London, 14.03.2012National Foreign Exchange Association, Russia1 Russian Rates derivatives volumes Dmitry Piskulov, Ph.D. (econ.) Chairman of NFEA Management

London, 14.03.2012 National Foreign Exchange Association, Russia 1

Russian Rates

derivatives volumes

Dmitry Piskulov, Ph.D. (econ.)

Chairman of NFEA Management Board,

Chairman of the Committee for Professionalism;

ICAP , Senior Adviser

London, 14.03.2012 National Foreign Exchange Association, Russia

2

Ruble Rates derivatives statisticsSources:

• Central Bank of Russia (monthly Survey of Foreign Exchange and Derivatives Market Activity)

• UK Bank of England FX Joint Standing Committee (Semi-annual FX turnover surveys)

• NFEA Annual Survey of Bank Derivatives (2008-2011)


Off-shore/On-shore segments

RUB derivatives market is split into 3 segments:

A. Off-shore (between global banks domiciled outside Russia):

B. On-shore (between local Russian resident banks on domestic market)

C. Cross-border (between local and global)

! NFEA Survey covers only B+C

!!! A (off-shore) volumes is 5-7 times bigger than B (on-shore).

Derivative Instruments

Derivatives (according to FFMS definition)– Forwards (outright)– Swaps (all regardless the maturity. Are short-

dated swaps – O/N, T/N, S/N derivatives?)– Options– Futures



On-shore derivatives in 2011: Breakdown by underlying assets

Foreign Exchange78,60%

Interest Rate18,10%

Equity0,90%

Fixed Income0,10%

Commodity1,70%

Credit0,60%

Foreign Exchange

Interest Rate

Equity

Fixed Income

Commodity

Credit


On-shore RUB derivatives monthly volumes (CBR, NFEA Surveys)

bln.US$ 2011 2008 Growth %

Total (all instruments): ~ 110.0 276.4 -

FX derivatives: - all swaps:

- ex o/n,t/n swaps(pure derivative)650-700

90-100

263.5 -

Interest rate derivatives 11.9 6.12 +

Equity derivatives 0.5 3.1 -

Commodity derivatives 1.1 3.0 -

Fixed income derivatives 0.06 0.49 -

Credit derivatives 0.4 0.2 +


2008-2011 Trends in share of Russian derivatives by underlying assets

2011 2008 Growth or

Decline %

Total (all instruments): 100% 100%

FX derivatives 78.6% 89.1% - 10.3 pp

Interest rate derivatives 18.1% 2.8% +15.3 pp

Equity derivatives 0.9% 5.8% -4.9 pp

Commodity derivatives 1.7% 0.5% +1.1 pp

Fixed income derivatives 0.1% 1.8% -1.7 pp

Credit derivatives 0.6% 0.07% +3.93 pp


Local vs International banks

Breakdown between local Russian banks and subsidiaries of international banks (of total Russian on-shore turnover):

2011 2008

Local banks 48.5% 68.3%

Foreign subs. 51.5% 31.7%

RUB FX in LondonSource: UK BOE FXJSC semi-annual survey, Feb 2012

Moscow, 14 Mar 2012 National Foreign Exchange Association, Russia 9

Oct 09 Apr 11 Oct 11

USD/RUB turnover(all instruments)

$9.0 bln. $13.9 bln. $17.5 bln.

Rank of RUB(previous,next ccy)

16MXN, KRW

11SGD, SEK

10SGD, MXN

Total ADT of UK market, $bln. $1549 bln $2191 bln $1972 bln

Percentage of RUB in total UK FX 0.58% 0.63% 0.89%

Volumes of USD/RUB FX instruments in London

Instrument Apr 2008 Oct 2009 Apr 2011 Oct 2011

FX spot $2.5 bln $1.9 bln $5.5 bln $7.7 bln

NDF: $3.5 bln $1.2 bln $2.2 bln $1.5 bln

Outrights $1.2 bln. $0.3 bln. $0.4 bln. $0.8 bln

FX swap $2.0 bln $4.3 bln $4.6 bln $6.4 bln

Ccy swaps $0.3 bln $0.1 bln $0.4 bln $0.3 bln

FX options $0.57 bln $1.2 bln $0.8 bln $0.8 bln

Total: $10.1 bln $9.0 bln $13.9 bln $17.6 blnLondon, 14 Mar 2012 National Foreign Exchange Association, Russia 10

Bank of England UK FXJSC: ADT in 2008-11


Currency pairs FX derivatives

USD/RUB74,4%

EUR/RUB16,5%

EUR/USD10,6% Другие

2,2%As in previous years USD/RUB dominates in FX derivatives (similar to spot market)

