Russian Derivatives Market: expecting the breakthrough

Rouble Derivatives in London

Danny Corrigan

Director, International Business Development

MICEX 18 May 2007

ICAP : Activities

• ICAP plc provides independent broking services to commercial & investment banks in the wholesale financial markets via ‘voice’ and electronic means.

• Major products: OTC derivatives, fixed income securities, money market products, foreign exchange, energy, credit, and equity derivatives.

• HQ London, FTSE 100 company, Market Capitalization RUB 169bn (GBP 3.38bn), Employ 3,070 in 23 financial centres, trade USD1.5 tn daily

ICAP : Ruble Derivative Products traded in London

• Non-deliverable forward FXEMTA fix, no movement of principal’ upto 7 years,

• Cross currency swapsRuble fixed, vs 3 month USD LIBOR $25mn’ upto 5 years

• Interest rate swapsRuble fixed vs 3mo MosPrime, Rouble 500mn, upto 7 years

• Basis Swaps3month USD LIBOR vs 3mo MOSPRIME, up to 5 years

ICAP : Ruble Derivative Products traded in London : Participants

• International banks with trading hub in London

• International banks based in other financial centres: Vienna, Amsterdam, Brussels, Paris, Stockholm

• Russian banks in Moscow

• International bank subsidiaries in Moscow

• In total: over 50 active

ICAP : Ruble Derivative Products traded in London : Drivers

• Rouble exposure

• Hedging

• Funding

• Development of a term interest rate curve

ICAP : Ruble Derivative Products traded in London : Issues

• Rouble cash settlement

• Credit and Credit enhancement:

Collateral Margining, ‘Prime’

• Basle 2 : Ratings, Collateral