Overview
December, 2017. History
• 1998 Open Outcry Trading starts & MXP/US Dollar Future Contract listing. • 1999 Interest Rates and Index Futures Contracts listing. • 2000 Electronic Trading. • 2001 Local Market Makers. • 2003 Partnership with MEFF for the Options Market. • 2004 Development and launching of the equity options market. • 2005 Omnibus Accounts. • 2006 Remote Participants. • 2007 Emerging Market of the year. • 2008 BMV Group IPO. • 2009 Colocation. • 2011 Order Routing Agreement Implementation. • 2012 Yellow Corn Future- 1st Commodity Futures Contract . • 2013 MoNeT Derivatives TIIE Swap Listing • 2014 10-Year Future Bond (M241205) Listing. Mini IPC Future Listing • 2015 Capital requirement rules.
www.mexder.com.mxwww.mexder.com 2 MexDer Overview
• MexDer is the Mexican Derivatives Exchange, subsidiary of the Mexican Stock Exchange (BMV Group), that began operations in 1998.
• A self-regulated entity, MexDer along with Asigna (Clearing House), offer transparent benchmark derivative products based on Interest Rates, Foreign Exchange and Stock Indexes.
www.mexder.com.mxwww.mexder.com 3 What makes MexDer so attractive?
• No Withholding Taxes when trading in MexDer from a country with a double taxation agreement with Mexico. • Free convertibility. • No local presence required in Mexico. • Omnibus Accounts: Rule 30.7 (CFTC) segregation • Proprietary trading. • Customer trading. • Remote Membership • CFTC no action letter to offer products like Equity Indexes, Fx and Fixed Income contracts in the US & Foreign Board of Trade status pending. • Co-location and Sponsored DMA. • Collaterals may be pledged in the US. • Risk Management Controls
www.mexder.com.mxwww.mexder.com 4 Our products
S&P/BMV IPC/Fut : 28 Day TIIE Swap MXN/USD Alfa A 28 Day TIIE America Movil L 2 Yr. Deliverable SWAP Cemex CPO 10 Yr. Deliverable SWAP Femsa UBD
M3 Bond GMexico B Swaps M10 Bond ICA* M20 Bond Lala B M30 Bond Mexchem* M181213 Bond Naftrac ISHRS
M241205 Bond Options: Peñoles* M310529 Bond Pinfra* M421113 Bond Tlevisa CPO CETE 91 Walmex V MXN/USD MXN/EURO ETF´s S&P/BMV IPC iShares S&P 500 Index
Futures: Mini S&P/BMV IPC America Movil L Cemex CPO Femsa UBD Gcarso A1 Gmexico B Walmex V Mextrac09 Individual Stocks Yellow corn
www.mexder.com.mxwww.mexder.com 5 Asigna: Central Counterparty Clearing House
BUYER SELLER
Local Rating Global Rating Fitch Rating AAA (mex)/F1+(mex) Standard & Poor’s mxAAA/mxA-1+ BBB+/A-2 Moody’s Aaa.mx A3 www.mexder.com.mxwww.mexder.com 6 Collaterals
• Asigna accepts collaterals in the following currencies and securities (“Haircuts” apply)
Source: www.asigna.com • Securities pledged as collateral may be exchanged at any time. • Cash Collateral proceeds are credited to the client. • Additional Margins may be requested by Clearing Members due to credit quality. www.mexder.com.mxwww.mexder.com 7 How to participate in MexDer? Participate in MexDer
Clearing Contract Clients
Contract ( Omnibus Account included) Client’s Trading Member Clearing Member
Local or foreign (*) • Proprietary Trading Member(*) • Market Maker • Third Parties Trading Member (*) • Proprietary Trading Member and Third Parties Trading Member(*) • Global Accounts
Derivatives Exchange Clearing House
Matching Engine www.mexder.com.mxwww.mexder.com 9 Products MXN/USD Futures Contract Description
• The MXN is the eighth most traded currency in the world, the third most traded in the Americas and the most traded in LATAM.
