS data
MICEX-RTS FX Market Liquidity and Key growth drivers
USD/RUB
EUR/RUB
33
1,3
2011
12
10,0
1,8
2010
10,6
9,1
1,3
2009
12,3
9,9
2,3
2008
10,6
9,6
1,1
2007
6,0
5,8
0,2
2006
3,9
3,8
0,1
2005
2,4
2,4
2004
1,4
1,4
2003
0,6 0,6
EUR/RUB
USD/RUB
The MICEX’s share on the Russian interbank market, %
Average Daily Trading Volume on the MICEX FX market, USD billion
Source: MICEX-RTS data
• Extension of trading hours to
11:50pm
• Introduction of more currency
pairs (GBP, JPY, CHF, CAD, AUD)
• New fee structure with
advantages for liquidity providers
• Introduction of new instruments:
Dollar-Euro Basket (BKT),
USDRUB_TOMSPT
Key Growth drivers
2008 2007 2006 2005 2004 2003 2011
2010 2009
0
20
40
60
80
FX instruments
Value date TOD, TOM
TOD/TOM;
TOM/SPT (only for
USD/RUB)
Lot 1 000 $, EUR 100 000 $, EUR
Trading time For TOD and TOD/TOM swaps – 10:00 – 15:00;
For TOM and TOM/SPT swaps – 10:00 – 19:00
USD/RUB, EUR/RUB, EUR/USD, BKT/RUB
instruments/swaps
Value date TOD
Lot 1 000 $
Trading time 10:00 – 11:00
CNY/RUB instrument
• Currency pairs on MICEX-
RTS:
- USD/RUB,
- EUR/RUB,
- EUR/USD,
- BKT/RUB,
- UAH/RUB,
- BYR/RUB,
- KZT/RUB,
- CNY/RUB.
• 450 active participants –
Russian Licensed Banks (Non-
resident fully owned Bank
Subsidiaries are trading
members)
34
0
2
4
6
8
10
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Jan
.07
Jun
.07
No
v.0
7
Ap
r.0
8
Sep
.08
Feb
.09
Jul.0
9
De
c.0
9
May
.10
Okt
.10
Mar
.11
Au
g.1
1
MICEX currency market, average daily volume,billion euro (right side)
MICEX currency market share, %
0
5
10
15
20
25
0%
10%
20%
30%
40%
50%
Jan
.07
Jun
.07
No
v.0
7
Ap
r.0
8
Sep
.08
Feb
.09
Jul.0
9
De
c.0
9
May
.10
Okt
.10
Mar
.11
Au
g.1
1
MICEX currency market, average daily volume,billion $ (right side)
MICEX currency market share, %
USD/RUB and EUR/RUB trade volumes on MICEX-RTS
USD/RUB EUR/RUB
35 Source: MICEX-RTS data
MICEX-RTS FX Market: Trading, Clearing, Settlement Entities
MICEX – RTS Exchange
National Clearing Center (NCC)
National Settlement Depository (NSD), CBR
JPMorgan Chase Bank (NY, Frankfurt branches)
Trading
Clearing
Settlement
Anonymous action, Negotiated deals
RUB
USD EUR
Central Counterparty for all trades
NSD – the central securities
depository (bank)
Off-shore settlement for
USD & EUR
36
New instrument: the Dollar-Euro Basket (BKT)
Settlement date: TOM
Lot size: 100 000
Tick (rubles): 0,0005
Exchange fee*: 0,00075%
Meeting the demand of market participants, MICEX will launch a new instrument on the FX market with the following parameters:
*It is intended to set the fee at 0.00075% during the 6-month marketing period.
Share of USD** 0.55
Share of EUR** 0.45
USDRUB_Price Last price USDRUB_TOM
EURRUB_Price ROUND((BKT_Price – USDRUB_Price*0.55)/0.45;4)
Calculation of the limit
The limit of open positions in the BKT is calculated in accordance with trades in USD/RUB and EUR/RUB
included in the BKT
* Since 08.02.2007 the Euro-Dollar basket includes 55% of US dollars and 45% of Euros. Thus, 1 BKT consists of 0,55 USD and 0,45 EUR. The ratio of the currencies in the instrument may change along with changes in the composition of the RF CB’s basket.
Description
37
New instrument: SWAP_TOMSPT
Settlement date: T+1/T+2
Lot size: 100 000
Tick (rubles): 0,0001
Exchange fee*: 0,00025%
MICEX plans to launch "long-term swaps“ The first instrument to be launched will be USDRUB_TOMSPT
* It is intended to set the size of the fee at 0.00025% during the 6-month marketing period.
