Update of Ruble markets: rocketing off-shore Dmitry Piskulov, Ph.D. (econ.) Chairman of NFEA Board & Committee for Professionalism, Ethics and Education, Moscow, 15 Oct 2013 14 IRSF EBS-Moscow Exchange-NFEA 1 Мarket volumes 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) Bank for International Settlements (BIS) NFEA Annual Survey of Bank Derivatives (2008-2012) Moscow, 15 Oct 2013 14 IRSF EBS-Moscow ExchangeNFEA 2 Average Daily Turnover of global FX market in 1986-2010 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 Moscow, 15 Oct 2013 2004 14 IRSF EBS-Moscow Exchange-NFEA 2010 2013 3 Recent trends in RUB markets • New financial megaregulator created: Bank of Russia Service for Financial Markets (01Sep13) • Reform of CBR RUB refinancing mechanism (13 Sep 2013) – Simplification of refinancing instruments – Introduction of Key Rate (5.5%) • Stable (sometimes) declining RUB on-shore interbank volumes • Counterparty risk in capital adequacy • Sharp growth in off-shore RUB Moscow, 15 Oct 2013 14 IRSF EBS-Moscow ExchangeNFEA 4 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) 0.7 0.9 1.0 5 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% 6 Largest USD/CCY Pairs in global FX EUR/USD USD/JPY GBP/USD USD/AUD USD/others USD/CAD USD/CHF USD/RUB Moscow, 15 Oct 2013 2010 28% 14% 9% 6% 11.2% 5% 4% … 2013 24.1% 18.3% 8.8% 6.8% 4.0% 3.7% 3.4% 1.5% (11-th) 14 IRSF EBS-Moscow Exchange-NFEA 7 FX spot on-shore interbank market in 2008-2012 Russian on-shore FX spot ADT: methodology of BIS Month FX spot market ADT MOEX Jul 2008 Oct 2009 Oct 2010 Oct 2011 Jan-Dec 2012 Jan-Aug 2013 $ 104.2 bln. $ 54.2 bln. $ 66.7 bln. $ 74.8 bln $ 56-74 bln $ 43-61 bln. $10.5 bln. $10.6 bln $11.3 bln $13.9 bln. $16.6 bln. 12-19 bln. Moscow, 15 Oct 2013 14 IRSF EBS-Moscow Exchange-NFEA 8 On-shore vs Global RUB FX market in April 2013 Domestic OTC market average daily turnover (ADT) RUB On-shore (CBR data) RUB Global total (BIS data) FX spot $22.9 $ 37.0 Outright forwards $0.6 $ 9.0 FX swaps $34.6 $ 37.0 FX options $0.34 $3.0 Total: $58.5 $85.0 14 IRSF EBS-Moscow Exchange-NFEA 9 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 10 RUB markets outside Russia • • • • Trading volumes(ADT) reported off-shore: FX instruments: $ 35-37 bln. Money market instruments: $ 2.0-3.0 bln. Interest rate derivatives: $ 0.3-0.5 bln. RUB bonds trading: $ 1-2 bln. Total (FX,MM,Derivat.): $ 40-45 bln. Moscow, 15 Oct 2013 14 IRSF EBS-Moscow Exchange-NFEA 11 Volumes of USD/RUB FX instruments 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 $22.0 bln $34.4 bln. 12 Russian OTC FX&IR derivatives ADT bln.US$ 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 $5.0 bln. n.a • FX derivatives: FX swaps(longer than spot), Forward outrights + NDF, FX options • IR derivatives: Cross currency swaps, Interest rate swaps, OIS 13 Interest rate derivatives Very small Daily volumes (ADT), tend to rise in 2013, bln.$ 14 On-shore exchange traded derivativ. 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 15 Today NFEA indices family Since 2005 Since Jan 2010 Since Sep 2010, together with CBR Since April 2011 Since Jan 2013 Moscow, 15 Oct 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 16 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) 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 Moscow, 15 Oct 2013 14 IRSF EBS-Moscow Exchange-NFEA 17 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. 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