Russian RUB FX spot &
derivatives markets in 2014
Dmitry Piskulov, Ph.D. (econ.)
Chairman of NFEA Board;
Member of Monetary Policy Council
of Association of regional banks ”Russia”
Moscow, 20 November 2014
Moscow Conference
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Current trends in RUB markets
1. Continued RUB depreciation against USD
2. CBR monetary policy: inflation targeting is fully in force by
2015. BKT-RUB corridor abandoned
3. CBR increased Key rate from 5.5 to 9.5% - higher RUB
%%
4. High capital outflow in the country: $120 bln. est. in 2014
5. RUB FX market volumes generally in decline
6. Declining RUB liquidity and volumes in domestic MM
7. Looming Banking crisis (capital adequacy down)
8. New refinancing from the CB: ccy repo,reverse FX swap
9. RUB increased use in CIS (prospects in BRICS)
Moscow, 20 November 2014
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Positive trends
• Improved current trade& C/A balance (reduction of
import)
• Government budget fulfilled because of increased
energy export revenues in Ruble terms
• Sanctions bad = sanctions good : create incentives for
replacing import with local productions
• Facing eastwards: stronger ties with Asian partners
(China, Vietnam, Hong Kong, North Korea) – may use
Ruble as foreign trade payment currency
Moscow, 20 November 2014
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RUB FX trading volumes
• Key features:
• On-shore: Declining volumes of RUB on-shore FX due to
lower interbank trading, lower energy prices
• Off-shore (London) RUB volumes fluctuate:
– Increased in April 2014
– But may go down again in Oct 2014
• Increased volatility looming after 2015
• Draft Federal Law on regulation of retail Forex dealers
(brokers) should pass second reading at State Duma –
may potentially result in increased client FX flows to
banks, require banks to
create FX dealer subs
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Average Daily Turnover of global
FX market in 1986-2013
U$ Bln.
1986 1992
1998
Net
turnover
$355
$820
$1,527 $1,934 $3,971 $5,345
FX spot
212
394
568
631
1,488
2,046
58
128
209
475
680
324
734
954
1,759
2,228
FX options
n.a.
87
119
207
337
CCY swaps
n.a.
10
21
43
54
Forwards
FX swaps
143
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2014
2004
Moscow Conference
2010
2013
5
CCYshares in global FX 2007-2013
Rank
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)
Moscow0.7
Conference
0.9
1.0
Moscow, 20 November 2014
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Largest on-shore FX mkt 2007,2013
Ra
nk
Country
2007 ADT, $
bln.
2007 Share
global %
2013 ADT, $
bln.
2013 Share
global %
1,359
34.1 %
2,726
40.9%
1
UK
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%
7
Largest USD/CCY pairs
in global FX
EUR/USD
USD/JPY
GBP/USD
USD/AUD
USD/others
USD/CAD
USD/CHF
USD/RUB
Moscow, 20 November 2014
2010
28%
14%
9%
6%
11.2%
5%
4%
…
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2013
24.1%
18.3%
8.8%
6.8%
4.0%
3.7%
3.4%
1.5% (11-th)
8
Global derivatives amounts
• Notional principal amounts outstanding, trln.US$
By underlying asset
June 2012
OTC
Exchanges*
June 2014
OTC
Exchanges*
Foreign exchange
66.7
0.33
74.8 +
0.38 +
Interest rate contracts
496.2
48.5
563.2 +
65.6 +
Equity linked contracts
5.3
5.2
6.9+
7.5 +
Commodity contracts
3.0
2.2 -
n.a
Credit default swap
26.9
n.a.
19.5 -
n.a
Other
42.2
n.a.
24.8
n.a
Total contracts
641.3
691.5+
*Data for Exchange traded derivatives (futures&options) on
Dec 2012 and Jun 2014 respectively
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Russian domestic cash &
derivatives markets 2014
• In 2013 CBR stopped provision of monthly statistics of volumes of FX
and IR instruments, resumed in 2014 on short-tailed basis
US$ bln. (ADT)
FX instruments
Cash (underlying)
Derivatives
OTC
Exchange
$50-68 bln.
$2-3
$2-3 bln.
$10-11 bln.(IBL)
$10.5 (Repo)
$0.3-0.6
$0.06
$15-18 bln.
$0.1-0.2
$3-4 bln.
Commodity
n.a.
n.a.
$0.2-0.5 bln
Credit derivatives
n.a.
