June 7th, 2011
Why to invest
in Turkdex
IDX: International
Derivatives Expo 2011
Content
I.
II.
III.
IV.
V.
About TurkDEX
Why to Invest in TurkDEX?
Current Products
New Trading System
Options
I. About TurkDEX
Timeline
TurkDEX has 99 members
CFTC No-Action Letter
Record trading volume: TRY 3 billion 129 million.
The value of open interest exceeded TRY 1 billion.
Trading volume exceeded TRY 1 billion.
The opening bell rang with 34 members.
The legislation on “The Establishment and Operation of Futures and
Options Exchanges” was published in the Official Gazette.
“First and Only” Derivatives Exchange in
Turkey
TurkDEX Inc. is the only derivatives exchange authorized by
the Capital Markets Board (regulatory agency in Turkey) to
operate in Turkey.
A Single Market Place for
Derivatives in Turkey
TurkDEX’s Shareholders
The shareholders of TurkDEX include financial and real sector institutions of
Turkey.
The Union of Chambers and
Commodity Exchanges of Turkey
%25
Istanbul Stock Exchange
%18
Izmir Mercantile Exchange
%17
Yapı Kredi Bank
%6
Akbank
%6
Vakif Securities Inc
%6
Garanti Bank
%6
Is Securities Inc
%6
Turkish Association of Securities Dealers
%6
Takasbank
%3
T Sinai Kalkinma Bank
%1
Tremendous Growth at Turkdex-I
Yearly Total Trading Volume 2011 (in millions of USD)
286.521
217.342
162.121
121.931
92.934
12.246
2.241
2005
2006
* 2011 includes data until May 31th.
2007
2008
2009
2010
2011
Tremendous Growth at TurkDEX-II
Yearly Total Trading Volume (in number of contracts)
79.431.343
63.952.177
54.472.835
28.492.088
24.867.033
6.848.087
1.832.871
2005
2006
2007
* 2011 includes data until May 31th.
2008
2009
2010
2011
Daily Average Trading Value
Daily Average Trading Value (in thousands of USD)
1600
1400
1200
1000
800
2010
2011
600
400
200
0
January
February
March
April
May
June
July
August
September
October
November December
Open Interest Values
Number of Client Accounts
Number of Trading Accounts
80.000
70.000
60.000
50.000
40.000
30.000
20.000
10.000
0
As of May 2011 the number of client accounts is 69.560.
Recently Launched Products and
Terminated Projects
Products:
TurkDEX-Euro/USDollar Cross Currency Futures Contract
TurkDEX-USDollar/Ounce Gold Futures Contract
TurkDEX-ISE 30-100 Index Spread Futures Contract
Projects:
TurkDEX received “No Action Letter” from CFTC on August 18, 2010. This
letter permits the offer and sale of Turkish Derivatives Exchange’s futures
contract based on the Istanbul Stock Exchange 30 Stock Index (ISE-30) in
the United States.
Market making in some contracts (currencies, gold)
Give up functionality has been introduced
A new API has been introduced
New Products and Projects
Products:
Options on Equity Index and Currency Futures
Electricity Futures (Cash-settled)
Live Stock Futures
Projects:
A new trading system with an integrated risk management
module
Increased cooperation with commodity exchanges to
stimulate commodity futures trading
Market making in other contracts
II. Why to Invest in TurkDEX?
Real Gross Domestic Product(GDP) Growth
Turkey, with such a robust economic performance, stood out as the fastest growing
economy in Europe and one of the fastest growing economies in the world.
Rapid recovery from the global financial crisis.
Source: IMF World Economic Outlook April 2011, Turkish Statistical Institute (TurkStat)
Expected High Economic Growth
According to the OECD, Turkey is expected to be the fastest growing economy of the
OECD members during 2011-2017, with an annual average growth rate of 6.7 percent.
Source: OECD Economic Outlook No: 86
Improvement in Unemployment Rate
In comparison with other countries, Turkey has managed to mark a faster decrease in
unemployment rate during the post-crisis period, which is a solid proof of the fast
recovery of Turkish internal demand and success of new investments in creating
employment.
