MICEX FX market : current conditions MICEX FX market : current conditions and prospectsand prospects

Igor Marich, Vice-president, MICEXIgor Marich, Vice-president, MICEX

Ruble Forum 2009Ruble Forum 2009

Moscow, 10/11/2009Moscow, 10/11/2009

2

MICEX FX market: key figuresMICEX FX market: key figures

The volume of transactions in 2008 reached 2 680,0 bln. USD - 1,8 times more than in 2007

The volume of transactions in January-September 2009 reached 2 293,7 bln. USD - 1,4 times more than January-September 2008

The daily average volume of transaction, mln. USD

2008 Jan - Sept 2009

MICEX Group 23 283,7 21 469,5

FX market 10 719,8 12 456,6

FX market share, % 46.0% 58.0%

Volume of transactions on MICEX Group markets

0

1000

2000

3000

4000

5000

6000

7000

1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008

bln. USD

Commodity market (grain futures)

Derivatives market

Securities market

Federal bonds market

FX market

3

ParticipantsParticipants

MICEX SH

Foreign Banks

Regional SH

MICEX FX market: infrastructureMICEX FX market: infrastructure

МICEX

NCC

clearing clearing

trades trades

settlementssettlements

payments paymentspaymentspayments

4

MICEX FX marketMICEX FX market:: Risk management Risk management systemsystem

Participants requirements

Trading limits

Margin calculations

Fails management

Guarantee fund and other

guarantees

5

MICEX FX marketMICEX FX market: : trading instruments & trading trading instruments & trading timetime

* For «Moscow» Section Members** For «Region» Section Members

USD/RUB

USDRUB _TOD10:00 – 11:00** 10:00 - 15:00*

USDRUB _TOM 10:00 - 17:00

USD_TODTOM 10:00 – 11:00** 10:00 - 15:00*

EUR/RUB

EURRUB _TOD10:00 – 11:30** 10:00 -12:30*

EURRUB _TOM 10:00 - 17:00

EUR _TODTOM10:00 – 11:30**

10:00 -12:30*

EUR/USD

EURUSD _TOD 10:00 - 14:00

EURUSD _TOM 10:00 - 17:00

EURUSD_TODTOM 10:00 - 14:00

UAHRUB _TOM

BYRRUB _TOM

KZTRUB_ TOM

10:30 - 16:30

6

MICEX FX market structure in 2007-2009MICEX FX market structure in 2007-2009

2007

97,2%

2,8%

USD/RUB EUR/RUB

2008

89,9%

10,1%

USD/RUB EUR/RUB

13 Apr.-13 Oct. 2009

88.5%

10.1% 1.4%

USD/RUB EUR/RUB EUR/USD

Jan. - Apr.

72%

28%

USD/RUB EUR/RUB

7

MICEX FX market – the core segment of the MICEX FX market – the core segment of the Russian FX marketRussian FX market

USD/RUB

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

янв

.07

мар

.07

май

.07

ию

л.0

7

сен

.07

но

я.07

янв

.08

мар

.08

май

.08

ию

л.0

8

сен

.08

но

я.08

янв

.09

мар

.09

май

.09

ию

л.0

9

сен

.09

0

2 500

5 000

7 500

10 000

12 500

15 000

17 500

20 000

MICEX FX market daily average volume, mln. USDMICEX FX market share, %

7

8

MICEX FX market – the core segment of the MICEX FX market – the core segment of the Russian FX marketRussian FX market (2) (2)

EUR/RUB

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%ян

в.0

7

мар

.07

май

.07

ию

л.0

7

сен

.07

но

я.07

янв

.08

мар

.08

май

.08

ию

л.0

8

сен

.08

но

я.08

янв

.09

мар

.09

май

.09

ию

л.0

9

сен

.09

0

1 000

2 000

3 000

4 000

5 000

6 000

7 000

8 000

MICEX FX market daily average volume, mln. USDMICEX FX market share, %

9

USD/RUBUSD/RUB: : structure in 2007-2009structure in 2007-2009

2007

18%

42%

40%

TOD TOM SWAP

Jan. - Sept. 2009

11%

33%56%

TOD TOM SWAP

2008

14%

42%

44%

TOD TOM SWAP

10

EUR/RUBEUR/RUB: : structure in 2007-2009structure in 2007-2009

2007

28%

26%

46%

TOD TOM SWAP

Jan. - Sept. 2009

5% 10%

85%

TOD TOM SWAP

2008

10%

25%

65%

TOD TOM SWAP

1111

EUR/USDEUR/USD::major preconditionsmajor preconditions

• Increased volatility under financial crisis conditions

• Decrease in volume of non-resident bank transactions at the home market

• Increase of liquidity in the EUR/RUB segment

• Market participants’ interest in direct EUR/USD quotation

12

EUR/USD, mln. EUR

-

100.00

200.00

300.00

400.00

500.00

600.00

700.00

800.00

13.0

4.09

-17.