0.01
-
Interest Rate
instruments
Equity
Moscow, 20 Nov 2014
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Domestic FX market volumes
2003-2014 (all ccy vs USD/RUB)
100
90
80
70
60
50
40
30
all CCY
20
10
USD/RUB2
0
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
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Russian domestic FX spot
market volumes (ADT) 2008-2014
Month
FX market ADT(hi,low),
all currencies
MOEX
Jul 2008
Oct 2009
Oct 2010
Oct 2011
Jan-Dec 2012
Jan-Dec 2013
Jan-Oct 2014
$ 104.2 bln.
$ 54.2 bln.
$ 66.7 bln.
$ 74.8 bln
$ 56-74 bln
$ 57-72 bln.
$ 49-68 bln.
$10.5 bln.
$10.6 bln
$11.3 bln
$13.9 bln.
$16.6 bln.
$17.8 bln.
$25.7 bn !
Source: CBR, Moscow Exchange, NFEA
Moscow, 20 November 2014
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On-shore OTC FX volumes 2014
ADT
bln.US$
FX spot*
FX derivatives
2014 Q1
$66.2 bln.
$2.8 bn.
2014 Q2
$57.4 bln
$2.4 bln.
2014 Q3
$53.8 bln
$2.3 bln.
2014 Q4
(October)
$51.2 bln.
$3.9 bln.
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On-shore vs Off shore FX
market 2008-13
120
100
80
60
Total FX on-shore
40
London RUB FX
20
0
Apr 08 Oct 08 Apr 10 Apr 11 Apr 12 Apr 13 Apr 14
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RUB markets outside Russia
•
•
•
•
Trading volumes(ADT) reported off-shore:
FX instruments:
$ 28-30 bln.
Money market instruments: $ 1.0-2.0 bln.
Interest rate derivatives:
$ 0.3-0.5 bln.
RUB bonds trading:
$ 1-2 bln.
Total (FX,MM,Derivat.):
$30 - 35 bln. daily
Moscow, 20 Nov 2014
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Volumes of USD/RUB FX
in London
Bank of England UK FXJSC: ADT in 2009-14
Instrument
Oct 2009
Apr 13
Oct 13
Apr 14
FX spot
$1.9 bln
$14.3
$10.7
$13.9
NDF
$1.2 bln
$4.2
$2.3
$2.1
Outrights
$0.3 bln.
$5.1
$1.3
$2.4
FX swaps
$4.3 bln
$8.7
$7.9
$8.0
Ccy swaps
$0.1 bln
$0.4
$0.2
$0.2
FX options
$1.2 bln
$1.7
$0.9
$1.9
Total:
$9.0 bln
Moscow, 20 November 2014
$34.4 bln. $23.3 bln. $28.5 bln.
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Russian initiatives to promote
Ruble settlements for export
• 24 April: meeting at First Vice-premier I.Shuvalov: MinFin
and MinEconomy were tasked to elaborate measures to
increase Ruble payments avoid use of USD in export
• May: V.Putin adopted legislation enabling Russian
exporters receive Rubles as export proceeds.
• August: Gazpromneft pioneer contract in Rub
• September: I.Shuvalov “We need to reduce USD payments
with Asia. New export contracts should be in Rubles”
• THIS MAY INCREASE FX MARKET
TURNOVER in long-run
Moscow, 20 November 2014
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RUB prospects as reserve CCY
Rank
by
share
Currency
Currency
Share % 2013
Global GDP %
In 2013
Rank by GDP
Share in
COFFER (IMF)
Q4-13
1
USD (US Dollar)
87.0
22,7% (0)
61.2% (1)
2
EUR (Euro)
33.4
23,5% (1)
24,5% (2)
3
JPY (Japanese yen)
23.0
6.6% (3)
3,9% (4)
4
GBP (Pound sterling)
11.8
3.4% (6)
4.0% (3)
5
AUD (Australian dollar)
8.6
2,0% (12)
1,6% (6)
6
CHF (Swiss frank)
5.2
0.9% (20)
0,2%
7
CAD (Canadian dollar)
4.6
2,5% (11)
1,7% (5)
8
MXN (Mexican peso)
2.5
1,8% (14)
….
9
CNY, CNH
2.2
12,4% (2)
…
………………………
12
RUB (Russian Ruble)
1.6
2,9% (8-th)
19
BRL
1.1
3.0%
Others 2.9%
18
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)
NFEA will merge with NSMA by end of 2015
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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.
Moscow, 20 November
2014
Moscow Conference
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