Source: TurkStat
Decreasing Inflation Rates
Source: TurkStat
Successful Economy
Booming economy (USD 230 billion to USD 736 billion of GDP from 2002
to 2010)
Sustainable economic growth (4.8 percent annual average real GDP
increase for the last 8 years)
Promising economy with a bright future as it is expected to be the fastest
growing economy among the OECD members during 2011-2017 with an
annual average real GDP growth rate of 6.7 percent
16th largest economy in the world and 6th largest economy compared
with the EU in 2010
Institutionalized economy fueled by over USD 94 billion of FDI in the last 8
years and ranked as the 15th most attractive FDI destination for 20082010 (UNCTAD)
Favorable Regulatory Environment
No regulatory obstacle to trade derivatives for individual,
institutional and international investors.
A single regulatory body for all kind of derivatives contracts,
namely Capital Markets Board of Turkey (CMB).
Electronic Infrastructure
No geographical constraints exist to invest at TurkDEX.
TurkDEX is a fully electronic exchange with remote access.
Analysis and implementation process of a new trading system
which has more functionalities is underway.
Tax Incentives
Derivatives are defined as “other capital market instruments”
by Capital Markets Board of Turkey.
For Index contracts, withholding tax is 0%. For real person,
this rate is 10% in currency, interest and commodity contracts.
Since October 1, 2010, withholding tax is 0% in currency,
interest and commodity contracts for real sector firms.
Since September 1, 2010, for the BITT’s taxpayers of profits
which gained at TURKDEX, Banking and Insurance
Transactions Tax was abolished.
Safety for Your Trades-I
TurkDEX is responsible for creating its own rules & regulations but these
regulations should comply with Capital Markets Board regulations.
To protect investors and achieve a fair,
transparent and an efficient market,
Capital Markets Board;
• Regulates and audits the Exchange
• Reviews and accepts Exchange rules
• Conducts investigation for market manipulation
• Regulates and audits Exchange members
• Reviews and approves new contract listings
Safety for Your Trades-II
Margining at TurkDEX
• Account-based upfront margining is used at TurkDEX.
• Margin levels are determined and adjusted regularly according to market
conditions.
• The total collateral amount as of May 2011 is around 671 million US
Dollars.
The Guarantee Fund at TurkDEX
• The guarantee fund is established with the paid-in
capital of the clearing members.
• It is used in case a member defaults.
• The size of the guarantee fund as of May 2011 is
around 55 million US Dollars.
In Case of Default
At first, margin,
Second, defaulted member’s share of guarantee fund,
Third, the rest of the guarantee fund (other
members’ share) and defaulted members’ capital
is utilized.
Members’ capital is secure against default of other members.
Suitable Time Zone
Europe
07:15
15:35
Turkdex
09:15
17:35
America
02:15
10:35
Asia
15:15
23:35
III. Current Products
Contracts Traded at TURKDEX
TurkDEX offers financial and commodity futures contracts to investment public
as well as the real sector participants.
•Commodity (Cotton, Wheat, Gold)
•Interest Rate (365, 91-day DİBS and
Benchmark DİBS)
•Foreign Exchange (Dollar/TRY, Euro/TRY)
•Indices (ISE 30 Index, ISE 100 Index)
• TurkDEX TRY/Dollar-TRY/Euro Contract
•TurkDEX-ISE 30-100 Index Spread Futures
Contract
TURKDEX/ISE 30 Index Futures
Turkey’s most liquid financial product
Hedging Turkish equity portfolios
Small contract size for all types of investors
Leverage
Bloomberg Codes: A5A Index CT
Reuters Codes: 0#TRF30
Trade Value
Trading Volume of TurkDEX/ISE 30 Index Futures
450.000.000.000 TL
400.000.000.000 TL
350.000.000.000 TL
300.000.000.000 TL
250.000.000.000 TL
200.000.000.000 TL
150.000.000.000 TL
100.000.000.000 TL
50.000.000.000 TL
0 TL
2005
2006
2007
2008
2009
2010
2011(First
five
months)
TURKDEX/ISE 30 Contract Specifications
Contract Size
Value calculated by dividing the index value by 1.000 and multiplying the quotient by TRY
100 (ISE National-30 Index/1.000)*TRY 100(Example: 47,325*100=TRY 4.732,5)
Price Quotation
ISE National-30 Index value, divided by 1.000 shall be quoted significant to three decimals
Minimum Price
Fluctuation
