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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 1 Ruble Rates derivatives statistics Sources: • 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 (20082011) London, 14.03.2012 National Foreign Exchange Association, Russia 2 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). London, 14.03.2012 National Foreign Exchange Association, Russia 3 Derivative Instruments Derivatives (according to FFMS definition) – Forwards (outright) – Swaps (all regardless the maturity. Are shortdated swaps – O/N, T/N, S/N derivatives?) – Options – Futures London, 14.03.2012 National Foreign Exchange Association, Russia 4 On-shore derivatives in 2011: Breakdown by underlying assets Fixed Income Commodity 1,70% Equity 0,10% 0,90% Foreign Exchange Interest Rate Credit 0,60% Interest Rate 18,10% Equity Fixed Income Commodity Credit Foreign Exchange 78,60% London, 14.03.2012 National Foreign Exchange Association, Russia 5 On-shore RUB derivatives monthly volumes (CBR, NFEA Surveys) bln.US$ Total (all instruments): FX derivatives: - all swaps: - ex o/n,t/n swaps(pure derivative) Interest rate derivatives 2011 2008 ~ 110.0 276.4 650-700 263.5 90-100 11.9 6.12 Growth % - + Equity derivatives 0.5 3.1 - Commodity derivatives 1.1 3.0 - 0.06 0.49 - 0.4 0.2 + Fixed income derivatives Credit derivatives London, 14.03.2012 National Foreign Exchange Association, Russia 6 2008-2011 Trends in share of Russian derivatives by underlying assets Growth or Decline % 2011 2008 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 London, 14.03.2012 National Foreign Exchange Association, Russia 7 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% London, 14.03.2012 National Foreign Exchange Association, Russia 8 RUB FX in London Source: UK BOE FXJSC semi-annual survey, Feb 2012 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) Total ADT of UK market, $bln. 16 11 10 MXN, KRW SGD, SEK SGD, MXN $1549 bln $2191 bln $1972 bln 0.58% 0.63% 0.89% Percentage of RUB in total UK FX Moscow, 14 Mar 2012 National Foreign Exchange Association, Russia 9 Volumes of USD/RUB FX instruments in London Bank of England UK FXJSC: ADT in 2008-11 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: $9.0 bln $13.9 bln $17.6 bln London, 14 Mar 2012 $10.1 bln National Foreign Exchange Association, Russia 10 Currency pairs FX derivatives EUR/USD 10,6% EUR/RUB 16,5% Другие 2,2% As in previous years USD/RUB dominates in FX derivatives (similar to spot market) USD/RUB 74,4% London, 14.03.2012 National Foreign Exchange Association, Russia 11 RUB FX deriv: onshore vs offshore US$ Bln. Oct 09 Apr 10 Oct 10 Apr 11 Oct 11 0.6 1.0 0.89 1.34 0.78 FX swaps 21.0 20.5 24.7 28.9 33.8 FX options 0.03 0.17 0.36 0.2 0.22 Total RUSSIAN 21.6 21.7 26.0 30.4 34.8 1.52 2.3 2.3 2.6 2.3 4.3 5.8 4.0 4.6 6.4 1.28 0.83 1.38 1.25 1.13 7.1 8.9 7.7 8.5 9.8 DOMESTIC FX deriv.: Outrights + NDF LONDON FX deriv.: Outrights + NDF FX swaps Other (incl. options) Total LONDON London, 14.03.2012 National Foreign Exchange Association, Russia 12 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 London, 14.03.2012 % National Foreign Exchange Association, Russia 13 RUB/USD Futures (Russia vs CME) • Quick rise in RUB/USD Futures trading volume in 2011 $bln. Russian Exchanges CME (MICEX, RTS) 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. Moscow, 14.03.2012 National Foreign Exchange Association, Russia 14 NFEA rates indices Since 2005, 13 contributor banks Since 2010, 16 banks Since Sep 2010, together with CBR, 30 banks Since April 2011, 10 banks London, 14.03.2012 National Foreign Exchange Association, Russia 15 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 London, 14.03.2012 85% National Foreign Exchange Association, Russia 16 Russian ISDA (RISDA) 2009 Use 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% London, 14.03.2012 National Foreign Exchange Association, Russia 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 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 London, 14.03.2012 National Foreign Exchange Association, Russia 18 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. London, 14.03.2012 National Foreign Exchange Association, Russia 19