Derivatives on RDX USD Index

Transcription

1 Derivatives on RDX USD Index Russian DR Equity Index Derivatives February 2016

2 Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 2

3 Introduction RDX USD Index derivatives Russia continues to be one of the most attractive emerging markets. Relative low valuations. Growing derivatives market. RDX USD Index is well-established in the financial market and comprise the most liquid Russian ADRs/GDRs traded at the London Stock Exchange. The RDX USD Index is the most traded Russian DR index in the interbank market. High number of structured products based on RDX USD Index. 3

4 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Open Interest Tausende Traded Volume Tausende Derivatives on RDX USD Index February 2015 Introduction - Russian Depository Index RDX USD Index Futures & Options volume and open interest development Traded Volume Tausende FRDX - RDX USD Index ORDX - RDX USD Index Open Interest Thousands Orderbook Off-book Open Interest Orderbook Off-book Open Interest Volume and open interest have grown rapidly since launch date. In 2015, we have witnessed growth in client demand for RDX USD Index Futures and Options. In this period, open interest in our RDX USD Index Options grew 70%. The open interest for FRDX at the end of Jan 2016 registered 70,765 contracts and for ORDX 263,636 contracts. Participants trade off-book Flexible Contracts regularly. The total traded contract volume since launch is 2.6 million contracts for FRDX and 3.2 million contracts for ORDX at the end of Jan A Market-Making scheme supports the success of RDX USD Index Futures and Options and provides additional liquidity. 4

5 Traded Volume Tausende Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Traded Volume Tausende Derivatives on RDX USD Index February 2015 Trading statistics FRDX - Trade Execution Account Structure FRDX % 50% 30% Regular Trade Flexible Product Trade Basis Trade Block Trade Vola Trade Agent Market Maker Principal ORDX - Trade Execution Account Structure ORDX 4% 50 24% - 72% Flexible Product Trade Block Trade Regular Trade Agent Market Maker Principal Source: Eurex Exchange 5

6 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Traded value in mn USD %-share LSE IOB Derivatives on RDX USD Index February 2015 Introduction Comparison of Russian underlyings at LSE (IOB) and MICEX-RTS 70,000 Turnover of Russian local shares and depository receipts 70.0% 60, % 50, % 40, % 30, % 20, % 10, % 0 0.0% LSE Turnover USD Moscow Exchange Turnover USD Market Share LSE IOB Source: Bloomberg 6

7 Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 7

8 RDX USD Index Methodology and composition RDX USD Index currently consists of 15 components Introduction in 1997 Index components are ADR/GDR only All components are listed and traded on London Stock Exchange (IOB) Maximum weight is 20 percent (quarterly rebalancing) Price index Number of stocks is not fixed BBG code: RDXUSD ISIN: AT More info: Source: Vienna Stock Exchange, as of 11 January

9 RDX USD Index Development Jan-2007 Jan-2008 Jan-2009 Jan-2010 Jan-2011 Jan-2012 Jan-2013 Jan-2014 Jan-2015 Jan-2016 Source: Bloomberg 9

10 Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 10

11 Contract specifications RDX USD Index Derivatives RDX USD Index Futures (FRDX) RDX USD Index Options (ORDX) Contract value Contract terms Up to 36 months (4 quarterly and 4 semi-annual maturities ) 10 USD per index point Up to 60 months (12 expirations) Minimum price change 0.50 index points (USD 5) 0.10 index points (USD 1) Settlement Final settlement price Last Trading Day Cash settlement Based on the closing prices (auction) of the index components on the last trading day at London Stock Exchange (IOB) Third Friday of the expiration month at 16:30 CET Continuous trading 08:00 22:00 CET 09:15 16:30 CET Eurex OTC Trade Entry 08:00 22:00 CET 09:15 19:00 CET Eurex OTC Flexible Contracts Eurex OTC Minimum block trade size Available 1 contract 100 contracts Vendor codes Reuters: <0#FRDX:> Bloomberg: <RXDmy Index> Reuters: <0#ORDX*.EX> Bloomberg: <RDmyC Y Index> 11

12 Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 12

13 Market Makers 4 Market Makers for FRDX and 1 for ORDX are active and provide liquidity. Market Makers in RDX USD futures Exchange Participant Contact Tel DRW Investments UK Ltd Chad Miller Raiffeisen Centrobank AG Marcus Randl Barak Ofer Attal Susquehanna Daniel Needham Market Makers in RDX USD options Exchange Participant Contact Tel VTB Capital plc Nicolas Ewald