0,025 (25 ISE National-30 Index points) Value of one tick corresponds to TRY 2,5
Contract Months
February, April, June, August, October and December (Contracts with three different
expiration months nearest to the current month shall be traded concurrently. )
Daily Price Limit
+ 15% of the established Base Price for each contract with a different contract month
Initial Margin
800 TRY
Maintenance Margin
600 TRY
Last Trading Day
Last business day of each contract month
Settlement Method
Cash Settlement
Position Limits
Absolute limit is 20.000, percentage limit is 10%
TURKDEX TRY/Dollar Futures
Hedging Turkish Lira exchange rate risk
Small contract size for all types of investors
Leverage
Bloomberg Codes: A1A Curncy CT
Reuters Codes: 0#TRYF
Trading Volume of TurkDEX TRY/Dollar Index Futures
25.000.000.000,00 TL
20.000.000.000,00 TL
15.000.000.000,00 TL
10.000.000.000,00 TL
5.000.000.000,00 TL
0,00 TL
2005
2006
2007
2008
2009
2010
2011(First
five
months)
TURKDEX TRY/Dollar Contract Specifications
Contract Size
1.000 US Dollar
Pricing Unit
Turkish Lira per USDollar with four digits. Sample quote = 1,4155 TRY or
1,4160 TRY
Minimum Price Fluctuation
0,0005 =0,5 TL
Contract Months
February, April, June, August, October and December (Contracts with three
different expiration months nearest to the current month shall be traded
concurrently. If December is not one of those three months, an extra
contract with an expiration month of December shall be launched.)
Daily Price Limit
+ 10% above or below the prior day's settlement price
Initial Margin
130 TL
Maintenance Margin
%75 of Initial Margin (197,5 TL)
Last Trading Day
Last business day of the contract month
Settlement Method
Cash Settlement
Position Limit
Absolute Limit :50.000, Percentage Limit :%10
IV. New Trading System
New Trading System
Fully integrated order entry, execution, clearing and
settlement with new system structure
High performance capability with remote access via
• New Front-End
• FIX Interface
Safe trading environment with pre-trade and post-trade risk
controls
Account structure with useful facilities
System Structure
Market
Data
Matching
Engine
Trades
Post Trade Risk Control
Accounts
Data
Pre Trade
Risk Checks
Risk Messages
Order Entry
Front End
FIX Interface
Risk
Parameters
(TurkDEX Risk
Monitor)
Positions
Profit and Losses,
etc.
Front End
Some features of TurkDEX’s new high performance trading GUI :
•
•
•
•
•
•
•
•
•
Flexible and faster order entry
Order cancellation and amendment
Advanced settings
Renaming instruments
Creating and switching between multiple desktops
Grouping multiple screens into one view
Logging out confirmation notice and automatic order cancellation
Orders, fills, positions and live quotes screens
Viewing messages and system warnings
Risk Controls
Pre-trade and post-trade risk controls will be applied by the
Exchange.
Pre-trade risk controls will occur before the order is released
to the matching engine.
Post-trade risk controls will be implemented by a new
component.
This component calculates margins by using SPAN algorithm
and gives users a clearer view of their risk exposure over their
portfolios.
The pre-trade and post-trade components will always be
integrated with each other.
Pre-Trade Risk Controls
Position Limits
Position Limit Threshold
Position Limit Percentage
Cash Margin Limits
These controls are applied exclusively against depository
accounts.
Post-Trade Risk Controls
Post-trade risk component enables clients to calculate
margins and control risk of accounts efficiently with covering
the following key areas:
Real time risk calculation
Access to all data through FIX and Client Interface
Calculation and production of end of day margin files for
the clearing house
Real time determination of “Liquidation Only States” to
be fed into pre risk system
Handling the T+1 margin cycle
Pre & Post Trade Integration
A feedback loop exists between Post-trade and Pre-trade risk
components to control the risk state of a depository account, using
post trade risk results.
On receipt of an “At Risk” message from Risk Informer, the
component of pre-trade will change the risk state of the account
into “Liquidation-Only”.
When an account is in that state, account is allowed to trade only in
order to close its existing open positions.
