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
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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
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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
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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)
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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
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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
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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
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
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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
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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
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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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