• MXN has become the main hedging currency for emerging countries, whose currencies don’t have enough liquidity
• Due to current high yields offered by Mexican Fixed Income Instrumets, large international cash flows are generated thus incrementing FX Derivatives trading volumes
• Very useful contract to create synthetic rates given daily deliveries that can be simultaneously spread traded versus a Monthly delivery, replicating an FX Swap.
www.mexder.com.mxwww.mexder.com 12 Specifications
Underlying: US Dollar. Contract Size: $10,000 Dollars. Delivery Months: Daily, monthly and quarterly, up to 15 years. Trading Symbol: DA Quotation: Pesos per Dollar. Tick: 0.0001 Pesos. Tick Value: $1 Peso. Tick Ratio/ Fee: 0.31 times. Initial Margin: $13,600 Pesos. Opposite Margin: $6,875 Pesos. Trading Hours: 7:30 to 14:00 hours. Last Trading Day: Monday of the week of the third Wednesday of the contract month. Maturity date: Monday of the week of the third Wednesday of the contract month. Settlement: Physical delivery. Bloomberg
www.mexder.com.mxwww.mexder.com 13 MXN/USD Futures Contract
• Participants: Banks, FCM’s, Pension Funds, Mutual Funds, liquidity providers. • Competitive trading and clearing costs.
Notional Value: Pesos USD
$6,169,421,651.01 $326,391,614.12 2017 Average Daily Volume Pesos USD www.mexder.com.mxwww.mexder.com 14 MXN/USD Futures Contract Uses
• Hedging • Importers with USD commitments. • Exporters that receive USD flows. • Dollar Credits. • Infrastructure financing.
• Arbitrage • Currencies with significant correlation.
• Strategies: • USD funding. • Synthetic Interest Rates in pesos and dollars. (FX Strip).
www.mexder.com.mxwww.mexder.com 15 S&P/BMV IPC Futures Contract Underlying Asset
• The Price and Quotation Index (S&P/BMV IPC) is the main index issued by the Mexican Stock Exchange.
• It is a market capital weighted index formed by 35 of the most important and representative issuers, from different sectors of the Mexican economy.
• This Index is the main Mexican benchmark used by Financial Institutions in the equity market.
• The S&P/BMV IPC Futures Contract was created to hedge, manage and mitigate the risks associated with investing in the Mexican Stock Market.
www.mexder.com.mxwww.mexder.com 17 Specifications
Underlying: S&P/BMV IPC or MexBol (Mexican Stock Exchange Index) Contract Size: $10 (Ten pesos 10/100)) multiplied for the S&P/BMV IPC Value. Delivery Months: Quarterly : March, June, September, December up to one year. Trading Symbol: IPC Quotation: S&P/BMV IPC Index Points. Tick: 5 Points. Tick Value: $50 Pesos Tick Ratio/ Fee: 1.25 times Initial Margin: $39,600 MXN Opposite Margin: $23,850 MXN Trading Hours: 7:30 to 15:00 hours Last Trading Day: Third Friday of the maturity month or the previous business if such Friday is a non-business day. Maturity date: Third Friday of the maturity month or the previous business if such Friday is a non-business day. Settlement: Next business day after maturity date. Bloomberg
www.mexder.com.mxwww.mexder.com 18 S&P/BMV IPC Futures Contract
. Easiest and most simple way to hedge and take short positions in the Mexican Equity Market.
Traded Volume: 2016 vs 2017
2016 2017
Average Daily 3,923 3,172 Volume
Aug-17 www.mexder.com.mxwww.mexder.com 19 S&P/BMV IPC Futures Contract
Main Participants: Trading Ideas:
• FCM’s • S&P/BMV IPC Future vs Cash basket. • Mutual Funds • S&P/BMV IPC Future vs Naftrac (IPC ETF) • Institutional Clients • S&P/BMV IPC Future vs Mini S&P/BMV • HFT IPC Future • S&P/BMV IPC Future vs Other Indexes and ETF´s (S&P, DOW, EWW, etc.)
www.mexder.com.mxwww.mexder.com 20 Mini S&P/BMV IPC Futures Contract Specifications
Underlying: S&P/BMV IPC (Mexican Stock Exchange Index) Contract Size: $2 (Two pesos 00/100)) multiplied by the S&P/BMV IPC Value. Delivery Months: Quarterly : March, June, September, December up to one year. Trading Symbol: MIP Quotation: S&P/BMV IPC Index Points. Tick: 10 Points. Tick Value: $20 Pesos Tick Ratio/ Fee: 1.25 times Initial Margin: $7,920 MXN Opposite Margin: $4,770 MXN Trading Hours: 7:30 to 15:00 hours Last Trading Day: Third Friday of the maturity month or the previous business if such Friday is a non-business day. Maturity date: Third Friday of the maturity month or the previous business if such Friday is a non-business day. Settlement: Next business day after maturity date. Bloomberg
www.mexder.com.mxwww.mexder.com 22 Mini S&P/BMV IPC Futures Contract
Traded Volume: 2016 vs 2017
Average Daily 2016 2017 Volume 2,039 685
www.mexder.com.mxwww.mexder.com 23 Mini S&P/BMV IPC Futures Contract
Main Participants: Trading Ideas:
• Retail Investors • Mini S&P/BMV IPC Future vs Cash basket • FCM’s • Mini S&P/BMV IPC Future vs Naftrac (ETF) • Mutual Funds • Mini S&P/BMV IPC Future vs ADR’s • Institutional Investors • Mini S&P/BMV IPC Future vs Other Indexes • HFT and ETF´s (S&P, DOW, EWW, etc.)
www.mexder.com.mxwww.mexder.com 24 Benefits
• Lower transactional costs compared to the cash market.