38
39
Money Market 5
40
Money Market
-
200
400
600
800
1 000
1 200
2009/I 2009/II 2009/III 2009/IV 2010/I 2010/II 2010/III 2010/IV 2011/I 2011/II 2011/III 2011/IV
REPO
REPO with Central Bank:
direct
indirect (exchange modified REPO)
Market REPO:
direct
indirect
Central Bank
Uncollateralized loans
Depositary/credit operations:
deposits
Lombard loans
Other Deposit auctions with VEB
Instruments
Money Market turnover (US$bn)*
Source: MICEX-RTS data
Market data 6
41
“Real Time Market Data”
“Real Time Market Data Snapshots
(Last Sale)”
“Delayed Market Data”
“End-of-Day History”
“Data for calculating Indices
& Indicators”
“Data for using in ‘non-display’
systems”
DELAY: No delay. Latency as low as 0.5 ms
No delay. Latency as low as 0.5 ms
15 min after the end of the trading session
no limits or restrictions
No delay. Latency as low as 0.5 ms
COMPOSITION: Level 1 (new) • post-trade
(prices, volumes, values, etc)
• pre-trade (1 best bid, 1 best ask )
Level 2 • post-trade
(prices, volumes, values, etc)
• pre-trade (10 best bid, 10 best ask )
• post-trade (prices, volumes, values, etc)
• post-trade (prices, volumes, values, etc)
• archives of EOD aggregated prices, volumes, values, for a time-period, chronological archives of intraday registers of transactions
• post-trade (incl. archives of EOD aggregated) prices, volumes, values, constantly updated intraday register of transactions, chronological archives of intraday registers of transactions
• post-trade (incl. archives of EOD aggregated) prices, volumes, values, constantly updated intraday register of transactions, chronological archives of intraday registers of transactions
• pre-trade (bids/asks )
TARIFFS: License (fixed part) – 650 EUR per month + Per-terminal charges * (countable part) – per month: Level 1 – 80 EUR Level 2 – 120 EUR + Additional fixed fees for technical services*
License (fixed part) – 7500 EUR per month + Additional fixed fees for technical services*
License (fixed part) – 650 EUR per month + Additional fixed fees for technical services*
License (fixed part) – 400 EUR per month + Additional fixed fees for technical services*
License (fixed part) – 500 EUR per month + Additional fixed fees for technical services*
License (fixed part) – 250 EUR per month + Additional fixed fees for technical services*
Delivering/distribution options:
• Proprietary data-dissemination systems
• Proprietary data-dissemination systems
• Delivering to mobile devices
• Web-sites • E-mailing • Delivering to mobile
devices • Broadcasting on
radio and TV
• Web-sites • E-mailing • Delivering to mobile
devices • Broadcasting on
radio and TV
• Proprietary data-dissemination systems
• Web-sites • E-mailing
Proprietary data-dissemination systems
Market data distribution capabilities and options
* (if any) – per month 300 EUR (license for MICEX Bridge software), per year 845/1,210/1,690 EUR (maintenance PIX/ASA devices)q
42
IT services 7
43
Trading Services
ASTS & FORTS Platforms:
• Order-driven market
• Quote-driven market
• Discrete auctions
• REPO
• CCP clearing
• Pre-trade risk management
• DMA service
• Client connectivity:
Proprietary API
FIX trading interface
UDP multicast FIX FAST
ITCH (evaluating solutions)
• Tested throughput - 20,000
orders/second for each market
• Market data: level 1, level 2 and full
depth order book
• Online clearing
High capacity performance-matching technology for trading Russian
equities, bonds, PEPOs, FX and derivatives
44
MICEX-RTS technology and infrastructure services
• Connectivity solutions through domestic and global Network Service Providers and
international points of presence
• FIX and FIXFAST as well as proprietary APIs for execution and market data delivery
• Accessibility through Independent Software Vendors and trading networks:
Bloomberg, Reuters, Fidessa, Sungard, CQG and others
• Comprehensive exchange colocation with variable footprint sizing options
• Certification and testing environment services for new client/vendor technologies
• Dedicated client relationship team for a smooth on-boarding process
Connectivity solutions
• 300+ electronic broker systems certified to access the Exchange
• The Exchange is accessible by more than 15 telecommunication providers including
BT Radianz, SFTI and Orange, and more are coming
• Three data centers in Moscow
• Client connectivity protocols: Proprietary API, FIX trading interface, UDP multicast
FIX FAST
45
THANK YOU!
Disclaimer
• This presentation has been prepared and issued by Open Joint Stock Company "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.
47