Derivatives on RDX USD Index
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- Rosalind Sherman
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1 Derivatives on RDX USD Index Russian DR Equity Index Derivatives October 2017
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. Total RDX Index Options and Futures traded at Eurex since launch: 8.6 Million contracts. 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-16 Jul-16 Nov-16 Mar-17 Jul-17 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-16 Jul-16 Nov-16 Mar-17 Jul-17 Traded Contracts Open Interest Traded Contracts Open Interest Thousands Thousands Thousands Thousands Derivatives on RDX USD Index October 2017 Introduction - Russian Depository Index RDX USD Index Futures & Options Volume and Open Interest Development RDX Futures RDX Options Orderbook Off-book Open Interest Orderbook Off-book Open Interest Volume and Open Interest started to grow again. We have witnessed growth in client demand for Eurex RDX USD Index futures and options. The Open Interest for FRDX in October 2017 registered 48,915 contracts and for ORDX 265,603 contracts. Account Structure - FRDX 16% Account Structure - ORDX 13% 10% Participants trade off-book flexible contracts regularly. The total traded contract volume since launch is 4.3 million contracts for FRDX and 4.3 million contracts for ORDX at the end of October % 56% 77% A market making scheme supports the success of Eurex RDX futures and options and provides additional liquidity. Agent Market Maker Principal Agent Market Maker Principal 4
5 Agenda Introduction RDX USD Index Contracts specifications Market Making Fees and pricing Further information Appendix 5
6 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 January 11,
7 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 7
8 Agenda Introduction RDX USD Index Contracts specifications Market Making Fees and pricing Further information Appendix 8
9 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 Vendor codes Available 1 contract 100 contracts Reuters: <0#FRDX:> Bloomberg: <RXDmy Index> Reuters: <0#ORDX*.EX> Bloomberg: <RDmyC Y Index> 9
10 Agenda Introduction RDX USD Index Contracts specifications Market Making Fees and pricing Further information Appendix 10
11 Market Makers 6 Market Makers for RDX USD futures (FRDX) are active and provide liquidity. Market Makers in RDX USD futures (FRDX) Member Contact Tel DRW Investments UK Ltd Chadwick Miller Raiffeisen Centrobank AG Martin Kreiner Barak Capital Ofer Attal, Uri Peles Geneva Ireland Financial Trading Ltd. David Joyce Susquehanna International Securities Ltd. Sean O Dwyer Flow Traders Dennis Leman
12 Agenda Introduction RDX USD Index Contracts specifications Market Making Fees and pricing Further information Appendix 12
13 Fees and pricing Fees and pricing (per contract clearing and trading combined) RDX USD Index Futures (FRDX) Order book: USD 0.40 Eurex OTC Trade Entry services: USD 0.60 RDX USD Index Options (ORDX) Order book: USD 0.40 Eurex OTC Trade Entry services: USD 0.40 > 1,000 contracts: USD 0.20 Market Maker rebates* Revenue Sharing Scheme Order book: 90% (USD 0.04) EurexOTC Trade Entry services: 90% (USD 0.06) The share in revenue is 15% of net revenues generated Distribution takes place monthly to a maximum of the three best market makers Order book: 90% (USD 0.04) EurexOTC Trade Entry services: 90% (USD 0.04) Regular rebates: Order book: 80% (USD 0.08) EurexOTC Trade Entry services: 60% (USD 0.16) > 1,000 contracts 60% (USD 0.08) The share in revenue is 15% 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 13
14 Agenda Introduction RDX USD Index Contracts specifications Market Making Fees and pricing Further information Appendix 14
15 Further information Circulars RDX USD Index Market Making: Trading Fees Holiday Calendar OTC Parameters 15
16 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. 16
17 Further information Contact us Product Development Sales UK 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 17
18 Agenda Introduction RDX USD Index Contracts specifications Market Making Fees and pricing Further information Appendix 18
19 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 January 30th,
20 Eurex 2017 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well 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 Swiss 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 following 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 owned by DBAG and its affiliates and subsidiaries including, without 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 well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party s use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise 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 who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who 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 well as the risks associated with 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 Futures 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 Swiss Leader Index Futures contracts, Eurex inflation/commodity/weather/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 Swaps 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 Swiss 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 way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability with 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 with the permission of The London Gold Market Fixing Limited as well as The London Silver Market Fixing Limited, which for the avoidance of doubt has no involvement with and accepts no responsibility whatsoever for the underlying product to which 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 otherwise, wholly vest with BSE. Any violation of the above would constitute an offence under the laws 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. 20
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