Moscow, 15 Oct IRSF EBS-Moscow Exchange-NFEA1 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 IRSF EBS-Moscow Exchange- NFEA 2 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 ( )

Average Daily Turnover of global FX market in U$ Bln Net turnover $355$820$1,527$1,934$3,971$3,971$5,345 FX spot ,4882,046 Forwards FX swaps ,7592,228 FX options CCY swaps n.a Moscow, 15 Oct IRSF EBS-Moscow Exchange-NFEA3

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 IRSF EBS-Moscow Exchange- NFEA 4

CCYshares in global FX RankCurrencyShare % 2007Share % 2010Share % USD (US Dollar) EUR (Euro) JPY (Japanese yen) GBP (Pound sterling) AUD (Australian dollar) CHF (Swiss frank) CAD (Canadian dollar) MXN (Mexican peso) CNY, CNH0.5 (22-th)0.9 (17-th)2.2 ………………………… 12RUB (Russian Ruble)0.8 (17-th)0.9 (16-th)1.6 19BRL (Braz. real) INR (Indian rupee)

Largest on-shore FX mkt 2007,2013 Ra nk Country2007 ADT, $ bln Share global % 2013 ADT, $ bln Share global % 1UK1, %2, % 2USA %1, % 3Singapore %3835.7% 4Japan %3745.6% 5Hong Kong %2744.1% 6Switzerland %2163.2% 7France %1902.8% 8Australia %1822.7% 9Netherlands!250.6 %1121.7% 10Germany992.5 %1111.7% 11Denmark862.2 %1031.5% 12Canada601.5 %651.0% 13Russia501.3 %610.9% 6

Largest USD/CCY Pairs in global FX EUR/USD28%24.1% USD/JPY14%18.3% GBP/USD9%8.8% USD/AUD6%6.8% USD/others11.2%4.0% USD/CAD5%3.7% USD/CHF4%3.4% USD/RUB…1.5% (11-th) 14 IRSF EBS-Moscow Exchange-NFEA7Moscow, 15 Oct 2013

14 IRSF EBS-Moscow Exchange-NFEA8 FX spot on-shore interbank market in Russian on-shore FX spot ADT: methodology of BIS MonthFX spot market ADTMOEX Jul 2008$ bln.$10.5 bln. Oct 2009$ 54.2 bln.$10.6 bln Oct 2010$ 66.7 bln.$11.3 bln Oct 2011$ 74.8 bln $13.9 bln. Jan-Dec 2012$ bln $16.6 bln. Jan-Aug 2013$ bln bln.

14 IRSF EBS-Moscow Exchange-NFEA 9 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

Russian FX market Moscow, 10 Sep 2013"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference10

RUB markets outside Russia Trading volumes(ADT) reported off-shore: FX instruments: $ bln. Money market instruments: $ bln. Interest rate derivatives: $ bln. RUB bonds trading: $ 1-2 bln. Total (FX,MM,Derivat.): $ bln. Moscow, 15 Oct IRSF EBS-Moscow Exchange-NFEA

Volumes of USD/RUB FX instruments in London InstrumentOct 2009Apr 2011Oct 2012Apr 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 Bank of England UK FXJSC: ADT in

Russian OTC FX&IR derivatives ADT bln.US$FX derivativesIR derivatives April 2012$4.8 bln.$270 mln. July 2012$4.8 bln$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. Jan 2013Apr 2013Jun 2013 Equity futures 2,754,304,57 FX futures 2,062,762,83 Interest rate futures 0,0080,0220,066 -on short term rates 0, , , on long term (OFZ) 0,0080,0220,065 Options 0,350,540,62 Commodity futures 0,130,220,20 TOTAL 5,307,858,29 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 Conference16

Moscow, 15 Oct IRSF EBS-Moscow Exchange-NFEA17 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: – , 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 IRSF EBS-Moscow Exchange-NFEA18 Contact Details 12 Bolshaya Nikitskaya st, Moscow, , Russia, Tel.+7 (495) , The Copyright National Foreign Exchange Association, 2012 All rights reserved. Any reproduction is only permitted with prior consent of NFEA.