Transcript Document

Recent trends in Russian
Ruble derivatives 2012-13
Dmitry Piskulov, Ph.D. (econ.)
Chairman of NFEA Management Board,
Chairman of Committee for Professionalism
Moscow, 10 Sep 2013
"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference
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Russian FX market 2008-13
120
100
80
60
40
FX spot on-shore
20
FX swaps on shore
0
Total FX on-shore
Apr 08
Oct 08
Moscow, 10 Sep 2013
Apr 10
Apr 11
Apr 12
Apr 13
London RUB FX
"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference
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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
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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
633.0
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Russian OTC FX&IR derivatives
ADT bln.US$
FX derivatives
IR derivatives
April 2012
July 2012
$4.8 bln.
$4.8 bln
$270 mln.
$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
$5.0 bln.
n.a
• FX derivatives: FX swaps(longer than spot), Forward outrights +
NDF, FX options
• IR derivatives: Cross currency swaps, Interest rate swaps, OIS
Moscow, 10 Sep 2013
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Interest rate derivatives
Very small Daily volumes (ADT), tend to rise in 2013,
bln.$
0.35
0.317
0.3 0.272
0.25
0.25
0.231
0.186 0.196 0.173
0.15
0.2
0.154
0.15
0.1
0.05
0.096
0.250 0.246
0.201 0.207
0.109
CCS
IRS+OIS
Total
0.045
0
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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 options
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Volumes of USD/RUB FX
derivatives in London
Bank of England UK FXJSC: ADT in 2008-13
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
Moscow, 10 Sep 2013
$22.0 bln $34.4 bln.
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Exchange traded derivatives
ADT, US$ bln.
Equity futures
FX futures
Interest rate futures
-on short term rates
- on long term (OFZ)
Options
Commodity futures
TOTAL
Jan 2013
2,75
2,06
0,008
0,000004
0,008
0,35
0,13
5,30
Apr 2013
4,30
2,76
0,022
0,000033
0,022
0,54
0,22
7,85
Jun 2013
4,57
2,83
0,066
0,00077
0,065
0,62
0,20
8,29
Source: Moscow Exchange, St.Petersburg Exchange
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Today NFEA indices family
Since 2005
Since Jan 2010
Since Sep 2010, together with CBR
Since April 2011
Since Jan 2013
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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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