SECURITIES AND EXCHANGE BOARD OF INDIA Memorandum to the Board. Comparative study of Currency Futures versus OTC Currency market

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1 SECURITIES AND EXCHANGE BOARD OF INDIA Memorandum to the Board Comparative study of Currency Futures versus OTC Currency market 1. Background: The Currency futures trading (USD/INR pair) in India started on August 29, 2008 on National Stock Exchange followed by trading on Bombay Stock Exchange and thereafter on MCX-SX. Currency forward, on the other hand, continue to trade on the OTC market. As more than a year has passed since the introduction of currency futures, a comparison of the two markets i.e. Exchange traded currency futures and the OTC currency forward market has been carried out based on the following parameters: i. Turnover in currency futures vis-à-vis OTC currency forward market ii. Bid Ask spread in Exchange traded currency market and OTC currency market iii. Difference in the futures and forward rates for same duration contracts iv. Participation pattern in the two markets 2. Turnover in currency futures vis-à-vis OTC forward market Worldwide the volume of the currency derivatives transactions done on OTC currency forward market far exceed those done on the exchanges. As per RBI Report on Currency Derivatives, published in 2007, the currency futures market globally constituted around 3.2 % of the total currency derivatives transactions. Table 2.1 below examines the data on futures and forward markets in India, the share of currency futures turnover to the OTC currency forward turnover. However, it may be noted that currency futures traded on exchanges is only on the pair USD/INR while the OTC currency forward turnover is made up of other currency pairs as well. Page 1 of 8

2 Table: 2.1: Share of currency futures turnover to the OTC currency forward turnover Month Forward turnover INR/Other currency ($ billion) Exchange (NSE +MCX-SX) turnover ($ billion) Exchange (NSE +MCX-SX) turnover as % of OTC forward turnover Nov' Dec' Jan' Feb' Mar' Apr' May June July Aug 09* Source: RBI, NSE, MCX-SX, BSE has no trading in currency derivative products *Data for OTC market available till Aug 09 As can be seen, the Indian currency futures market has grown since its commencement in August The currency futures turnover as a percentage of OTC currency forward turnover has increased from 7.19% in November 2008 to 59.60% in August Though, the above data apparently gives an indication that the reduction in the share of the OTC currency forward market in the total currency derivatives market may be attributed to the rise in the share of Exchange traded currency futures, there can be several other market and economic factors for the same. 3. Bid Ask spread in the two markets Page 2 of 8

3 The bid ask spread gives an indication of the cost and ease with which a contract can be traded. A tight bid ask means that the costs of entering and exiting a trade are low. Consequently, a liquid market requires the bid ask spread to be narrow. Table 3.1 below gives a comparison of the best bid ask quotes (for September 2009) between OTC currency forward and currency futures for near month contract at NSE and MCX-SX.. Table 3.1: Comparison of the best bid ask quotes (for September 2009) Spread Cumulative Cumulative % Cumulative % Interval % Forward NSE currency MCX-SX currency (INR) futures futures <= <= <= <= <= <= <= Source: NSE and MCX-SX For OTC Market: Reuters For curency futures: NSE trade dataand MCX-SX trade data between OTC currency forward and currency futures for near month contract at NSE and MCX-SX Table 3.2 below exhibits Average bid ask spread for currency futures contracts traded on MCX-SX and currency spot on OTC platform. NSE data on the same is not available. Page 3 of 8

4 Table 3.2: Average daily Bid-Ask spread of OTC market and MCX-SX Period MCX-SX Bid Ask Spread OTC Bid Ask Spread Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Source: MCX-SX For MCX-SX: Nov 2008 data is for Nov. Data is of near month futures and is taken at an approximate 1 min interval Source: Ticker Plant For OTC Market: Nov 2008 data is for Nov. OTC market data is of the Spot market and taken at an approximate 30 min interval Source: Reuters The following points can be observed from the above: a. Bid Ask spread for currency futures is tighter compared to the OTC currency spot market. b. Approximately 95% of the trading at NSE and 99% of trading at MCX-SX in currency futures takes place at a narrow spread of less than or equal to half a paisa, whereas, the corresponding figure for OTC currency forward market is 6.53%. Page 4 of 8

5 4. Difference in the futures and forward rates for same duration contracts To enable us to study the convergence of rates in the OTC currency forward market and currency futures for same duration contracts, a comparison of one month futures and forward rates has been carried out. Table 4.1 below shows the one month rates of futures and forward contracts on USD/INR. Table 4.1 One month rates of forward and future contracts on USD/INR Difference in Beginning of One month Near month the one month near month forward rate in futures rate forward and Contract OTC market at NSE futures rates 29-Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun July Aug Sep Source: Bloomberg, NSE data The difference of the rates for the two markets has been plotted in graph 4.1 plotted presented below. It may be seen that the rates in the two markets are gradually getting aligned. Page 5 of 8

6 Graph 4.1: Difference of the rates for one month forward and futures market 1.2 Difference between one month forwards and futures rates /29/08 9/29/08 10/29/08 11/29/08 12/29/08 1/29/09 2/28/09 3/29/09 4/29/09 5/29/09 6/29/09 7/29/09 8/29/09 9/29/ Participation pattern in the two markets The participant wise share in currency futures market is given below in the Table 5.1. As can be seen, trading by non banks constitutes a major portion of total turnover followed by trading by retail and banks. Table 5.1: Percentage share of participants in futures market Non Month Retail Banks Banks November' December' January' February' March' April' May' June July August Page 6 of 8

7 In case of OTC currency forward market, the transactions can be classified mainly into interbank transactions and merchant transactions. The share of the two in total currency forward transactions does not follow any visible trend as can be seen from Table 5.2 below. However, it appears that as a hedging tool, merchants are probably switching over to futures market as reflected in reduced % share in their trades of forwards. Table 5.2: Percentage share of participants at OTC Month Interbank Merchants November' December' January' February' March' April' May' June July August Conclusion (a) The turnover in currency futures both in absolute terms as well as a percentage of OTC currency forward turnover has been increasing ever since the inception of the currency futures trading. (b) Currency futures market has been operating at a Bid Ask spread which is narrower than that of the OTC currency spot market. Also, the majority of the trades in currency futures take place at a spread of less than half a paisa. (c) While the futures and the forward rate diverged at the beginning of trading in the currency futures market, over time, the rates have appeared to Page 7 of 8

8 converge which reflects gradual disappearance of arbitrage opportunity between the two markets. 7. The above memorandum is for the information of the Board. Page 8 of 8

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