• Leverage benefits and lower capital consumption.
• Optimal and efficient way to take short positions.
• Hedging accuracy due to the contract’s size.
• High liquidity and arbitrage opportunities between the Future and the Naftrac (ETF)
• CFTC approved
• Attractive product for FCM’s and retail clients
www.mexder.com.mxwww.mexder.com 25 10-Year M Bond Futures Contract (DC24 ) Underlying asset specifications
• The Federal Government Development Bond M241205 is the most liquid bond in the market (about 25% of the total daily volume).
• It is the main Government rate benchmark for the 10 years node.
• Highly demanded by both local and foreign investors.
• Due to its credit rate and performance, it has an International Investors holding of about 50%.
• The DC24 Future is a Bond Forward, without Deliverable basket.
www.mexder.com.mxwww.mexder.com 27 Specifications
Underlying: Bond M241205 Contract Size: 1,000 Bonds = $100,000 pesos. Delivery Months: Quarterly, up to one year Trading Symbol: DC24 Quotation: Bond Futures Price using ‘Dirty Price’ Tick: 0.05 Pesos Tick Value: $0.05 Pesos Tick Ratio/ Fee: 7.5 times Initial Margin: $3,900 Pesos Opposite Margin: $1,770 Pesos Trading Hours: 7:30 a 14:00 hours. Last Trading Day: Third business day preceding the Maturity Date (of the delivery month) Maturity date: The last business day of the month (of the series) Settlement: Physical Delivery of M241205 Bond Bloomberg
www.mexder.com.mxwww.mexder.com 28 Underlying Comparison
Traded Volume: 2016 vs 2017
2016 2017
Average 5,237 2,148 Daily Volume
www.mexder.com.mxwww.mexder.com 29 Benefits
• Ideal instrument for Institutional Investors, to optimize portfolios that are looking for exposure in the Mexican Bond market. • Easiest way to take short positions. • Easy to quote: • Tick Size= 0.05 basis points(approximately).
• The Future Price/Future rate equivalence is maintained-
• Example: For DC16 – 124.40 will always be equal to 6. 17%
• No Deliverable basket: • No Cheapest to Deliver change risk.
• At all times the buyer will know which bond will be received at maturity.
• Important margin optimization, which allows capital use efficiently.
www.mexder.com.mxwww.mexder.com 30 Benefits
• Perfect hedging between Cash market and Futures market: • Same sensitivity • Hedging Ratio 1:1 • Knowing the Futures contract price it is easy to learn the underlying future interest rate. • Facility to list other Specific Future Bonds. • Cash Bond Market complement . • Block Trades • Incentives and trading volume discounts for Market Makers.
Who can trade it? • Banks, Brokerage Firms, Institutional clients, locals y foreigners.
www.mexder.com.mxwww.mexder.com 31 M Bonds Specifications
Underlying: Federal Government Development Bonds
Contract Size: 1,000 Bonds = $100,000 pesos.
Delivery Months: Quarterly, up to three years
Trading Symbol: M3/M10/M20/M30/MY31
Quotation: Bond Futures Price using ‘Dirty Price’
Tick: 0.025 Pesos
Tick Value: $25 Pesos
Initial Margin: From $2,500 pesos to $8,500 pesos
Opposite Margin: From $500 pesos to $1,700 pesos
Trading Hours: 7:30 a 14:00 hours.
Last Trading Day: Third business day preceding the Maturity Date (of the delivery month)
Maturity date: The last business day of the month (of the series)
Settlement: Physical Delivery of M Bond
Bloomberg
www.mexder.com.mxwww.mexder.com 33 M Bonds
• Underlying, Bonds issued by the Mexican government (BBB+). • The most actively traded securities in Mexico. • A benchmark for Mexican domestic interest rates. • Most efficient way to hedge short positions.
www.mexder.com.mxwww.mexder.com 34 TIIE Swap Underlying
• This Swap is an arrangement where by two parties enter into an agreement to exchange periodic interest payments (IRS).
