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FX market program for ranking market makers in EURUSD_TOM

May 2014, Moscow Viktoriya Gulavskaya Head of trading technologies and market making. FX market program for ranking market makers in EURUSD_TOM. Goals of the program. Boosting liquidity for the instrument EURUSD_TOM ;

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FX market program for ranking market makers in EURUSD_TOM

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  1. May 2014, Moscow ViktoriyaGulavskaya Head of trading technologies and market making FX market program for ranking market makers in EURUSD_TOM

  2. 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.

  3. Terms The program will be launched after 1 July 2014. All market makers are eligible to participate by using their current market maker agreements. Minimum three market makers are required. 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 Spread maintenance time, % Trading volume

  4. Terms Position of a market maker in the ranking (N) is determined by its rating value (R) assuming that N = 1 for maximum value of. 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.

  5. Calculation of market makers ratings 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.

  6. Calculation of market makers remuneration PB = *𝑼𝑺𝑫𝑭𝑰𝑿𝑴𝑬* - the effective coefficient determined by the position of the market maker in the ranking (N); = 0.0013%, ifN=2 = 0.0010%, ifN=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. =

  7. Outcomes expected from the program Reaching a competitive spread to incentivize trading strategies; Reaching the principle “high efficiency is the best result”; Openness of the program to all market participants; Flexibility of the remuneration formula with the quality criteria determined.

  8. DRAFT DECISION • To take note of the FX market program for ranking maker makers in the instrument EURUSD_TOM

  9. Thank you Contacts: ViktoriyaGulavskaya, +7(495) 363-32332, ext. 26122 Alexander Apanasevich, +7(495) 363-32332, ext. 26121

  10. Appendix No 1Changes to the calculation method for market makers’ remunerations =

  11. Appendix No 2Changes to market makers obligations

  12. DISCLAIMER

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