Moscow, 15 Oct 201314 IRSF EBS-Moscow Exchange-NFEA1 Update of Ruble markets: rocketing off-shore Dmitry Piskulov, Ph.D. (econ.) Chairman of NFEA Board.

Moscow, 15 Oct 2013 14 IRSF EBS-Moscow Exchange-NFEA 1

Update of Ruble markets: rocketing off-shore

Dmitry Piskulov, Ph.D. (econ.)

Chairman of NFEA Board & Committee for

Professionalism, Ethics and Education,

Moscow, 15 Oct 2013 14 IRSF EBS-Moscow Exchange-NFEA

2

Мarket volumes 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)

Bank for International Settlements (BIS)

NFEA Annual Survey of Bank Derivatives (2008-2012)

Average Daily Turnover of global FX market in 1986-2010

U$ Bln. 1986 1992 1998 2004 2010 2013

Net turnover

$355 $820 $1,527 $1,934 $3,971 $5,345

FX spot 212 394 568 631 1,488 2,046

Forwards143

58 128 209 475 680

FX swaps 324 734 954 1,759 2,228

FX options

CCY swaps

n.a.

n.a.

87

10

119

21

207

43

337

54

Moscow, 15 Oct 2013 14 IRSF EBS-Moscow Exchange-NFEA 3

Recent trends in RUB markets • New financial megaregulator created: Bank of

Russia Service for Financial Markets (01Sep13)• Reform of CBR RUB refinancing mechanism (13

Sep 2013)– Simplification of refinancing instruments– Introduction of Key Rate (5.5%)

• Stable (sometimes) declining RUB on-shore interbank volumes

• Counterparty risk in capital adequacy• Sharp growth in off-shore RUB

Moscow, 15 Oct 2013 14 IRSF EBS-Moscow Exchange-NFEA

4

CCYshares in global FX 2007-2013Rank Currency Share % 2007 Share % 2010 Share % 2013

1 USD (US Dollar) 86.3 84.9 87.0

2 EUR (Euro) 37.0 39.1 33.4

3 JPY (Japanese yen) 16.5 19.0 23.0

4 GBP (Pound sterling) 15.0 12.9 11.8

5 AUD (Australian dollar) 6.7 7.6 8.6

6 CHF (Swiss frank) 6.8 6.4 5.2

7 CAD (Canadian dollar) 4.2 5.3 4.6

8 MXN (Mexican peso) 1.3 1.3 2.5

9 CNY, CNH 0.5 (22-th) 0.9 (17-th) 2.2

… ………………………

12 RUB (Russian Ruble) 0.8 (17-th) 0.9 (16-th) 1.6

19 BRL (Braz. real) 0.5 0.7 1.1

20 INR (Indian rupee) 0.7 0.9 1.0 5

Largest on-shore FX mkt 2007,2013Rank

Country 2007 ADT, $ bln.

2007 Share global %

2013 ADT, $ bln.

2013 Share global %

1 UK 1,359 34.1 % 2,726 40.9%

2 USA 664 16.6 % 1,263 18.2%

3 Singapore 231 5.8 % 383 5.7%

4 Japan 238 6.0 % 374 5.6%

5 Hong Kong 175 4.4 % 274 4.1%

6 Switzerland 242 6.1 % 216 3.2%

7 France 120 3.0 % 190 2.8%

8 Australia 170 4.2 % 182 2.7%

9 Netherlands! 25 0.6 % 112 1.7%

10 Germany 99 2.5 % 111 1.7%

11 Denmark 86 2.2 % 103 1.5%

12 Canada 60 1.5 % 65 1.0%

13 Russia 50 1.3 % 61 0.9% 6

Largest USD/CCY Pairs in global FX

2010 2013

EUR/USD 28% 24.1%

USD/JPY 14% 18.3%

GBP/USD 9% 8.8%

USD/AUD 6% 6.8%

USD/others 11.2% 4.0%

USD/CAD 5% 3.7%

USD/CHF 4% 3.4%

USD/RUB … 1.5% (11-th)

14 IRSF EBS-Moscow Exchange-NFEA 7Moscow, 15 Oct 2013

Moscow, 15 Oct 2013 14 IRSF EBS-Moscow Exchange-NFEA 8

FX spot on-shore interbank market in 2008-2012

Russian on-shore FX spot ADT: methodology of BIS

Month FX spot market ADT MOEX

Jul 2008 $ 104.2 bln. $10.5 bln.

Oct 2009 $ 54.2 bln. $10.6 bln

Oct 2010 $ 66.7 bln. $11.3 bln

Oct 2011 $ 74.8 bln $13.9 bln.

Jan-Dec 2012 $ 56-74 bln $16.6 bln.

Jan-Aug 2013 $ 43-61 bln. 12-19 bln.

14 IRSF EBS-Moscow Exchange-NFEA9

On-shore vs Global RUB FX market in April 2013

Domestic OTC market average daily turnover (ADT)

RUB On-shore (CBR data)

RUB Global total(BIS data)

FX spot $22.9 $ 37.0

Outright forwards $0.6 $ 9.0

FX swaps $34.6 $ 37.0

FX options $0.34 $3.0

Total: $58.5 $85.0

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 10

RUB markets outside RussiaTrading volumes(ADT) reported off-shore:

• FX instruments: $ 35-37 bln.

• Money market instruments: $ 2.0-3.0 bln.

• Interest rate derivatives: $ 0.3-0.5 bln.

• RUB bonds trading: $ 1-2 bln.

Total (FX,MM,Derivat.): $ 40-45 bln.

Moscow, 15 Oct 2013 1114 IRSF EBS-Moscow Exchange-NFEA

Volumes of USD/RUB FX instruments 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. 12

Bank of England UK FXJSC: ADT in 2008-13

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, OIS13

Interest rate derivativesVery small Daily volumes (ADT), tend to rise in 2013, bln.$

14

On-shore exchange traded derivativ.

ADT, 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

15

Today NFEA indices familySince 2005

Since Jan 2010

Since Sep 2010, together with CBR

Since April 2011

Since Jan 2013

Moscow, 15 Oct 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 16

Moscow, 15 Oct 2013 14 IRSF EBS-Moscow Exchange-NFEA 17

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 2012)- 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, 15 Oct 2013 14 IRSF EBS-Moscow Exchange-NFEA 18

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.