Micex | News Room | Daily trade volume on the MICEX derivatives market has exceeded 2 billion US dollars, liquidity for currency futures on the Russian ruble is shifting to the Russian internal market

Daily trade volume on the MICEX derivatives market has exceeded 2 billion US dollars, liquidity for currency futures on the Russian ruble is shifting to the Russian internal market

August 17, 2007

A record-high trade volume has been reached on the MICEX Group▓s derivatives market. As a result of the trading session held 16 August 2007, the total volume of trading in derivative instruments exceeded 2.1 billion US dollars (54.85 billion rubles). This exceeds more than 8 times this year▓s average daily liquidity figure (from January till July: 6.39 billion rubles). The previous record, reached on 15 August 2007, equaled 41.5 billion rubles. Yesterday▓s daily trade volume figure is a new historical maximum for the MICEX derivatives market. It is also the highest figure for Russian derivatives exchanges.

Yesterday, a new record-high volume of trading in futures on the US dollar was reached on the MICEX derivatives market. During the day, the trade volume surpassed the psychological level of 2 billion dollars and amounted to 2 074 400 contracts or about 53.44 billion rubles in money terms (31% more than the previous record figure). The open interest for currency futures also reached a record-high level: 4 300 774 contracts (110.9 billion rubles). The previous maximum open interest (105.2 billion rubles) was registered on 14 August 2007.

Besides, on 16 August 2007, a record-high volume of trading in interest-rate futures was reached on the MICEX derivatives market. In the course of the trading session, market participants concluded transactions for the total amount of 1.39 billion rubles, while at the end of the trading day open interest reached 1.48 billion rubles. The previous maximum volume of trading in these instruments (794 million rubles) was reached on 15 August.

The recent record-high figures demonstrated by the MICEX Group▓s derivatives market point to changes in the structure of the Russian derivatives market. Liquidity for operations in RUR/USD futures is increasingly shifting to the Russian internal market. During the first half of August the volume of trading in USD futures on the MICEX exceeded the figure for the Chicago Mercantile Exchange (CME) more than 7 times. This August the MICEX Group and the RTS Group have accounted for 44% and 56% of the total volume of trading in derivative instruments.

The following currency futures are traded in the MICEX Derivatives (Standard Contracts) Market Section: US dollar futures, euro futures and EUR/USD futures as well as futures on the compounded MosIBOR overnight interest rate and the 3-month MosPrime Rate, which are calculated by the National Foreign Exchange Association (NFEA) and are the most representative indicators of the Russian money market. To promote the growth of liquidity of the interest-rate futures market, the MICEX has introduced the institution of market makers on its derivatives market. Market makers maintain regular bilateral quotations for corresponding contracts. The total number of members of the Derivatives Market Section is 185 organizations.

At the end of June 2007 trading was launched on the derivatives market of the MICEX Stock Exchange. The first contract to be traded in this section is the MICEX Index futures. Market makers maintain regular quotations for the MICEX Index futures. The total number of participants in trading on the MICEX Stock Exchange▓s derivatives market has reached 68 organizations, including 29 credit and 39 non-credit institutions. Over 50 organizations have applied for admission.

Find more information on the MICEX Group▓s derivatives market on the ⌠Derivatives Market■ page of the MICEX web site (http://www.micex.ru/futures/) or call at (495) 705-9612.