RUB FX deriv: onshore vs offshore

US$ Bln. Oct 09 Apr 10 Oct 10 Apr 11 Oct 11

DOMESTIC FX deriv.:

Outrights + NDF 0.6 1.0 0.89 1.34 0.78FX swaps 21.0 20.5 24.7 28.9 33.8FX options 0.03 0.17 0.36 0.2 0.22Total RUSSIAN 21.6 21.7 26.0 30.4 34.8LONDON FX deriv.:

Outrights + NDF 1.52 2.3 2.3 2.6 2.3FX swaps 4.3 5.8 4.0 4.6 6.4Other (incl. options) 1.28 0.83 1.38 1.25 1.13Total LONDON 7.1 8.9 7.7 8.5 9.8



Onshore interest rate derivatives• Monthly total volume: 11.9 bln. US$• 57% in Rubles, 32% in USD, 7% in EUR

IR derivative instruments % 2011 2008

Interest rate swaps (IRS) 30.8 43.9

Cross-currency swaps (CCS) 54.0 22.1

Interest rate futures 7.7 18.3

Forward rate agreements (FRA) 4.2 9.3

Forward-forward loans 2.0 6.1

Interest rate options (IRO) 1.3 0.3

RUB/USD Futures (Russia vs CME)

• Quick rise in RUB/USD Futures trading volume in 2011 $bln.

Moscow, 14.03.2012 National Foreign Exchange Association, Russia 14

Russian Exchanges (MICEX, RTS)

CME

2011 (Jan-Sep) $ 142 bln $ 45.3 bln.

2010 (Jan-Sep) $ 57,6 bln. $ 12.5 bln.

Sep 2011 (daily) $1,2 bln. $ 0.44 bln.

NFEA rates indicesSince 2005, 13 contributor banks

Since 2010, 16 banks

Since Sep 2010, together with CBR, 30 banks

Since April 2011, 10 banks



Use of NFEA indices• MosPrime rate: launched 2005• FX SWAP Rate: launched 2010• RUONIA (together with the CBR) launched 2010• ROISfix: launched April 2011

Use of NFEA indices (% of respondents MosPrime FX SWAP RUONIA

Settlement/execution of IR derivatives 73% 27% 35%

Fixing base interest rates of loans/bonds 77% 12% 23%

Accounting & Revaluation 58% 19% 19%

Internal pricing & benchmarking 65% 27% 35%

Analysis and statistics purposes 85% 31% 62%

Banks plan to use ROISfix as RUB curve 85%

Russian ISDA (RISDA) 2009Use of Standard documentation (RISDA) of 2009,

in % of all bank respondents

RISDA with Counterparties

RISDA with Clients

Already executed (RISDA in use)

35% 30%

Not yet but plan in future

63% 44%

Do not plan to use RISDA

4% 4%



About NFEA• Established: October 1999 in Moscow • Membership: institutional (local and global banks and brokers) operating in

Russian spot/forward foreign exchange , money markets and derivatives;• Management: the Board (28 market practitioners), 4 co-chairmen, 3 Committees

(on Market Indices; for Professionalism, Ethics & Education; on Legal Affairs) • Projects up to date:

– 1999-2001, 2006: Elaboration of Standards (Code of Conduct and Rules to Conduct Operations (Committee for Professionalism, Ethics & Education),

– Market indices: MosPrime Rate (2005, RUB money market reference rate), NFEA FX SWAP RATE – new index for USD/RUB and EUR/RUB forwards

- Standard Documentation for Russian OTC derivatives transactions (Russian ISDA Agreement) – completed in 2009

- RUONIA – Russian analogue of EONIA (since Sept 2010)- CLS Bank: inclusion of Rub into list of CLS clearable currencies

• International cooperation, partners and working contacts: - EBRD- ISDA (inclusion of MosPrime rate into ISDA definitions 2006)- ACI-The Financial Markets Association


Contact Details

12 Bolshaya Nikitskaya st, Moscow, 125009, Russia, Tel.+7 (495) 629-9510, 629-9709www.nva.ru, www.nfea.ru; www.ruonia.ru

@ The Copyright National Foreign Exchange Association, 2012 All rights reserved. Any reproduction is only permitted with prior consent of NFEA.

Documents

London, 14.03.2012National Foreign Exchange Association, Russia1 Russian Rates derivatives volumes Dmitry Piskulov, Ph.D. (econ.) Chairman of NFEA Management