Moscow, 10 Sep 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 1

Recent trends in Russian Ruble derivatives 2012-13

Dmitry Piskulov, Ph.D. (econ.)

Chairman of NFEA Management Board,

Chairman of Committee for Professionalism

Russian FX market 2008-13

0

20

40

60

80

100

120

Apr 08 Oct 08 Apr 10 Apr 11 Apr 12 Apr 13

FX spot on-shore

FX swaps on shore

Total FX on-shore

London RUB FX

Moscow, 10 Sep 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 2

Russian derivatives volume statistics

• Statistics of CBR on FX and IR derivatives ceased be published since Feb 2013

• Domestic markets turnover below – only OTC interbank

• CBR promises to resume publication in new format in Sep-Oct 2013

Moscow, 10 Sep 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 3

Global derivatives amounts• Source: BIS, June 2012 • Notional principal amounts outstanding, trln.US$

By underlying asset June 2011 December 2012 OTC Exchanges

Foreign exchange 64.7 67.0 0.325

Interest rate contracts 553.2 490.0 55.6

Equity linked contracts 6.8 6.3 3.5

Commodity contracts 3.2 2.6 n.a

Credit default swaps 32.4 25.0 n.a

Other 46.5 42.1 n.a

Total contracts 706.9 633.0Moscow, 10 Sep 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 4

Russian OTC FX&IR derivatives ADT bln.US$ FX derivatives IR derivatives

April 2012 $4.8 bln. $270 mln.

July 2012 $4.8 bln $96 mln.

Oct 2012 $4.8 bln $186 mln.

Jan 2013 $4.1 bln. $231 mln.

Apr 2013 $6.1 bln. $250 mln.

July 2013 $4.4 bln. $207 mln.

Aug 2013 $5.0 bln. n.a

• FX derivatives: FX swaps(longer than spot), Forward outrights + NDF, FX options

• IR derivatives: Cross currency swaps, Interest rate swaps, OISMoscow, 10 Sep 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference

5

Interest rate derivatives

Apr 1

2

May

12

Jun

12

Jul 1

2

Aug 1

2

Sep12

Oct

12

Nov 1

2

Dec 1

2

Jan

13

Feb 1

3

Mar

13

Apr 1

3

May

13

Jun

13

Jul 1

30

0.05

0.1

0.15

0.2

0.25

0.3

0.35

0.272

0.25

0.154

0.096

0.045

0.15

0.186

0.109

0.196

0.231

0.173

0.317

0.25

0.201

0.246

0.207

CCS

IRS+OIS

Total

Very small Daily volumes (ADT), tend to rise in 2013,

bln.$

Moscow, 10 Sep 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 6

Russian IRD features• Very small volumes of IRD in comparison to FX

derivatives (1000 times lower)• RUB IRD market is in London• OIS – still underdeveloped, ADT in range from

$3 to $50 mln.• Moscow Exchange interest rate futures – low

volumes• FRA almost disappeared in 2013• No available statistics on international use of

Interest rate futures and optionsMoscow, 10 Sep 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 7

Volumes of USD/RUB FX derivatives in London

Instrument Oct 2009 Apr 2011 Oct 2012 Apr 13

FX spot $1.9 bln $5.5 bln $8.5 bln $14.3

NDF $1.2 bln $2.2 bln $3.4 bln $4.2

Outrights $0.3 bln. $0.4 bln. $2.4 bln $5.1

FX swaps $4.3 bln $4.6 bln $5.4 bln $8.7

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

FX options $1.2 bln $0.8 bln $2.0 bln $1.7

Total: $9.0 bln $13.9 bln $22.0 bln $34.4 bln.

Moscow, 10 Sep 2013 8

Bank of England UK FXJSC: ADT in 2008-13

"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference

Exchange traded derivativesADT, US$ bln. Jan 2013 Apr 2013 Jun 2013

Equity futures 2,75 4,30 4,57 FX futures 2,06 2,76 2,83 Interest rate futures 0,008 0,022 0,066 -on short term rates 0,000004 0,000033 0,00077 - on long term (OFZ) 0,008 0,022 0,065

Options 0,35 0,54 0,62 Commodity futures 0,13 0,22 0,20 TOTAL 5,30 7,85 8,29

Source: Moscow Exchange, St.Petersburg Exchange

Moscow, 10 Sep 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 9

Today NFEA indices familySince 2005

Since Jan 2010

Since Sep 2010, together with CBR

Since April 2011

Since Jan 2013

Moscow, 10 Sep 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 10

Moscow, 10 Sep 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 11

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 derivative transactions (Russian ISDA Agreement) – completed in 2009, new version in 2011 (approved FFMS)

- RUONIA – Russian analogue of EONIA, SONIA (since Sept 2010)- ROISFIX – OIS interest rates index (since April 2011)- CLS Bank: inclusion of Rub into CLS clearable currencies (since end 2011)

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

Moscow, 10 Sep 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 12

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.