London Stock Exchange Derivatives Market

Transcription

1 London Stock Exchange Derivatives Market The gateway to international derivatives

2 Clearing at LCH Introduction Contents Regions covered 01 General information 02 Norwegian products 03 Russian International Order Book Derivatives 04 Russian IOB Dividend Futures 05 Turkish products 06 UK Derivatives 07 FTSE 100 Weekly Options 08 All contracts traded on LSEDM benefit from central counterparty clearing at award winning clearing house LCH, where members can also benefit from cross margining. London Stock Exchange Derivatives Market (LSEDM) offers member firms innovative products alongside its leading international marketplace for trading Russian Depositary Receipt derivatives. In partnership with Oslo Børs, LSEDM operates the linked order book for Norwegian derivatives products. Norway LSEDM also offers FTSE100 futures and options, FTSE100 weekly options, and options and futures on UK single stocks. Linked order book with Oslo Børs Futures and options on Russian DRs Norwegian single stock options and futures Dividend and Dividend Neutral Stock Futures OBX Index options and futures Leading international market place for trading Russian derivatives. OBOSX Index futures. Members can gain exposure to Turkey by trading BIST30 futures and options. UK FTSE 100 futures and options, including weekly options UK single stock options Smaller size mini contract (100 shs) for contracts on stocks above 20 Fee caps available for on and off book trades. 01 Russia London Stock Exchange Derivatives Market Turkey BIST 30 Index futures and options Initial margin in USD, GBP or EUR Variation margin in TRY Listed in partnership with Borsa Istanbul.

3 General information Norwegian products 0 cost for membership to LSEDM Trades matched using 0 cost for market data for LSEDM All trades cleared via LCH +14% OBX index futures volume in 2016 LSEDM continues to operate the highly successful linked orderbook partnership with Oslo Børs. This is based on a fully linked trading and clearing model which enables international customers of LSEDM to trade Norwegian equity derivatives products with the Nordic customer base of Oslo Børs. Product offering Benchmark OBX Index: futures and options Single stock options and futures OBOSX Index futures. Through its shared product offering clients are able to gain exposure to the energy, gas and maritime sectors where Norway ranks amongst the top 3 of the world s producers and distributors. Together, LSEDM and Oslo Børs account for the majority of the listed Norwegian equity derivatives market. The OBOSX Index is Europe s first oil service sector index future. The link operates centralised order books for each of its shared products, all fully backed by central counterparty clearing through LCH Ltd and Six x-clear Ltd respectively. SOLA technology Key features and benefits Shared order book: customers of LSEDM and Oslo Børs have access to one central pool of liquidity, making all trades fully fungible On screen liquidity: dedicated market makers from both LSEDM and Oslo Børs provide a transparent on screen price picture Trade reporting facility: LSEDM and Oslo Børs will accept bilaterally negotiated trades from members and brokers. LSEDM is connected to Arqa Technologies, CQG, FFastFill, Fidessa, Gatelab, Horizon, ION Trading, Itiviti, Orc Group, Patsystems, RTS Realtime Systems Ltd, TT and Vectalis. 02 London Stock Exchange Derivatives Market 03 London Stock Exchange Derivatives Market

