Download Derivatives on RDX USD Index

Derivatives on
RDX® USD Index
Russian DR Equity Index Derivatives
February 2016
February 2015
Derivatives on RDX® USD Index
Agenda
• Introduction
• RDX® USD Index
• Contracts specifications
• Market-Making
• Fees and pricing
• Further information
• Appendix
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February 2015
Derivatives on RDX® USD Index
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.
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February 2015
Derivatives on RDX® USD Index
Introduction - Russian Depository Index RDX® USD Index
Futures & Options volume and open interest development
60
40
20
Orderbook
Off-book
450
400
350
300
250
200
150
100
50
-
150
100
50
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
Nov-15
Jul-15
Mar-15
Nov-14
Jul-14
Mar-14
Nov-13
Jul-13
Mar-13
Nov-12
Jul-12
-
200
Open Interest Thousands
80
Traded Volume Tausende
100
Open Interest Tausende
ORDX - RDX® USD Index
120
Mar-12
Traded Volume Tausende
FRDX - RDX® USD Index
160
140
120
100
80
60
40
20
-
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 2016.
A Market-Making scheme supports the success of RDX® USD Index Futures and Options and provides additional liquidity.
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February 2015
Derivatives on RDX® USD Index
Trading statistics
Tausende
Account Structure
FRDX
200
150
100
50
20%
-
50%
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
FRDX - Trade Execution
Regular Trade
Flexible Product Trade
Basis Trade
Block Trade
Vola Trade
Tausende
Traded Volume
ORDX - Trade Execution
30%
Agent
Market Maker
Principal
Account Structure
ORDX
200
150
4%
100
50
24%
-
72%
Flexible Product Trade
Block Trade
Regular Trade
Agent
Market Maker
Principal
Source: Eurex Exchange
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February 2015
Derivatives on RDX® USD Index
Introduction
Comparison of Russian underlyings at LSE (IOB) and MICEX-RTS
70.0%
60,000
60.0%
50,000
50.0%
40,000
40.0%
30,000
30.0%
20,000
20.0%
10,000
10.0%
LSE Turnover USD
Moscow Exchange Turnover USD
Oct-15
Jul-15
Apr-15
Jan-15
Oct-14
Jul-14
Apr-14
Jan-14
Oct-13
Jul-13
Apr-13
Jan-13
Oct-12
Jul-12
Apr-12
Jan-12
Oct-11
Jul-11
Apr-11
Jan-11
Oct-10
Jul-10
0.0%
Apr-10
0
%-share LSE IOB
70,000
Jan-10
Traded value in mn USD
Turnover of Russian local shares and depository receipts
Market Share LSE IOB
Source: Bloomberg
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February 2015
Derivatives on RDX® USD Index
Agenda
• Introduction
• RDX® USD Index
• Contracts specifications
• Market-Making
• Fees and pricing
• Further information
• Appendix
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February 2015
Derivatives on RDX® USD Index
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: AT0000634076
More info: http://www.indices.cc/indices/details/rdu/facts/
Source: Vienna Stock Exchange, as of 11 January 2012
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February 2015
Derivatives on RDX® USD Index
RDX® USD Index
Development
3500
3000
2500
2000
1500
1000
500
0
Jan-2007
Jan-2008
Jan-2009
Jan-2010
Jan-2011
Jan-2012
Jan-2013
Jan-2014
Jan-2015
Jan-2016
Source: Bloomberg
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February 2015
Derivatives on RDX® USD Index
Agenda
• Introduction
• RDX® USD Index
• Contracts specifications
• Market-Making
• Fees and pricing
• Further information
• Appendix
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February 2015
Derivatives on RDX® USD Index
Contract specifications
RDX® USD Index Derivatives
RDX® USD Index Futures (FRDX)
Contract value
Contract terms
Minimum price change
10 USD per index point
Up to 36 months
(4 quarterly and 4 semi-annual
maturities )
Up to 60 months
(12 expirations)
0.50 index points (USD 5)
0.10 index points (USD 1)
Settlement
Final settlement price
Last Trading Day
RDX® USD Index Options (ORDX)
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
Vendor codes
Available
1 contract
100 contracts
Reuters: <0#FRDX:>
Bloomberg: <RXDmy Index>
Reuters: <0#ORDX*.EX>
Bloomberg: <RDmyC Y Index>
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February 2015
Derivatives on RDX® USD Index
Agenda
• Introduction
• RDX® USD Index
• Contracts specifications
• Market-Making
• Fees and pricing
• Further information
• Appendix
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Derivatives on RDX® USD Index
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
Raiffeisen Centrobank AG
Barak
Susquehanna
Chad Miller
Marcus Randl
Ofer Attal
Daniel Needham
+44 20 7031 1369
+43 1 51520 439
+972 747100657
+353 1 802 8383
Exchange Participant
Contact
Tel
VTB Capital plc
Nicolas Ewald
+44 20 3334 8017
Market Makers in RDX® USD options
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February 2015
Derivatives on RDX® USD Index
Agenda
• Introduction
• RDX® USD Index
• Contracts specifications
• Market-Making
• Fees and pricing
• Further information
• Appendix
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February 2015
Derivatives on RDX® USD Index
Fees and pricing
RDX® USD Index Futures (FRDX)
