mexican derivatives exchange
DESCRIPTION
Mexican Derivatives Exchange. March, 2008. What happened in 2007??. We are a modern Exchange. USD collaterals. Omnibus Accounts. CFTC Approved products. Remote Membership. Electronic Access - MexFix. No Withholding Taxes. TIIE Swap VS TIIE Futures. TIIE Swap, Very liquid in the OTC. - PowerPoint PPT PresentationTRANSCRIPT
Mexican Derivatives Exchange
March, 2008
2
What happened in 2007??
3
We are a modern Exchange
Electronic Access - MexFixRemote Membership
Omnibus Accounts
No Withholding Taxes
CFTC Approved products
USD collaterals
4
TIIE Swap, Very liquid in the OTC.
September 2007 - 10 Year TIIE Swap Futures launching.
1000 Times larger than Individual TIIE Future Contracts.
More precise hedging.
Easy monitoring and administration process.
TIIE Swap VS TIIE Futures
Credit lines, security, transparency.
Anonymous Market.
Position Netting.
Transaction Margins and costs.
5
2004 - February 2008
0
5,000
10,000
15,000
20,000
25,000
30,000
35,000
40,000
45,000
50,000
Jan
-04
Ma
r-0
4
Ma
y-0
4
Jul-
04
Se
p-0
4
No
v-0
4
Jan
-05
Ma
r-0
5
Ma
y-0
5
Jul-
05
Se
p-0
5
No
v-0
5
Jan
-06
Ma
r-0
6
Ma
y-0
6
Jul-
06
Se
p-0
6
No
v-0
6
Jan
-07
Ma
r-0
7
Ma
y-0
7
Jul-
07
Se
p-0
7
No
v-0
7
Jan
-08
Vo
lum
e (t
ho
usa
nd
s)
-
5,000
10,000
15,000
20,000
25,000
30,000
35,000
40,000
45,000
50,000
55,000
60,000
OI (th
ou
sand
s)
Volume (Thousand contracts)
OI (Thousand contracts)
28-Day TIIE Future
Less volume in the TIIE… ? ? ?
6
September 2007 - February 2008
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
16,000
18,000S
ep-0
7
Oct
-07
No
v-07
Dec
-07
Jan
-08
Feb
-08
Vo
lum
e
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
16,000
OI
Volume OI
TIIE Swap Future
Lets take closer look… ! ! !
7
TIIE Future + TIIE Swap Future Contracts
2004 - February 2008
0
10,000
20,000
30,000
40,000
50,000
60,000
Jan-
04
Apr-0
4
Jul-0
4
Oct
-04
Jan-
05
Apr-0
5
Jul-0
5
Oct
-05
Jan-
06
Apr-0
6
Jul-0
6
Oct
-06
Jan-
07
Apr-0
7
Jul-0
7
Oct
-07
Jan-
08
Vo
lum
e (
tho
us
an
ds
)
-
10,000
20,000
30,000
40,000
50,000
60,000
70,000
80,000
OI (th
ou
sa
nd
s)
10 yr Interest Rate Swap
TIIE 28
OI
A closer look… ! ! !
8
10 Year Fixed Rate Bond Futures February 6, 2008
45.80%
42.07%
12.13%
Total (contracts) 21,440
Trading & Clearing MembersInstitutionalOther participants
Percentage of the Open Interest
Source: Asigna0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
4,500
5,000
Cont
ract
(Tho
usan
ds)
Sep - Dic 2003 2004 2005 2006 2007
M10 - 10 Year Bonds Futures
150%
Great for arbitrage = T-note future vs M10 Bond
Volume increase in 2007 = 150%
Long term interest rate benchmark in Mexico.
(ADV)
10-Year Bond Futures Contracts
9
IPC Index Future Contracts
The IPC is a capitalization Index and the leading indicator of the Mexican Stock Exchange performance.
CFTC approved product.
Algo traders in place.
Volatility and liquidity.
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
Co
ntr
ac
ts
2001 2002 2003 2004 2005 2006 2007
IPC Index Futures
Trading & Clearing MembersInstitutionalOther participants
Percentage of the Open Interest
Source: Asigna
(ADV)
10
Options on the IPC Index Future
0
100
200
300
400
500
600
Vo
lum
e -
Co
ntr
acts
Mar-Dic 2004 2005 2006 2007
Options on the IPC Index Future(ADV)
11
IPC: Historic Volatility
0%
20%
40%
60%
80%
100%
120%
Jan-
94Au
g-94
Mar-95
Oct-9
5May
-96
Dec-9
6Ju
l-97
Feb-
98Se
p-98
Apr-9
9No
v-99
Jun-
00Ja
n-01
Aug-
01Mar
-02Oc
t-02
May-0
3De
c-03
Jul-0
4Fe
b-05
Sep-
05Ap
r-06
Nov-0
6Ju
n-07
Jan-
08
IPC Volatility 10 Days 30 Days 60 Days 90 Days
Asian CrisisRussian CrisisLTCM Crash
Nasdaq Drop
WorldCom-EnronArgentinian Crisis
September
DecemberError
MexicanPresidentialElection
Chinese Market Adjustment
Subprime Crisis in
US
12
Volatility Index Mexico (VIMEX) vs VIX
10
15
20
25
30
35
40
45Mar-04
May-04
Aug-04
Oct-04
Dec-04
Feb-05
Apr-05
Jun-05
Aug-05
Oct-05
Dec-05
Feb-06
May-06
Jul-06
Sep-06
Nov-06
Jan-07
Mar-07
May-07
Jul-07
Sep-07
Nov-07
Feb-08
VIM
EX
5
10
15
20
25
30
35
VIX
VIMEX VIXSubprime Crisis
MexicanPresidentialElections
Chinese Market Adjustment
Financial Institutions Quarterly Reports
13
Coming up for 2008…
Based on the new favorable legal and Tax framework, we plan to launch Individual Stock Options Contracts on:
CEMEX (CX): One of the largest Cement producers of the world
TELEVISA (TV): The largest media company in the Spanish speaking world.
FEMSA (FMX): Coca-Cola and Beer Bottler in Mexico.
TELMEX (TMX): Local and long distance telephone services, internet and broadband access throughout Mexico.
WALMEX (V MM); Wal-Mart of Mexico
These names, plus AMERICA MOVIL (AMX) already listed represents a fair sample of the Mexican Equity market, and more than 65% of the Bolsa Index.
Liquidity on the underlying stocks, in Mexico and in NYSE through ADR’s.
14
Market Participants 2007
5 Clearing Members
29 Mexican Trading Members
2 Non Mexican Trading Members
23 Market Makers
+ 7 Omnibus Accounts
15
Market Participants 2008
5 Clearing Members
34 Mexican Trading Members
7 Non Mexican Trading Members
24 Market Makers
+ 13 Omnibus Accounts
16
Members
17
API / FIX Access MexDer provides Access via the Financial
Information eXchange (FIX) protocol.
Certified ISV’s:
ISV’s currently testing:
18
It’s easy to participate!
1. As an Omnibus Account.
Handling costumer accounts through a Trading Member or a Clearing Member.
2. As a Client.
Proprietary Trader as a costumer of a Trading Member.
3. As a Remote Member.
Non-Clearing Remote Membership with direct access to the trading system.
19
It’s never been so easy….
Contact Us!
(5255) 5342-9999 (5255) 5342-9930
From the US:
1 866 MEXDER1From the rest of the world:
Berenice [email protected]
The leading Marketplace for trading derivatives on Mexican benchmarks