london, 14.03.2012national foreign exchange association, russia1 russian rates derivatives volumes...
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London, 14.03.2012 National Foreign Exchange Association, Russia 1
Russian Rates
derivatives volumes
Dmitry Piskulov, Ph.D. (econ.)
Chairman of NFEA Management Board,
Chairman of the Committee for Professionalism;
ICAP , Senior Adviser
London, 14.03.2012 National Foreign Exchange Association, Russia
2
Ruble Rates derivatives statisticsSources:
• 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)
• NFEA Annual Survey of Bank Derivatives (2008-2011)
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Off-shore/On-shore segments
RUB derivatives market is split into 3 segments:
A. Off-shore (between global banks domiciled outside Russia):
B. On-shore (between local Russian resident banks on domestic market)
C. Cross-border (between local and global)
! NFEA Survey covers only B+C
!!! A (off-shore) volumes is 5-7 times bigger than B (on-shore).
Derivative Instruments
Derivatives (according to FFMS definition)– Forwards (outright)– Swaps (all regardless the maturity. Are short-
dated swaps – O/N, T/N, S/N derivatives?)– Options– Futures
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On-shore derivatives in 2011: Breakdown by underlying assets
Foreign Exchange78,60%
Interest Rate18,10%
Equity0,90%
Fixed Income0,10%
Commodity1,70%
Credit0,60%
Foreign Exchange
Interest Rate
Equity
Fixed Income
Commodity
Credit
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On-shore RUB derivatives monthly volumes (CBR, NFEA Surveys)
bln.US$ 2011 2008 Growth %
Total (all instruments): ~ 110.0 276.4 -
FX derivatives: - all swaps:
- ex o/n,t/n swaps(pure derivative)650-700
90-100
263.5 -
Interest rate derivatives 11.9 6.12 +
Equity derivatives 0.5 3.1 -
Commodity derivatives 1.1 3.0 -
Fixed income derivatives 0.06 0.49 -
Credit derivatives 0.4 0.2 +
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2008-2011 Trends in share of Russian derivatives by underlying assets
2011 2008 Growth or
Decline %
Total (all instruments): 100% 100%
FX derivatives 78.6% 89.1% - 10.3 pp
Interest rate derivatives 18.1% 2.8% +15.3 pp
Equity derivatives 0.9% 5.8% -4.9 pp
Commodity derivatives 1.7% 0.5% +1.1 pp
Fixed income derivatives 0.1% 1.8% -1.7 pp
Credit derivatives 0.6% 0.07% +3.93 pp
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Local vs International banks
Breakdown between local Russian banks and subsidiaries of international banks (of total Russian on-shore turnover):
2011 2008
Local banks 48.5% 68.3%
Foreign subs. 51.5% 31.7%
RUB FX in LondonSource: UK BOE FXJSC semi-annual survey, Feb 2012
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Oct 09 Apr 11 Oct 11
USD/RUB turnover(all instruments)
$9.0 bln. $13.9 bln. $17.5 bln.
Rank of RUB(previous,next ccy)
16MXN, KRW
11SGD, SEK
10SGD, MXN
Total ADT of UK market, $bln. $1549 bln $2191 bln $1972 bln
Percentage of RUB in total UK FX 0.58% 0.63% 0.89%
Volumes of USD/RUB FX instruments in London
Instrument Apr 2008 Oct 2009 Apr 2011 Oct 2011
FX spot $2.5 bln $1.9 bln $5.5 bln $7.7 bln
NDF: $3.5 bln $1.2 bln $2.2 bln $1.5 bln
Outrights $1.2 bln. $0.3 bln. $0.4 bln. $0.8 bln
FX swap $2.0 bln $4.3 bln $4.6 bln $6.4 bln
Ccy swaps $0.3 bln $0.1 bln $0.4 bln $0.3 bln
FX options $0.57 bln $1.2 bln $0.8 bln $0.8 bln
Total: $10.1 bln $9.0 bln $13.9 bln $17.6 blnLondon, 14 Mar 2012 National Foreign Exchange Association, Russia 10
Bank of England UK FXJSC: ADT in 2008-11
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Currency pairs FX derivatives
USD/RUB74,4%
EUR/RUB16,5%
EUR/USD10,6% Другие
2,2%As in previous years USD/RUB dominates in FX derivatives (similar to spot market)
RUB FX deriv: onshore vs offshore
US$ Bln. Oct 09 Apr 10 Oct 10 Apr 11 Oct 11
DOMESTIC FX deriv.:
Outrights + NDF 0.6 1.0 0.89 1.34 0.78FX swaps 21.0 20.5 24.7 28.9 33.8FX options 0.03 0.17 0.36 0.2 0.22Total RUSSIAN 21.6 21.7 26.0 30.4 34.8LONDON FX deriv.:
Outrights + NDF 1.52 2.3 2.3 2.6 2.3FX swaps 4.3 5.8 4.0 4.6 6.4Other (incl. options) 1.28 0.83 1.38 1.25 1.13Total LONDON 7.1 8.9 7.7 8.5 9.8
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Onshore interest rate derivatives• Monthly total volume: 11.9 bln. US$• 57% in Rubles, 32% in USD, 7% in EUR
IR derivative instruments % 2011 2008
Interest rate swaps (IRS) 30.8 43.9
Cross-currency swaps (CCS) 54.0 22.1
Interest rate futures 7.7 18.3
Forward rate agreements (FRA) 4.2 9.3
Forward-forward loans 2.0 6.1
Interest rate options (IRO) 1.3 0.3
RUB/USD Futures (Russia vs CME)
• Quick rise in RUB/USD Futures trading volume in 2011 $bln.
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Russian Exchanges (MICEX, RTS)
CME
2011 (Jan-Sep) $ 142 bln $ 45.3 bln.
2010 (Jan-Sep) $ 57,6 bln. $ 12.5 bln.
Sep 2011 (daily) $1,2 bln. $ 0.44 bln.
NFEA rates indicesSince 2005, 13 contributor banks
Since 2010, 16 banks
Since Sep 2010, together with CBR, 30 banks
Since April 2011, 10 banks
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Use of NFEA indices• MosPrime rate: launched 2005• FX SWAP Rate: launched 2010• RUONIA (together with the CBR) launched 2010• ROISfix: launched April 2011
Use of NFEA indices (% of respondents MosPrime FX SWAP RUONIA
Settlement/execution of IR derivatives 73% 27% 35%
Fixing base interest rates of loans/bonds 77% 12% 23%
Accounting & Revaluation 58% 19% 19%
Internal pricing & benchmarking 65% 27% 35%
Analysis and statistics purposes 85% 31% 62%
Banks plan to use ROISfix as RUB curve 85%
Russian ISDA (RISDA) 2009Use of Standard documentation (RISDA) of 2009,
in % of all bank respondents
RISDA with Counterparties
RISDA with Clients
Already executed (RISDA in use)
35% 30%
Not yet but plan in future
63% 44%
Do not plan to use RISDA
4% 4%
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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 derivatives transactions (Russian ISDA Agreement) – completed in 2009
- RUONIA – Russian analogue of EONIA (since Sept 2010)- CLS Bank: inclusion of Rub into list of CLS clearable currencies
• International cooperation, partners and working contacts: - EBRD- 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, 629-9709www.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.