Global and Russian
Derivatives market
regulation 2009-13
Dmitry Piskulov, Ph.D. (econ.)
Chairman of NFEA Management Board,
Chairman of Committee for Professionalism
Moscow, 20 Sep 2013
Marcus Evans ALM Conference
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What is a Derivative
Financial Instruments
Derivatives (according to FFMS definition)
– Forwards (outright)
– Swaps (all regardless the maturity. Are shortdated FX swaps – O/N, T/N, S/N
derivatives?)
– Options
– Futures
• OTC or Exchange traded
Moscow, 20.09.2013
National Foreign Exchange Association, Russia
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Regulatory reform 2009-201…?
G20 meeting in Pittsburgh, September 2009
All standardized OTC derivative contracts should be:
• traded on exchanges or electronic trading
platforms, where appropriate,
• cleared through central counterparties
(CCPs) by end-2012 at the latest.
• OTC derivative contracts should
• be reported to trade repositories (TR).
• Non-centrally cleared contracts should be subject
to higher capital requirements.”
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Key elements of reform
Clearing
• Mandatory clearing of eligible OTC
derivatives using central counterparties
(CCP)
Trading
• Mandatory execution of sufficiently liquid
OTC derivatives on trading platforms
Reporting
• Reporting of all OTC derivatives to trade
repositories, Regulators access to data
Margining
• Minimum requirements for margining of
uncleared OTC derivatives
Risk mitigation
• Timely confirmation, portfolio
reconciliation, portfolio compression,
• dispute resolution for uncleared OTC
derivatives
Transparency
Moscow, 20 Sep 2013
• Pre- and post-trade access to individual
quote and trade data
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New regulations and regulators
• USA: Dodd-Frank Act (introduced SEF – swap
execution facility)
• Europe: EMIR – European Markets
Infrastructure Regulation 2010-2016
• ESMA (European Securities and Market
Authority) from 01.01.2011
• BCBS + IOSCO (margining for non-centrally
cleared derivatives
• Basel 3: CVA adjustment
• FSB – Financial Stability Board (Report on OTC
Derivatives
Reform
to G20)
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20 Sep 2013
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ALM Conference
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EMIR - Europe
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EMIR - European Market Infrastructure Regulation
Started 15/09/2010 European Commission proposal
a reporting obligation for OTC derivatives,
a clearing obligation for eligible OTC derivatives,
measures to reduce counterparty credit risk and
operational risk for bilaterally cleared OTC derivatives,
common rules for central counterparties (CCPs) and for
trade repositories, and rules on the establishment of
interoperability between CCPs.
Last adopted document 12.07/2013
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CCPs & Trade repositores
Central Counterparties (CCPs):19 in Europe
• LCH.Clearnet (UK)
• EuroCCP (UK)
• Eurex Clearing AG (Germany)
• European Multilateral Clearing Facility (NL)
• CME Clearing House (US)
• NCC – National Clearing Center (Russia)
Trade repositories (or Swap data repository):
- DTCC (USA)
- Regis-TR (European Trade Repository), Luxemburg
- NSD (National Settlement Depository), Moscow
- NEW: Trade Repository Group (London) of CME, ICX
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Derivative markets statistics
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)
Bank for International Settlements (BIS), Basel
ISDA – International Swaps and Derivatives
Association
NFEA Annual Surveys of Bank Derivatives (2008-2012)
Moscow, 01 Nov 2012
"Russian money market"
Conference RIAN
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Derivative regulation in Russia
• Feb 2008 – Article 1062 of Civil Code (Enforceability)
• 2009-2010 – Changes to FZ “On Securities Market” and
“On Bankruptcy” introducing Close-out netting
• 2009, 2011 – Standard documentation for Russian
Derivatives Market (Russian ISDA) by NFEA, ARB,
NAUFOR
• 2011 – definition of derivatives by FFMS
• 2011 - Introductions of Trade repository (NSD) and CCP
as National Clearing Center (NCC)
• Dec 2012 – start of Trade repository (NSD) to receive
reports/ Full regime only by middle 2014
• Jun 2012 - clearing of OTC derivatives by Moscow Exch
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Global derivatives amounts
• Notional principal amounts outstanding, trln.US$
By underlying asset
June 2011
OTC
Exchanges*
December 2012
OTC
Exchanges*
Foreign exchange
64.7
0.31
67.0 +
0.34 +
Interest rate contracts
553.2
53.3
490.0 -
62.2 +
Equity linked contracts
6.8
4.7
6.3 -
5.7 +
Commodity contracts
3.2
2.6 -
n.a
Credit default swap
32.4
n.a.
25.0 -
n.a
Other
46.5
n.a.
42.1
n.a
Total contracts
706.9
*Data for Exchange traded derivatives on Dec 2011 and
Moscow, 20 Sep 2013
633.0
Jun 2013 respectively
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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
$5.0 bln.
n.a
• FX derivatives: FX swaps(longer than spot), Forward outrights +
NDF, FX options
• IR derivatives: Cross currency swaps, Interest rate swaps, OIS
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Russia on-shore IR derivatives
Very small Daily volumes (ADT), tend to rise in 2013,
bln.$
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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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, 20 Sep 2013
Apr 10
Apr 11
Apr 12
Apr 13
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London RUB FX
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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, 20 Sep 2013
$22.0 bln $34.4 bln.
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Exchange traded derivatives
(Russia)
ADT, US$ 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 May 2005, 9 contributor banks
Since Jan 2010, 8 contributor banks
Since Sep 2010, together with CBR
29 contributor banks
Since April 2011, 9 contributor banks
Since Jan 2013, 9 contributor banks
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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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