1. Moscow, 10 Sep 2013"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference1 Recent trends in Russian Ruble derivatives 2012-13 Dmitry Piskulov, Ph.D. (econ.) Chairman of NFEA Management Board, Chairman of Committee for Professionalism

2. Russian FX market 2008-13 Moscow, 10 Sep 2013"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference2

3. Russian derivatives volume statistics Statistics of CBR on FX and IR derivatives ceased be published since Feb 2013 Domestic markets turnover below – only OTC interbank CBR promises to resume publication in new format in Sep-Oct 2013 Moscow, 10 Sep 2013"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference3

4. Global derivatives amounts Source: BIS, June 2012 Notional principal amounts outstanding, trln.US$ By underlying assetJune 2011December 2012 OTC Exchanges Foreign exchange64.767.00.325 Interest rate contracts553.2490.055.6 Equity linked contracts6.86.33.5 Commodity contracts3.22.6n.a Credit default swaps32.425.0n.a Other46.542.1n.a Total contracts706.9633.0 Moscow, 10 Sep 2013"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference4

5. 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 Moscow, 10 Sep 2013"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference 5

6. Interest rate derivatives Very small Daily volumes (ADT), tend to rise in 2013, bln.$ Moscow, 10 Sep 2013"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference6

7. Russian IRD features Very small volumes of IRD in comparison to FX derivatives (1000 times lower) RUB IRD market is in London OIS – still underdeveloped, ADT in range from $3 to $50 mln. Moscow Exchange interest rate futures – low volumes FRA almost disappeared in 2013 No available statistics on international use of Interest rate futures and options Moscow, 10 Sep 2013"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference7

8. Volumes of USD/RUB FX derivatives 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. Moscow, 10 Sep 2013 8 Bank of England UK FXJSC: ADT in 2008-13 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference

9. Exchange traded derivatives 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 0,0000040,0000330,00077 - 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 Moscow, 10 Sep 2013"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference9

10. Today NFEA indices family Since 2005 Since Jan 2010 Since Sep 2010, together with CBR Since April 2011 Since Jan 2013 Moscow, 10 Sep 2013"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference10

11. Moscow, 10 Sep 2013 "Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference11 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 2011) -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

12. Moscow, 10 Sep 2013"Derivatives in Russia 2013" NFEA-EBRD-ISDA Conference12 Contact Details 12 Bolshaya Nikitskaya st, Moscow, 125009, Russia, Tel.+7 (495) 629-9510, 629-9709 www.nva.ruwww.nva.ru, www.nfea.ru; www.ruonia.ruwww.nfea.ruwww.ruonia.ru @ The Copyright National Foreign Exchange Association, 2012 All rights reserved. Any reproduction is only permitted with prior consent of NFEA.