On receipt of an “All clear” message from Risk Informer, the risk
state of the account will be changed to “Active”.
Account Structure-I
With new trading system, TurkDEX will seperate trading
accounts and depository accounts. Account types of the new
trading system are;
Account Structure-II
V. Options
Draft Specifications of TurkDEX-ISE 30 Option
Contract-I
Underlying Asset
TurkDEX-ISE 30 futures contract
Option Type
Both call and put
Exercise Procedure
European style
Contract Size
One TurkDEX-ISE 30 futures contract
Last Trading Day
Same as the last trading day of TurkDEX-ISE 30 futures
contract
Final Settlement Day
Same as the final settlement day of TurkDEX-ISE 30 futures contract
Price Quotation
Premium shall be quoted with two decimals.
Tick Size (minimum
fluctuation)
Tick size= TRY 0.01 (0.01*100= TRY 1)
Multiplier
100
Settlement Method
Cash Settlement
Daily Price Limits
There is no price limits for TurkDEX-ISE 30 option contracts
Draft Specifications of TurkDEX-ISE 30 Option
Contract-II
Daily Settlement Price
Same procedure as the calculation of daily settlement price of TurkDEX-ISE 30
futures contract
Final Settlement Price
For call options:
Final Settlement Price of the Underlying Futures Contract-Strike Price
For put options:
Strike Price- Final Settlement Price of the Underlying Futures Contract
Strike Prices
At the beginning of the first trading day, for each maturity and for each call and put
options, there are three different strike prices available for trading: one at the
money, one in the money and one out of the money option.
Strike Price Interval
Strike Price Interval
Strike Level
2.000 points
< 50.000
2.500 points
>50.000
Draft Specifications of TurkDEX Currency
Option Contracts-I
Underlying Asset
TurkDEX-TRYUSDollar futures contract /
TurkDEX-TRYEuro futures contract
Option Type
Both call and put
Exercise Procedure
European style
Contract Size
One TurkDEX-TRYUSDollar futures contract/
One TurkDEX-TRYEuro futures contract
Last Trading Day
Same as the last trading day of TurkDEX-TRYUSDollar / TurkDEX-TRYEuro futures
contracts
Final Settlement Day
Same as the final settlement day of TurkDEX-TRYUSDollar /
TurkDEX-TRYEuro futures contracts
Price Quotation
Premium shall be quoted with two decimals.
Tick Size (minimum
fluctuation)
Tick size= TRY 0.0001 (0.0001*1000= TRY 0.1)
Multiplier
1000
Draft Specifications of TurkDEX Currency
Option Contracts-II
Settlement Method
Cash Settlement
Daily Price Limits
There is no price limits for TurkDEX-TRYUSDollar / TurkDEXTRYEuro
option contracts
Daily Settlement Price
Same procedure as the calculation of daily settlement price of TurkDEX Curreny
futures contracts
Final Settlement Price
For call options:
Final Settlement Price of the Underlying Futures Contract-Strike Price
For put options:
Strike Price- Final Settlement Price of the Underlying Futures Contract
Strike Prices
At the beginning of the first trading day, for each maturity and for each call and put
options, there are five different strike prices available for trading: one at the
money, two in the money and two out of the money options.
Strike Price Interval
0.0200
How They Will Work?-I
TurkDEX options are premium paid upfront option contracts.
Thus, there is no mark to market.
Margin amount is calculated according to the SPAN
margining methodology.
According to underlying price, new strike
prices are opened automatically by the system.
According to open interest, some option
contracts may be delisted at the end of the day.
How They Will Work?-II
Options traded at TurkDEX are European style options. They are exercised
at the end of the last trading day.
Options are exercised automatically if the below conditions are met:
For call options:
(Last Settlement Price of the Underlying Futures - Strike Price) * Multiplier > Option Exercise Cost
For put options:
(Strike Price - Last Settlement Price of the Underlying Futures) * Multiplier > Option Exercise Cost
Otherwise, the options will expire unexercised.
If an option is exercised, the Exchange will charge an “Option Exercise
Cost” both from the writer and the buyer of the option.
Questions
THANK YOU FOR YOUR KIND ATTENTION
www.turkdex.org.tr