4 Russian International Order Book Derivatives Russian IOB Dividend Futures +66% single stock futures trading in 2016 LSEDM's service allows international counterparties to trade in derivatives on the International Order Book (IOB): Single stock options, futures and dividend futures, plus RIOB index options and futures. Participants benefit from the on-screen order book and the flexibility offered by our trade-reported only service, all backed by the security of Central Counterparty Clearing with LCH Ltd. The most liquid names are available to trade on-screen and for trade reporting. On-screen trading Clients benefit from a consistent on-screen price picture from market makers and liquidity providers. Further option strike prices can be added on-screen intraday Option premiums can be trade reported to any 4 decimal places, regardless of tick sizes. Trade-reported only The most popular IOB DR options and futures can be trade reported. Strike prices and premiums can be reported with 4 decimal places Any IOB trading day as the expiration day up to 5 years Tailor-made positions will convert into standard positions, and keep the same ISIN. Futures and options on DRs from India, Kazakhstan and Korea are also available for trade-reporting, including Samsung. Russian names available include Gazprom, Lukoil and Sberbank. 2expiries available for trading on book Dividend futures Standardised dividend futures are available on seven IOB Depositary Receipts. These contracts enable members to hedge dividend exposure. In the event that there is an announced dividend or part of an announced dividend whose payment is deferred until after January expiry, a late dividend contract will be listed. This additional contract on the late dividend is completely separate and distinct from normal dividend contracts. Positions in a dividend futures contract at expiry are rolled into the corresponding late dividend futures contract automatically if all of announced dividends have not yet been paid. Contract specifications Multiplier Contract size Quotation Expires Expiry day Settlement price 100 DR dividends Futures price multiplier USD First two contracts of January, out for two years Third Friday in each January Cash settled against gross ordinary dividends Availability Dividend Stock Futures Dividend Neutral Stock Futures Gazprom Y Y Lukoil Y Y MMC Norilsk Y Y Dividend Neutral Stock Futures Dividend Neutral Stock Futures (DNSF) are adjusted in the case of both ordinary and extraordinary, cash, stock or scrip dividends announced in the underlying. DNSF are trade reported only, with any expiration date out to two years, and a trade price of upto four decimal places accepted. In the case of both ordinary and extraordinary cash, stock or script dividends, the lot size and daily settlement prices will be adjusted. Rosneft Y Y Sberbank Y Y VTB Bank Y Y Surgetneftegaz Y N Contract specifications IOB DR options IOB DR futures Multiplier Currency USD USD Expiry day 3rd Friday at 15:30 London time 3rd Friday at 15:30 London time 04 London Stock Exchange Derivatives Market 05 London Stock Exchange Derivatives Market

5 Turkish products UK Derivatives LSEG signed a partnership agreement with Borsa Istanbul to foster development of Turkish capital markets and give international exposure to Turkish derivatives products via London Stock Exchange Derivatives Market (LSEDM). Order book and tailor-made contracts available BIST 30 INDEX FUTURES Trading in: Turkish Lira BIST 30 INDEX OPTIONS Trading hours for order book & trade reporting Cleared by LCH Trading hours to overlap more of US market Cost efficient margining Initial contract margin in: $ USD GBP EUR The give-up of trades is permitted between LSEDM members Futures calendar rolls available 70 underlyings available to trade UK Single Stock Options and Futures UK Single Stock Options are available on order book and for trade reporting, with UK single stock futures available for trade reporting. Underlying instruments represent the most liquid shares on London Stock Exchange Flexible parameters permitted with expiry date out to 5 years. 100 share contracts are for underlyings with a share price less than 20 at time of listing: AB Foods Astra Zeneca BATS Carnival FTSE 100 Index Futures and Options Margin offsets available between options and futures for positions held at LCH. Futures listed with quarterly expiries available out to one year Options listed out to two years Contract multiplier 10, with minimum tick size Flexible parameters for options trade reporting Expiration day any trading day out to five years Premium to four decimal places Strike price to two decimal places American or European style. Flexible parameters for futures trade reporting Expiry out to five years Futures price to two decimal places. 07:10 17:30 London time 10:10 20:30 * Istanbul time * as of GMT Trade Reporting No minimum block trade quantity* Reduced cost of capital Position netting * within the spread Imperial Brands Intercontinental Hotels Next Randgold Resources Rio Tinto Shire Unilever Wolseley 06 London Stock Exchange Derivatives Market 07 London Stock Exchange Derivatives Market