14 Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 14

15 Fees and pricing Fees and pricing (per contract clearing and trading combined) Market Maker rebates* (until 31 March 2016) Revenue Sharing Scheme (until 31 March 2016) RDX USD Index Futures (FRDX) Order book: USD 0.40 Eurex Trade Entry services: USD 0.60 Order book: 90% (USD 0.04) Eurex Trade Entry services: 90% (USD 0.06) The share in revenue is 30% of net revenues generated Distribution takes place monthly to a maximum of the three best market makers RDX USD Index Options (ORDX) Order book: USD 0.40 Eurex Trade Entry services: USD 0.40 > 1,000 contracts: USD 0.20 Order book: 90% (USD 0.04) Eurex Trade Entry services: 90% (USD 0.04) Regular rebates: Order book: 80% (USD 0.08) Eurex Trade Entry services: 60% (USD 0.16) > 1,000 contracts 60% (USD 0.08) The share in revenue is 30% of net revenues generated Distribution takes place monthly to a maximum of the three best market makers Eurex proprietary volume rebate scheme Up to 30% (refund not based on specific product pro rata) Up to 80% (refund not based on specific product pro rata) Depending on fulfilment of monthly obligations 15

16 Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 16

17 Further information Circulars RDX USD Index Market Making: Trading Fees Trading Calendar OTC Parameters 17

18 Further information: TES Facilities - Vola Trade A TES Vola Trade is a futures trade delta-hedging an existing options trade on the same underlying instrument. The options trade can be either an exchange trade or an OTC Block Trade. Either counterparty can enter an TES Vola trade provided a valid options transaction number is submitted to the Eurex system. Once the options trade is retrieved, the number of contracts to be devoted to the TES Vola Trade must be entered. In this case, the size of the futures trade is not subject to the minimum block trade size and depends solely on the delta of the options position. 18

19 Further information Contact us Product Development Sales UK Sales Continental Europe Tobias Ehinger Eurex Frankfurt AG Mergenthalerallee Eschborn Germany P: F: +49 (0) tobias.ehinger@eurexchange.com Murat Baygeldi Deutsche Börse AG / Eurex UK Representative Office 11 Westferry Circus, Canary Wharf London, E14 4HE United Kingdom P: +44 (0) F: +44 (0) murat.baygeldi@eurexchange.com Markus-Alexander Flesch Eurex Zürich AG Loew enstrasse 8021 Zürich Sw itzerland P:+41 (0) markus-alexander.flesch@eurexchange.com Sales Asia & Middle East Markes Georgi Eurex Frankfurt AG 68 Des Voeux Road Central Hong Kong P: F: markus.georgi@eurexchange.com 19

20 Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 20

21 Appendix Index composition RDX USD Index Company ISIN Country Number of shares Representation factor Free float factor DR conversion factor Market capitalization Index share in % GAZPROM ADR US Russia 23,673,512, :2 20,387,037, % LUKOIL ADR US69343P1057 Russia 850,563, :1 14,310,726, % MAGNIT GDR US55953Q2021 Russia 94,561, :1 10,258,015, % MEGAFON GDR US58517T2096 Russia 620,000, :1 1,413,600, % NORILSK NICKEL ADR US55315J1025 Russia 158,245, :1 7,500,835, % NOVATEK GDR US Russia 3,036,306, :10 7,683,372, % NOVOLIPETSK STEEL GDR US67011E2046 Russia 5,993,227, :10 1,101,555, % ROSNEFT GDR US67812M2070 Russia 10,598,177, :1 7,779,062, % SBERBANK ADR US80585Y3080 Russia 21,586,948, :4 14,894,994, % SEVERSTAL GDR US Russia 837,718, :1 1,414,069, % SISTEMA GDR US48122U2042 Russia 9,650,000, :20 1,111,680, % SURGUTNEFTEGAZ ADR US Russia 35,725,994, :10 3,558,309, % TATNEFT GDR US Russia 2,178,690, :6 5,980,505, % VTB BANK GDR US46630Q2021 Russia 12,960,541,337, :2000 4,808,360, % X5 RETAIL GROUP GDR US98387E2054 Russia 67,893, :1 1,922,735, % * Data as of 30 January

