fx market program for ranking market makers in eurusd_tom

FX market program for ranking market makers in EURUSD_TOM

May 2014, Moscow

Viktoriya GulavskayaHead of trading technologies and market making

FX market program for ranking market makers in the instrument EURUSD_TOM

Goals of the program

Boosting liquidity for the instrument EURUSD_TOM;

Facilitating the competitive environment and effective incentive system for market makers with optimal allocation of Exchange’s expenses for liquidity support.

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Terms

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1. The program will be launched after 1 July 2014. 2. All market makers are eligible to participate by using their current

market maker agreements. Minimum three market makers are required. 3. By the end of the calendar month, ratings are calculated taken into

account quality factors (with different weights) to determine a market maker’s position in the ranking and its remuneration.

Quality factors

Trading volume

Spread maintenance time, %


Terms 1. Position of a market maker in the ranking (N) is determined by its

rating value (R) assuming that N = 1 for maximum value of.

2. Market makers’ ratings are calculated with the quality factors applied:

- the quality factor of the market maker’s trading volume obligation with regard to the i-th trading day;

- the quality factor of the market maker’s obligation regarding spread maintenance time on the i-th trading day.

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Calculation of market makers ratings

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𝑅 = ,where: ; =

ƛ =0,65,β =0,35 – the weighting coefficients; – total trading volume made by the market maker during the main session on the i-th trading day, in U.S. dollars; – total trading volume made by all market makers during the main session on the i-th trading day, in U.S. dollars;

– the actual spread maintenance time on the i-th day; – the committed spread maintenance time during the main

session as per the agreement.


where

PB - market maker’s remunerations, in rubles;

- the effective coefficient determined by the position of the market maker in the ranking (N); = 0.0013%, if N=2 = 0.0010%, if N=3 0, otherwise - total volume of market maker’s passive trades executed during the main session on the i-th trading day, in the lot

currency;𝑼𝑺𝑫𝑭𝑰𝑿𝑴𝑬 – the Moscow Exchange ruble fixing as of the trade execution date;

= 1,2… – the order number of the trading day in the calendar month.

Calculation of market makers remuneration

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=

PB = * 𝑼𝑺𝑫𝑭𝑰𝑿𝑴𝑬*


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Appendix No 1Market makers obligations

№ Obligation Committed values

1 Minimum order size EUR 1 mio

2 Two-sided quote spread 0.0003

3 Period during the Main session of every Trading day of the Accounting period when the market maker has to fulfil it’s obligations towards the instrument

65%

4 Share of trading days in a month 80%

Market maker is considered to fulfil it’s obligations during the Trading day only if the following conditions are performed:- Obligations parameters in points 1 and 2 of the Table are fulfilled during the period

stated in the third line of the Table


DISCLAIMER

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This presentation has been prepared and issued by Open Joint Stock Company “Moscow Exchange MICEX-RTS” (hereinafter referred to as the “Company”). Unless otherwise specified, the Company shall be deemed the source of all information contained in this document. Such information is presented as of the date of this document and may be changed without notification.

This document is not, does not form and shall not be deemed an offer or invitation to sale or take part in subscription or an inducement to purchase or subscribe to any securities; this document or it part or the fact of its circulation does not constitute any ground either and shall neither be relied upon in connection with any offer, contract, obligation or investment decision related thereto, nor shall be deemed a recommendation regarding securities of the company.

No independent assessment of the information set forth herein has been performed. This document does not contain any representations or warranties, expressed or implied, and no person should rely on information or opinion contained herein as reliable, accurate or complete. None of the Company’s employees or its subsidiaries or affiliates or their directors, officers or employees, consultants or their representatives undertake any liability (whether resulting from negligence or otherwise) directly or indirectly connected with use of this documents or otherwise arising therefrom.

This presentation contains forward-looking statements. All statements contained in this presentation, save for those related to historical facts, including, without limitation, statements concerning our financial standing, business strategy, management plans and future transactions objectives are forward-looking statements.

Such forward-looking statements include known and unknown risks, uncertainties and other factors which may cause our current ratios, results, achievements or production figures to differ significantly differ from those expressed or implied in such forward-looking statements, and which include, among other factors, the following: •perception of market services rendered by the Company and its subsidiaries; •Volatility (а) of the Russian economy and securities market and (b) highly competitive sectors in which the Company and its subsidiaries perform their activities; •Changes in (a) national and international laws and tax regulations and (b) state programs related to financial and securities markets; •Increase of competition on the part of new players in the Russian market; •The ability to keep pace with rapid changes in the scientific and technical environment, including the possibility to use expanded functional opportunities widely used by clients of the Company and its subsidiaries; •The ability to preserve continuity of the process of introduction of new competitive products and services, along with support of the competitiveness; •The ability to attract new clients within the domestic market and foreign jurisdictions; •The ability to increase offer of products in foreign jurisdictions; •Forward-looking statements are effective only as of the date of this presentation, and we expressly waive any obligations to update or revise forward-looking statements contained in this presentation in connection with changes in our expectations or in conditions and circumstances underlying such forward-looking statements.

fx market program for ranking market makers in eurusd_tom

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