6 FTSE 100 Weekly Options Appendix 1st short-dated options on a UK-based underlying, listed on a UK exchange Weekly options on the FTSE 100 Index listed on LSEDM are the first short-dated options on a UK based underlying, listed on a UK exchange. Key features Although weekly options can be considered just as options with very short-term maturities, the fact that they are made available on a weekly basis allows investors to take advantage of some specific characteristics that differentiate them from the standard monthly maturity cycle. The benefits of weekly options are more pronounced when traded along with contracts covering the mid and long-term maturities as they allow investors to take positions with more precision. Margins on weekly options can be off-set versus other FTSE 100 derivative positions held at LCH. LISTED OUT TO 1 MONTH 12:02 expiration time every Friday after London Stock Exchange midday auction uncross Contract codes Product LSEDM Bloomberg code Reuters code BIST 30 Index Futures BIST30 BFLA 0#BIST30ll: BIST 30 Index Options BIST30 XU030XF 0#BIST30*.LL OBX Index Futures OBX OI 0#RIOBll: OBX Index Options OBX OBX 0#RIOB*.LL OBOSX Index Futures OBOSX OBS 0#OBX: FTSE 100 Index Futures FI100 FQT 0#OBX*.OL FTSE 100 Index Options FI100 UKXTQ 0#OBOSX: FTSE 100 Week 1 Options W1UKX WUKXA 0#F100ll: FTSE 100 Week 2 Options W2UKX WUKXB 0#F100*.LL FTSE 100 Week 4 Options W4UKX WUKXD 0#F1001W*.LL FTSE 100 Week 5 Options W5UKX WUKXE 0#F1002W*.LL FTSE RIOB Index Futures RIOB DRI 0#F1004W*.LL FTSE RIOB Index Options RIOB RIOB 0#F1005W*.LL Gazprom Dividend Futures D*OGZD DOGZD 0#DOGZDtq: Lukoil Dividend Futures D*LKOD DLKOD 0#DLKODtq: MMC Norilsk Dividend Futures D*MNOD DMNOD 0#DMNODtq: Rosneft Dividend Futures D*ROSN DROSN 0#DROSNtq: Sberbank Dividend Futures D*SBER DSBER 0#DSBERtq: Surgutneftegas Dividend Futures D*SGGD DSGGD 0#DSGGDtq: VTB Dividend futures D*VTBR DVTB 0#DVTBRtq: Expiry cycle FRONT MONTH BACK MONTH Week of Month* WHICH LISTED WEEKLY CONTRACTS AVAILABLE W1 W2 Monthly W4 W5 (if listed) W1 W2 Monthly W4 First Y Y Y Y Y N N Y N Second expired Y Y Y Y Y N Y N Third expired expired Y Y Y Y Y Y N Fourth expired expired expired Y Y Y Y Y N Fifth expired expired expired expired Y Y Y Y Y * with a Friday in it 08 London Stock Exchange Derivatives Market

7 London Stock Exchange 10 Paternoster Square London EC4M 7LS Telephone +44 (0) London Stock Exchange Derivatives Team Telephone +44 (0) London Stock Exchange plc ( LSE plc ) received registration from the U.S. Commodity Futures Trading Commission (CFTC) as a Foreign Board of Trade (FBOT) on 31 October This status allows London Stock Exchange Derivatives Market (LSEDM), as a business segment of LSE plc, to provide US based participants with direct access to its electronic order book in the FTSE 100 UK Index Futures contract the BIST 30 Index Futures contract. LSE plc may choose to make additional contracts available for trading by participants located in the United States with direct access to its electronic trading and order matching system at a later date, subject to the new product filing requirements of the CFTC. 1 The publication of this document does not represent solicitation by London Stock Exchange plc of public saving and is not to be considered as a recommendation as to the suitability of the investment, if any, herein described. This document is not to be considered complete and it is meant for information and discussion purposes only. Information in this brochure is not offered as advice on any particular matter and must not be treated as a substitute for specific advice. In particular the information provided does not constitute professional, financial or investment advice and must not be used as a basis for making investment decisions and is in no way intended, directly or indirectly, as an attempt to market or sell any type of financial instrument. Advice from a suitably qualified professional should always be sought in relation to any particular matter or circumstances. The contents of this brochure do not constitute an invitation to invest in shares or subscribe for any securities or other financial instruments, nor should it or any part of it form the basis of, or be relied upon in any connection with, any contract or commitment whatsoever. London Stock Exchange does not conduct investment business in the United Kingdom with private customers and accordingly services and products mentioned or referred to in this brochure are not available to such persons directly via London Stock Exchange. London Stock Exchange accepts no liability, arising, without limitation to the generality of the forgoing, from inaccuracies and/or mistakes, for decisions and/or actions taken by any party based on this document. January 2017 London Stock Exchange plc. Registered in England & Wales No London Stock Exchange Group plc, 10 Paternoster Square, London, EC4M 7LS