Fees and pricing
(per contract –
clearing and
trading combined)
Market Maker
rebates*
(until 31 March
2016)
RDX® USD Index Options (ORDX)
•
Order book:
USD 0.40
• Order book:
•
Eurex
Trade Entry services:
USD 0.60
• Eurex Trade Entry services:
> 1,000 contracts:
•
Order book:
•
Eurex
Trade Entry services:
Order book:
90% (USD 0.04)
•
Eurex
Trade Entry services:
90% (USD 0.04)
Regular rebates:
• Order book:
•
•
USD 0.40
USD 0.20
•
90% (USD 0.04)
90% (USD 0.06)
USD 0.40
Eurex
Trade Entry services:
> 1,000 contracts
80% (USD 0.08)
60% (USD 0.16)
60% (USD 0.08)
Revenue Sharing
Scheme
(until 31 March
2016)
• The share in revenue is 30% of net
revenues generated
• Distribution takes place monthly to a
maximum of the three best market makers
• 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 80%
(refund not based on specific product – pro rata)
Up to 30%
(refund not based on specific product –
pro rata)
Depending on fulfilment of monthly obligations
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February 2015
Derivatives on RDX® USD Index
Agenda
• Introduction
• RDX® USD Index
• Contracts specifications
• Market-Making
• Fees and pricing
• Further information
• Appendix
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February 2015
Derivatives on RDX® USD Index
Further information
•
Circulars RDX® USD Index
https://www.eurexchange.com/blob/exchange-en/4060-116166/120266/2/data/cf0282012e.pdf.pdf
https://www.eurexchange.com/blob/exchange-en/4060-62606/120262/2/data/cf0472012e.pdf.pdf
•
Market Making:
http://www.eurexchange.com/blob/exchange-en/3066-3100/121306/2/data/cf1722011e.pdf.pdf
http://www.eurexchange.com/blob/exchange-en/3066-3100/121842/2/data/cf0612011e.pdf.pdf
http://www.eurexchange.com/download/documents/circulars/cf2422010e.pdf
http://www.eurexchange.com/exchange-en/trading/market-model/designated-market-making/
•
Trading Fees
http://www.eurexchange.com/exchange-en/trading/trading-fees-prices/
https://www.eurexchange.com/blob/exchange-en/4060-116166/120266/2/data/cf0282012e.pdf.pdf
•
Trading Calendar
http://www.eurexchange.com/exchange-en/trading/trading-calendar/
•
OTC Parameters
http://www.eurexchange.com/exchange-en/trading/eurex -otc-trade-entry/trade-entry-parameters/
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Derivatives on RDX® USD Index
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.
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•
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.
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February 2015
Derivatives on RDX® USD Index
Further information
Contact us
Product Development
Sales UK
Sales Continental Europe
Tobias Ehinger
Murat Baygeldi
Markus-Alexander Flesch
Eurex Frankfurt AG
Mergenthalerallee 61
65760 Eschborn
Germany
Deutsche Börse AG / Eurex
UK Representative Office
11 Westferry Circus, Canary Wharf
London, E14 4HE
United Kingdom
Eurex Zürich AG
Loew enstrasse
8021 Zürich
Sw itzerland
P: +49 69 2 11-1 23 13
F: +49 (0)69 2 11-61 23 13
[email protected]
P: +44 (0)207 8 62-72 30
F: +44 (0)207 8 62-92 30
[email protected]
P:+41 (0)43 430 7121
[email protected]
Sales Asia & Middle East
Markes Georgi
Eurex Frankfurt AG
68 Des Voeux Road Central
Hong Kong
P: +852 25 30-78 20
F: +852 25 30-78 21
[email protected]
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February 2015
Derivatives on RDX® USD Index
Agenda
• Introduction
• RDX® USD Index
• Contracts specifications
• Market-Making
• Fees and pricing
• Further information
• Appendix
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February 2015
Derivatives on RDX® USD Index
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
US3682872078
Russia
23,673,512,900
0.98
0.50
1:2
20,387,037,472
19.58%
LUKOIL ADR
US69343P1057
Russia
850,563,255
1.00
0.50
1:1
14,310,726,765
13.74%
MAGNIT GDR
US55953Q2021
Russia
94,561,355
1.00
0.60
5:1
10,258,015,790
9.85%
MEGAFON GDR
US58517T2096
Russia
620,000,000
1.00
0.20
1:1
1,413,600,000
1.36%
NORILSK NICKEL ADR
US55315J1025
Russia
158,245,476
1.00
0.40
10:1
7,500,835,562
7.20%
NOVATEK GDR
US6698881090
Russia
3,036,306,000
1.00
0.30
1:10
7,683,372,333
7.38%
NOVOLIPETSK STEEL
GDR
US67011E2046
Russia
5,993,227,240
1.00
0.20
1:10
1,101,555,167
1.06%
ROSNEFT GDR
US67812M2070
Russia
10,598,177,817
1.00
0.20
1:1
7,779,062,518
7.47%
SBERBANK ADR
US80585Y 3080
Russia
21,586,948,000
1.00
0.50
1:4
14,894,994,120
14.30%
SEVERSTAL GDR
US8181503025
Russia
837,718,660
1.00
0.20
1:1
1,414,069,098
1.36%
SISTEMA GDR
US48122U2042
Russia
9,650,000,000
1.00
0.40
1:20
1,111,680,000
1.07%
SURGUTNEFTEGAZ
ADR
US8688612048
Russia
35,725,994,705
1.00
0.20
1:10
3,558,309,073
3.42%
TATNEFT GDR
US8766292051
Russia
2,178,690,700
1.00
0.60
1:6
5,980,505,972
5.74%
VTB BANK GDR
US46630Q2021
Russia
12,960,541,337,33
8
1.00
0.40
1:2000
4,808,360,836
4.62%
X5 RETAIL GROUP
GDR
US98387E2054
Russia
67,893,218
1.00
0.40
4:1
1,922,735,934
1.85%
* Data as of 30 January 2016
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Derivatives on RDX® USD Index
© Eurex 2016
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