22 Eurex 2016 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as w ell as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Sw iss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporate entities and are registered under U.S. American law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the follow ing referred to as the Eurex Exchanges. All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below ) are ow ned by DBAG and its affiliates and subsidiaries including, w ithout limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Bonds, Eurex Repo as w ell as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or w arranties regarding the information contained herein, w hether express or implied, including w ithout limitation any implied w arranty of merchantability or fitness for a particular purpose or any w arranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any thir d party s use of any information contained herein under any circumstances, including, w ithout limitation, in connection w ith actual trading or otherw ise or for any errors or omissions contained in this publication. This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained in this publication are for illustrative purposes only. Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those w ho desire to trade any products available on the Eurex market or w ho desire to offer and sell any such products to others or w ho desire to possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as w ell as the risks associated w ith such products, before doing so. Eurex derivatives (other than EURO STOXX 50 Index Futures contracts, EURO STOXX Select Dividend 30 Index Futures contracts, STOXX Europe 50 Index Futures contracts, STOXX Europe 600 Index Futures contracts, STOXX Europe Large/Mid/Small 200 Index Futures contracts, EURO STOXX Banks Futur es contracts, STOXX Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Personal & Household Goods/Travel & Leisure/Utilities Futures contracts, Dow Jones Global Titans 50 IndexSM Futures contracts, DAX Futures contracts, MDAX Futures contracts, TecDAX Futures contracts, SMIM Futures contracts, SLI Sw iss Leader Index Futures contracts, Eurex inflation/commodity/w eather/property and interest rate derivatives) are currently not available for offer, sale or trading in the United States or by United States persons. Trademarks and Service Marks Buxl, DAX, DivDAX, eb.rexx, Eurex, Eurex Bonds, Eurex Repo, Eurex Strategy WizardSM, Euro GC Pooling, FDAX, FWB, GC Pooling,,GCPI, MDAX, ODAX, SDAX, TecDAX, USD GC Pooling, VDAX, VDAX-NEW and Xetra are registered trademarks of DBAG. Phelix Base and Phelix Peak are registered trademarks of European Energy Exchange AG (EEX). The service marks MSCI Russia and MSCI Japan are the exclusive property of MSCI Barra. RDX is a registered trademark of Vienna Stock Exchange AG itraxx is a registered trademark of International Index Company Limited (IIC) and has been licensed for the use by Eurex. IIC does not approve, endorse or recommend Eurex or itraxx Europe 5-year Index Futures, itraxx Europe HiVol 5-year Index Futures and itraxx Europe Crossover 5-year Index Futures. Eurex is solely responsible for the creation of the Eurex itraxx Credit Futures contracts, their trading and market surveillance. ISDA neither sponsors nor endorses the product s use. ISDA is a registered trademark of the International Sw aps and Derivatives Association, Inc. IPD UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd. IPD and has been licensed for the use by Eurex for derivatives. SLI, SMI and SMIM are registered trademarks of SIX Sw iss Exchange AG. The STOXX indexes, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited and/or its licensors Eurex derivatives based on the STOXX indexes are in no w ay sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability w ith respect thereto. Dow Jones, Dow Jones Global Titans 50 IndexSM and Dow Jones Sector Titans IndexesSM are service marks of Dow Jones & Company, Inc. Dow Jones-UBS Commodity IndexSM and any related sub-indexes are service marks of Dow Jones & Company, Inc. and UBS AG. All derivatives based on these indexes are not sponsored, endorsed, sold or promoted by Dow Jones & Company, Inc. or UBS AG, and neither party makes any representation regarding the advisability of trading or of investing in such products. All references to London Gold and Silver Fixing prices are used w ith the permission of The London Gold Market Fixing Limited as w ell as The London Silver Market Fixing Limited, w hich for the avoidance of doubt has no involvement w ith and accepts no responsibility w hatsoever for the underlying product to w hich the Fixing prices may be referenced. PCS and Property Claim Services are registered trademarks of ISO Services, Inc. Korea Exchange, KRX, KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc. BSE and SENSEX are trademarks/service marks of Bombay Stock Exchange (BSE) and all rights accruing from the same, statutory or otherw ise, wholly vest with BSE. Any violation of the above w ould constitute an offence under the law s of India and international treaties governing the same. The names of other companies and third party products may be trademarks or service marks of their respective owners. 22