• Swap diagram:
Floating Rate
Counterpart B Counterpart A
Fixed Rate
Fixed rate funds Floating rate funds
• MexDer’s SWAP replicates this payment scheme
• The Swap in MexDer as in the OTC market is referenced to the 28-day TIIE.
www.mexder.com.mxwww.mexder.com 36 Specifications
Underlying: Interbank Equilibrium Interest Rate (TIIE28) Contract Size: $100,000 Pesos. Delivery Months: From 2 months (2x1) up to 30 years (390x1). Trading Symbol: # of Coupons of 28 days x1 Nominal Fixed Interest Rate expressed in percentage points with four digits after the Quotation: decimal point. Tick: 0.0025 of the Fixed Rate. Initial Margin: From $60 Pesos (2x1) up to $10,975 Pesos (390x1). Opposite Margin: $45 Pesos. Trading Hours: 7:30 to 14:00 hours. Maturity date: Settlement Date of the TIIE Swap Contract. Days in which the exchanges of cash flows resulting from the comparison between the Settlement: Fixed Rate and the Variable Rate will take place, established in consecutive 28 calendar day periods from the Effective Date. Bloomberg
www.mexder.com.mxwww.mexder.com 37 Benefits
• CFTC approval for “US Persons” trades. • No SEF’s needed. • No ISDA’s needed. • Transparent and anonymous market and price formation. • No Credit Risk, our Clearing House (Asigna) has a AAA* rating. • Equivalent daily valuation process for both Mexican and U.S.markets • Long and short netting positions: Valuation, margins and cash flows. • Easy management since having a single counterparty that valuates with the same curve and nets daily settlements. • No withholding tax for foreign participants and for local entities. • Block Trades available via Trading Desk in MexDer.
*Local Scale Rating
www.mexder.com.mxwww.mexder.com 38 Benefits
• 2x1 to 390x1 tenors are always available: • Voice Services for Market Makers. • Electronic Trading for all members.
• Block Trades. Block Trade reporting is available, price and amount thresholds apply.
• Unwinds y Substitutions (Asignments). May be negotiated in MexDer’s Trading Desk or bilaterally to be reported as Block Trades.
• Preexisting Swaps. Back-loading of preexisting OTC trades via MexDer to be cleared in Asigna will be as new trades at market value
• Portfolio Compression.
www.mexder.com.mxwww.mexder.com 39 MexDer in the Vendors
Look up for MexDer in: Bloomberg: MMDD
Bloomberg Thomson Reuters
MexDer General Reference MMDD
Futures General Reference MMDF
Options General Reference MMDO
SWAPS General Reference MXN/SWAP1 MMDD
VIMEX (Mexican Volatility Index) VIMEX Index
Conversion Factors MX/FACTOR1
www.mexder.com.mxwww.mexder.com 40 SiBolsa
Contact: Juan Pablo Maccise [email protected] (5255) 5342 9079
www.mexder.com.mxwww.mexder.com 41 MexDer in the Vendors: Futures Contracts
Bloomberg Thomson Reuters CURRENCIES Mexican Peso / U.S. Dollar DSA
INDICES
28 day TIIE Strip MMDD
2 year IRS Futures Deliverable Centrally Cleared SWAP SWEA
91 day Cetes (MXN Treasury Bill) GMA
Bloomberg Thomson Reuters
INDICES
S&P/BMV IPC Futures ISA
CURRENCIES
Mexican Peso/ U.S. Dollar MXX
INDIVIDUAL STOCKS
America Móvil L AMXL MM
Cemex CPO CEMEXCP MM
OPTIONS GMéxico B GMEXICOB MM
Tlevisa CPO TLEVICPO MM
Walmex V WALMEXV MM
ETF’s Naftrac 02 NAFTRAC
www.mexder.com.mxwww.mexder.com 43 Contact us – MexDer
Laura Vázquez [email protected] +52 (55) 5342-9840
A Gary Flagler [email protected] +1 (312) 804-1618
www.mexder.com.mxwww.mexder.com 44 Contact us – MexDer Clearing Member Firms
• Actinver Diego Salles [email protected] (5255) 1103-6702
• Banamex CitiGroup Karla Chávez Silva [email protected] (5255) 2226-7648
• BBVA Bancomer Astryd Marín [email protected] (5255) 5621-9370
• GBM Patricio de la Vega [email protected] (5255) 5480-5815
• JPMorgan Karla Orozco [email protected] (5255) 5540-9410
• Santander Guillermo Ochoa [email protected] (5255) 5269-8764
• Scotia Inverlat Guillermo Camou [email protected] (5255) 9179-5131
Note: Clearing members appear in alphabetical order.
www.mexder.com.mxwww.mexder.com 45