Transcript Document

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
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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)
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Association, Russia
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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).
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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
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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%
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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
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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
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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%
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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
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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
$10.1 bln
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Currency pairs FX derivatives
EUR/USD
10,6%
EUR/RUB
16,5%
Другие
2,2%
As in previous years
USD/RUB
dominates in FX
derivatives (similar
to spot market)
USD/RUB
74,4%
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RUB FX deriv: onshore vs offshore
US$ 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
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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
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%
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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.
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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
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Use of NFEA indices
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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
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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%
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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 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
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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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