Transcript Moscow

NFEA indexes for
Russian Money Market
Dmitry Piskulov, Ph.D. (econ.)
Chairman of NFEA Management Board,
Chairman of Committee for Professionalism
Moscow, 26 Nov 2012
"Russian money market" Seminar CBR-Moscow Exchange
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RUB domestic money market
Average daily volumes, US$ bln., Source: CBR
Bln.$
All tenors
Interbank deposits
Domestic
Crossborder
REPOs
Domestic
Crossborder
Jan10
$7.5 bln $2.7 bln $2.2 bln
0
Oct 10
$6.5 bln $1.6 bln $5.6 bln
0
Feb 11
$6.2 bln $2.1 bln $5.1 bln
0
Sep
11
$8.3 bln $2.8 bln $5.6 bln
0
Off-shore RUB MM (non-resident to non resident): no
Jan-Apr12
$9.2 bln $2.4 bln $4.2 bln $1.7 mln
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Jul-Oct12
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$9.0 bln
$3.3 bln
$2.2 bln $20.8 ml
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Russian FX market 2008-12
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Global derivatives amounts
• Source: BIS, June 2012
• Notional principal amounts outstanding, trln.US$
By underlying asset June 2011
June 2012
OTC
Exchanges
Foreign exchange
64.7
66.6
0.325
Interest rate contracts
553.2
494.0
55.6
Equity linked contracts
6.8
6.3
3.5
Commodity contracts
3.2
3.0
n.a
Credit default swaps
32.4
26.9
n.a
Unallocated
46.5
42.0
n.a
Total contracts
706.9
638.9
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Russian OTC FX& IR derivatives
trading volumes
ADT bln.US$
FX derivatives
IR derivatives
April 2012
$4.8 bln.
$270 mln.
May 2012
$5.0 bln
$250 mln.
June 2012
$5.3 bln.
$154 mln.
July 2012
$4.8 bln
$96 mln.
Aug 2012
$5.1 bln
$46 mln.
Sep 2012
$5.7 bln
$150 mln.
Oct 2012
$4.8 bln
$186 mln.
• FX derivatives: FX swaps(longer than spot),outright/NDF,FX options
• IR derivatives: Cross currency swaps, Interest rate swaps, OIS
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RUB markets outside Russia
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Trading volumes(ADT) reported off-shore:
FX instruments:
$ 18-19 bln.
Money market instruments: $ 2.0-3.0 bln.
Interest rate derivatives:
$ 0.3-0.5 bln.
RUB bonds trading:
$ 0.5-1 bln.
Total (FX,MM,Derivat.):
$ 20-22 bln.
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Volumes of USD/RUB FX
instruments in London
Bank of England UK FXJSC: ADT in 2008-12
Instrument
Oct 2009
Apr 2011
Apr 2012
FX spot
$1.9 bln
$5.5 bln
$7.6 bln -
NDF
$1.2 bln
$2.2 bln
$2.4 bln +
Outrights
$0.3 bln.
$0.4 bln.
$1.7 bln +
FX swap
$4.3 bln
$4.6 bln
$4.4 bln -
Ccy swaps
$0.1 bln
$0.4 bln
$0.2 bln -
FX options
$1.2 bln
$0.8 bln
$1.1 bln +
Total:
$9.0 bln
$13.9 bln
$17.4 bln
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Choice of right interest rate
QUESTION: What interest rate is best (true
and representative)?
• Quoted at certain time?
• Based on actual deals?
• Synthetic?
And FOR WHAT PURPOSES?
