Trading in the cash settlement futures on the MICEX Index was launched on the MICEX Stock Exchange on 29 June 2007.
The MICEX Index is the main indicator of the share market on the MICEX Stock Exchange. In the first quarter of 2007 the volume of trading on the MICEX SE amounted to 98% of the whole volume of exchange-based trading in Russia. The share of the MICEX Stock Exchange in the global exchange-based market for Russian securities exceeds 70%. Stocks comprising the MICEX Index account for over 90% of total turnover on the MICEX SE. Capitalization of stocks comprising the MICEX Index exceeds 80% of the total capitalization of the Russian share market. The number of futures investment funds based on the MICEX Index has reached 22. At the beginning of 2007 their share exceeded 75% of the total number of Russia’s futures funds and 93% of their NAV.
Specifications of the cash settlement futures on the MICEX Index:
|
Contract size |
20
rubles
* MICEX Index |
|
Contract months |
2
nearest months on the standard (H,
M, U, Z) quarterly cycle |
|
Day
of execution |
15th
day of the month of execution |
|
Delivery |
Cash settlement |
|
Quotation |
Value
of the MICEX Index X 100 |
|
Minimum
price
fluctuation |
25
price points (or 5 rubles per contract) |
|
Final
settlement price |
Average
value of the MICEX Index
for the last 30 minutes of the trading session in securities on the
MICEX SE on the day
of execution multiplied by 100 |
|
Commission |
1 ruble
per contract |
The MICEX Stock Exchange acts as organizer of trading in the futures on the MICEX Index. The MICEX acts as clearing organization for transactions in the futures on the MICEX Index and other derivative instruments on stock assets in compliance with the new Rules of clearing provided by the MICEX on the derivatives market, which were put into effect on 25 June 2007. The Rules were worked out following the adoption of amendments to the Statute of clearing, which raise the ban on combining clearing on the spot market and the market for derivative instruments on stock assets.
Changes in the Rules of clearing are expected to improve the effectiveness of clearing on the derivatives market of the MICEX Group, as they provide for:- increase in the capitalization of the clearing organization, which combines clearing on the spot market and the derivatives market. To cover risks of operations in derivative instruments on stock assets, the clearing organization must establish a reserve fund, the size of which is 250 million rubles.
- the possibility of realizing a single cash position on all markets;
- enabling participants in trading to trade in synthetic products, which include instruments of the spot market and the market for derivative instruments on stock assets, and open covered positions in stock options.
The MICEX Settlement House provides settlements for the results of trading in the futures on the MICEX Index.
The operation of the derivatives market and the spot market within one trading and settlement system will help to minimize transaction costs, improve the effectiveness of the market, and boost turnover in both segments. The new market enables to carry out arbitrage operations within a single trading infrastructure of the MICEX Group, which enables to promptly transfer participants’ funds among different market segments. This entitles one to believe that after the launch of trading in futures on stock assets within the MICEX Group the volume of the market for stock derivatives in Russia will grow considerably.
Market makers will help to promote liquidity in the new segment of the derivatives market of the MICEX Group by maintaining bilateral quotations of the futures on the MICEX Index.
Participants in the stock and the derivatives markets have expressed clear interest in the new instrument. On 29 June 2007, 42 organizations participated in trading on the derivatives market on the MICEX Stock Exchange, including 13 credit institutions and 29 non-credit institutions.
