2011 Overview of RUB
FX & MM & Derivative Market
Recent Developments
Dmitry Piskulov, Ph.D. (econ.)
Member of NFEA Management Board,
Chairman of the Committee for
Professionalism;
ICAP , Senior Adviser
London, 12 Apr 2011
National Foreign Exchange Association, Russia
1
RUB mkt recent developments
• Moscow as International Financial Center (MIFC) plans
accelerated, joint UK-Russia groups created
• New trend: RUB denominated Eurobonds issues
• Merger of MICEX and RTS under way
• Increasing interest rates/RUB appreciation: capital inflow
• Law on Clearing (adopted in Feb 2011) introduces closeout netting (CON) by Aug 2011: expected rise in domestic
derivatives volumes
• New version of Russian ISDA 2011 to be completed
• New Ruble indices: RUOISfix (15 Apr11), RUONIA
(08Sep10), NFEA FX SWAP
• CNY/RUB new cross rate to develop direct trading
London, 12 Apr 2011
National Foreign Exchange Association, Russia
2
Where RUB markets?
Markets in Russian Ruble
denominated instruments
• ON SHORE: only domestic (residents)
• OFF-SHORE: only non-residents
• ON-SHORE deals with OFF-SHORE:
cross-border RUB transactions
HOW GLOBAL IS RUB?
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National Foreign Exchange Association, Russia
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How Global the RUB is
• Still predominantly local or regional (CIS) currency
• Slow but gradual globalization:
• Small share of global FX turnover (0.8-0.9%)
• Limited number of Rub denominated securities
traded internationally (some Government bonds,
EBRD bonds)
• Limited access of foreigners to Russian financial
market
• Increasing interest to RUB instruments from
global players (NY, HK, Tokyo, Singapore)
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National Foreign Exchange Association, Russia
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What RUB instruments
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•
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FX spot +forwards (inc.FX swaps)
FX derivatives (NDFs, Options)
Cash MM deposits
REPOs
Interest rate derivatives: (IRS, OIS, FRA, CCS,
IRO)
• Domestic RUB bonds (OFZ, corpor.)
• RUB denominated Eurobonds (new)
London, 12 Apr 2011
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5
Russia on-shore FX mkt 2007 vs 2010
Country RANK
2010
April 2007
ADT, $bln.
Share of
global %
April 2010
ADT, $bln.
Share of
global %
1
United Kingdom
1,453
34.6 %
1,854
36.7%
2
USA
745
17.4 %
904
17.9%
3
Japan
250
5.8 %
312
6.2%
4
Singapore
242
5.6 %
266
5.3%
5
Switzerland
254
5.9 %
263
5.2%
6
Hong Kong SAR
181
4.2 %
238
4.7%
7
Australia
176
4.1 %
192
3.8%
8
France
127
3.0 %
152
3.0%
9
Denmark
88
2.4%
121
2.4%
10
Germany
101
2.4 %
109
2.1%
11
Canada
64
1.5 %
62
1.2%
12
Sweden
44
1.0%
45
0.9%
13
Korea
35
0.8%
44
0.9%
14
Russia
50
1.3 %
42
0.8%
6
RUB share in global FX 2007 vs 2010
Rank
Currency
Share % 2007
Share % 2010
1
USD (US Dollar)
86.3
84.9
2
EUR (Euro)
37.0
39.1
3
JPY (Japanese yen)
16.5
19.0
4
GBP (Pound sterling)
15.0
12.9
5
AUD (Australian dollar)
6.7
7.6
6
CHF (Swiss frank)
6.8
6.4
7
CAD (Canadian dollar)
4.2
5.3
…
…..
….
…
15
INR (Indian rupee)
0.7
0.9
16
RUB (Russian Ruble)
0.8 (17-th)
0.9
20
BRL (Brazilian real)
0.5
0.7
30
CNY (Chinese renminbi)
0.4 (22-th)
0.1
London, 12 Apr 2011
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7
RUB money market 2010-11
• Domestic RUB interbank market smaller than
FX market: average daily turnover (ADT), bln.$
Interbank deposits
REPOs
CrossDomestic
CrossO/N, 1wk Domestic
border
Jan10
Oct 10
Feb 11
$7.5 bln
$6.5 bln
$6.2 bln
$2.7 bln
$1.6 bln
$2.1 bln
border
$2.2 bln
$5.6 bln
$5.1 bln
0
0
0
Source: CBR, February 2011
• Off-shore RUB MM: no data
London, 12 Apr 2011
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FX spot on-shore interbank
market in 2008-2011
Russian on-shore FX spot ADT: highest mid 2008; dropped in
crisis; stable in 2009-10; decline in 11
Month
FX spot market ADT
MICEX
Jul 2008
Apr 2009
Oct 2009
Feb 2010
Oct 2010
$ 119.2 bln.