04.0

9

20.0

4.09

-24.

04.0

9

27.0

4.09

-30.

04.0

9

04.0

5.09

-08.

05.0

9

11.0

5.09

-15.

05.0

9

18.0

5.09

-22.

05.0

9

25.0

5.09

-29.

05.0

9

01.0

6.09

-05.

06.0

9

08.0

6.09

-11.

06.0

9

15.0

6.09

-19.

06.0

9

22.0

6.09

-26.

06.0

9

29.0

6.09

-03.

07.0

9

06.0

7.09

-10.

07.0

9

13.0

7.09

-17.

07.0

9

20.0

7.09

-24.

07.0

9

27.0

7.09

-31.

07.0

9

03.0

8.09

-07.

08.0

9

10.0

8.09

-14.

08.0

9

17.0

8.09

-21.

08.0

9

24.0

8.09

-28.

08.0

9

31.0

8.09

-04.

09.0

9

07.0

9.09

-11.

09.0

9

14.0

9.09

-18.

09.0

9

21.0

9.09

-25.

09.0

9

28.0

9.09

-02.

10.0

9

05.1

0.09

-09.

10.0

9

EUR/USDEUR/USD: : weekly average volume, weekly average volume, 13.013.044..202009 09 -- 13. 13.110.20090.2009

13

EUR/USD EUR/USD : : average daily volume,average daily volume, mln. EURmln. EUR13.04.13.04.202009 09 --1133..110.0.20200909

0

10

20

30

40

50

60

70

80

90

100

110

апр.09 май.09 июн.09 июл.09 авг.09 сен.09 окт.09

TOD TOM SWAP

14

EUR/USDEUR/USD: : structure,structure, 13.0 13.044..202009 09 -- 13. 13.110.20090.2009

The volume of transactions in Apr.-Oct. 2009 reached 14 327 mln.EUR

apr.- oct. 2009

9%

21%

70%

TOD TOM SWAP

15

MICEX FX market main projects

• Access to the MICEX FX market for the banks of EurAsEC countries

• Netting

• Ruble settlements in the RTGS (BESP)

• SWAP for settlement finalization

• «United trading limit»

• 2-tier access to the market

16

Access to the MICEX FX market for the banks of EurAsEC countries

Direct market access for credit institutions from EurAsEC countries, in accordance with Agreement (25.01.2006):

• will be able to participate directly in trading in the MICEX FX market, to deal with CCP – NCC.

• will become members of MICEX FX market Section

Project realized 02.11.2009

17

USD/RUB

EUR/RUB

EUR/USD

USD/RUB

EUR/USD

EUR/RUB

Netting

project

USDRUBEURRUB

USD

EUR

USD

EUR

RUB

now

18

Ruble settlements in the RTGS (BESP)

Settlements using the accounts of the NCC with the MICEX SH (head office, branches) on the basis of RTGS technology:

• project aim is substitution of the Settlement session

• NCC will regulate regional liquidity itself

• adjustment of trading time for Moscow and Regional participants

19

SWAP for settlement finalizationSWAP for settlement finalization

An alternative mechanism for final settlement in case of participant’s default:

• Project aim is substitution of the Additional Session mechanism

• Two stages of the project:

—Transfering the defaulted position to the next tradind day (SWAP between NCC and liquidity provider) and closing it out on the basis of Additional Session

—Transfering the defaulted position to the next trading day and closing it out in the UTS

I stage:

II stage:

20

««UUnitenited trading limitd trading limit»»

Providing the participants with more cost effective service:

• opportunity to trade in USD and EUR while posting one of the currencies: RUB, USD, EUR, or any its combination

• opportunity to trade in EUR using the net-operation limit

21

Trade system

Two-tier access to the marketTwo-tier access to the market

Orders

deals deals

Clients

Orders

Section membe

r

Section membe

r NCC

information

Clients

information

Attracting the new groups of participants (including non-residents) by development of DMA

22

ContactsContacts

Address:13, Bolshoy Kislovskiy, Moscow 125009, Russia

Telephone:(095) 705-9635www.micex.ru

Thank youThank you!!