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History of NFEA indices
• MosIBOR – Moscow InterBank Offered Rate (Aug 2001Jan2010) - first interbank indicative MM index launched by
NFEA by LIBOR methodology
16 C o n t r i b u t o r b a n k s
ABN Amro
MDM
Alfa
Petrocommerce
Citibank
Raiffeisen
DIB (now Trust)
Rosbank
CSFB
Sberbank
Evrofinance
Vneshtorgbank
International Moscow Bank
Vnesheconombank
• RIBER – Ruble interbank Exchange Rate (2006-2009)
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MosIBOR: what was wrong
• 16 banks of different (unequal) credit quality:
one bank quote 4.0% other 8%
• As result MosIBOR represented simple
average – dilemma of “average temperature
in hospital”
• Non representative % rate for commercial
purposes (benchmark)
• MIBOR and MIACR (of CBR)
have same problems
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Today NFEA, CBR rates indices
Since 2005, 10 contributor banks
Since 2010, 14 banks
Since Sep 2010, together with
CBR, 29 banks
Since April 2011,
9 banks
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• Launched in April 2005 by request of EBRD
(first international RUB bond issue)
• Methodology same as LIBOR: offered rates quoted by
12:15, published at 12:31 by Thomson Reuters
• Homogenous list of contributor banks representing same
(similar) credit quality –10 banks from 01/12/12 (max 12 in
2011 before LIBOR crisis) – includes Credit risk component
• Tenors: 1-6 months
• in 2008 was included into ISDA Definitions 2006
as recommended global reference rate for RUB instruments
• Similar to LIBOR most used globally: >200,000 times seens
monthly (of them majority – 3 months and 6 months)
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Contributors of MosPrime rate
As per 01 October 2012
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Citibank
Deutsche bank
Gazprobank
HSBC (РR)
ING Bank (Eurasia)
RBS
Raiffeisenbank
Rosbank *
Sberbank
Unicredit bank
VTB
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Rosbank ceases to take part in MosPrime rate from 01 Dec 2012
WestLB Vostok and Bank of Moscow excluded since 15/09/2012
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Graph of MosPrime 2011-12
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• Since Sep 2010 - Actual O/N trades in the market
• Graph RUONIA (yellow) vs MosPrime rate O/N (blue)
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Contributors as per 01.10.2012
• VTB
• Goldman Sachs
• Deutsche
• ING Bank (Eurasia)
• RBS
• Credit Suisse (Moscow)
• Metallinvestbank
• Morgan Stanley
• Raiffeisen
• Rosbank
• Sberbank
• Citibank
• HSBC
• Unicredit
Moscow, 26 Nov 2012
Launched December 2011
Indicative FX swap rates
(swap points) – mid rate
USD/RUB + EUR/RUB
Tenors: 1w, 1m, 2m, 3m, 6m
Published 16:31 MSK
Allows to calculate
Implied RUB interest rate
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Graph of implied % rate from
NFEA FX Swap rate 2011-12
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NFEA RUONIA OIS FIXING • Idea: ICAP plc
Contributors ROISFIX 01.10.12
• Deutsche
• ING Bank (Eurasia)
• RBS
• Metallinvestbank
• Merrill Lynch International
• Raiffeisenbank
• Citibank
• Troika Dialog
• Unicredit
Moscow, 26 Nov 2012
• Launched April 2011
• Indicative fixed rates of RUB
Overnight Index Swaps (mid
rates) at 12:31 MSK
• Tenors: 1w, 1m, 2m, 3m, 6m
OIS % rate - free of credit
risk, clean value of money
Problem: no market
liquidity
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Graph of ROISFix 2011-12
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Spread OIS–LIBOR(MosPrime)
• Difference or "spread" between LIBOR/MosPrime and
OIS rates - important measure of risk and liquidity in the
money market, strong indicator for the relative stress in
the interbank market.
• A higher spread (high Libor) - indication of a decreased
willingness to lend by major banks, a lower spread
indicates higher liquidity in the market.
• Spread can be viewed as indication of
banks' perception of creditworthiness
of other financial institutions and the
general availability of funds for lending.
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Regulators: monitor spread
LIBOR-OIS or MosPrime-ROISFix
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About NFEA
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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
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Contact Details
12 Bolshaya Nikitskaya st,
Moscow, 125009, Russia,
Tel.+7 (495) 629-9510, 629-9709
www.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.
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