$ 46.2 bln.
$ 54.2 bln.
$ 53.4 bln
$ 66.7 bln.
$10.5 bln.
$ 9.8 bln
$10.6 bln
$10.0 bln.
$11.3 bln
Feb 2011
$ 39.5 bln
$ 9.1 bln.
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Domestic Gov-t bond market
Government OFZ monthly volumes, bln. RUB (CBR data)
j
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Domestic corporate bond market
Corporate bonds secondary market in Feb 2011:
volumes, bln. RUB (left axis), YTM (right axis)
London, 12 Apr 2011
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11
RUB markets outside Russia
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Trading volumes(ADT) reported off-shore:
FX instruments:
$ 12-13 bln.
Money market instruments: $ 0.5-1 bln.
Interest rate derivatives:
$ 1-2 bln.
RUB bonds trading:
$ 1 bln.
Total (FX,MM, Derivat.):
$ 13.5-15 bln.
London, 12 Apr 2011
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RUB instruments outside
Russia
More RUB derivatives than cash products
but cash products are rising
• Cash: FX spot, FX spot, cash deposits, RUB bonds
(NEW)
• Derivatives and CFDs:
• NDFs & Outright forwards
• FX options
• Interest rate and XCY swaps
• Forward rate agreement (FRA)
• Overnight indexed swaps - OIS (NEW) – from 08/09/10
London, 12 Apr 2011
National Foreign Exchange Association, Russia
13
Geography of RUB FX
Overseas counterparties of Russian banks, Feb 11
Region
Western Europe
FX spot
78.9%
FX swaps
90.1%
Northern Europe
South America
7.6%
5.7%
2.2%
3.7%
CIS countries
5.3%
1.5%
Cyprus
2.0%
0.5%
North America
0.2%
0.2%
Other
0.3 %
1.8%
Source: CBR
London, 12 Apr 2011
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RUB FX in London
Source: UK FXJSC semi-annual survey, January 2011
Oct 08
Oct 09
Oct 10
Percentage of RUB
in total UK FX
0.7%
0.8%
0.7%
USD/RUB turnover
$10.8 bln.
$10.9 bln.
$11.3 bln.
Rank of RUB (same
as MXN, KRW)
15
16
16
Total ADT of UK
market, $bln.
London, 12 Apr 2011
$1699 bln. $1521 bln
National Foreign Exchange Association, Russia
$1821 bln
15
Volumes of RUB FX
instruments in London
UK FXJSC: ADT in 2009-10
Instrument
FX swaps
FX spot:
NDF
FX options
Outrights
Ccy swaps
Total:
London, 12 Apr 2011
Apr 2009
$4.0 bln
$1.8 bln
$1.2 bln.
$0.5 bln
$0.9 bln
$0.14 bln
$8.6 bln
Apr 2010
$5.8 bln
$2.6 bln
$1.4 bln.
$0.7 bln
$0.9 bln
$0.13 bln
$11.5 bln
National Foreign Exchange Association, Russia
Oct 2010
$4.0 bln
$3.7 bln
$1.6 bln.
$1.1 bln
$0.7 bln
$0.28 bln
$11.4 bln
16
RUB denominated Eurobonds
New instrument aimed to promote MIFC and RUB
Issuer
Amount, R.
Month
RusHydro Finance (LPNs)
20 bln.
Oct 2010
Russian Federation (MoF)
40 bln.
Feb 2011
Rosselkhozbank (Russian
Agricultural bank)
20 bln.
Mar 2011
50-70 bln.
H2 2011
Planned
Federal Grid
Gazprom
2011
Probusinessbank
2011
London, 12 Apr 2011
National Foreign Exchange Association, Russia
17
Moscow IFC:what’s important
Infrastructural prerequisites fro Moscow to become IFC:
1. To develop bilateral, multilateral clearing on CCP basis
(incl. international clearing houses)
2. Promote RUB as reserve currency (invoicing of
commodity export in Rubles, CNY/RUB other crosses)
3. Removal of obstacles in RUB clearing and settlements:
- mandatory use of RTGS (BESP of CBR)
- CLS Bank clearing currency(next to ZAR, MXN)
4. Enhance domestic derivatives trading
5. Develop liquid RUB bonds market for
overseas investments
London, 12 Apr 2011
National Foreign Exchange Association, Russia
18
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)
International cooperation, partners and working contacts:
- EBRD
- ISDA (inclusion of MosPrime rate into ISDA definitions 2006)
- ACI-The Financial Markets Association
- WMBA
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Contact Details
12 Bolshaya Nikitskaya st,
Moscow, 125009, Russia,
Tel.+7 (495) 629-9510,
www.nva.ru, www.nfea.ru; www.ruonia.ru
@ The Copyright National Foreign Exchange Association, 2011
All rights reserved. Any reproduction is only permitted with prior consent of NFEA.
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