1. Moscow, 26 Nov 2010National Foreign Exchange Association, Russia1 Latest overview of RUB FX & MM & Derivative Markets Dmitry Piskulov, Ph.D. (Econ.) Member of NFEA Management Board, Chairman of the Committee for Professionalism; ICAP, Senior Adviser

2. Where RUB markets? Markets in Russian Ruble denominated instruments ON SHORE: only domestic (residents) OFF-SHORE: only non-residents ON-SHORE deals with OFF-SHORE: cross-border RUB transactions HOW GLOBAL IS RUB? Moscow, 26 Nov 2010National Foreign Exchange Association, Russia2

3. What RUB instruments FX spot FX outright and FX swaps FX derivatives (NDFs, Options) Cash MM deposits REPOs Interest rate derivatives: (IRS, FRA, CCS, IRO) Statistics on average daily turnover (ADT) from BIS, Basel; Central Bank of Russia – CBR; UK FXJSC of Bank of England Moscow, 26 Nov 2010National Foreign Exchange Association, Russia3

4. Russia on-shore FX mkt 2007 vs 2010 Country RANK 2010 April 2007 ADT, $bln. Share of global % April 2010 ADT, $bln. Share of global % 1 United Kingdom1,45334.6 %1,85436.7% 2 USA74517.4 %90417.9% 3 Japan2505.8 %3126.2% 4 Singapore2425.6 %2665.3% 5 Switzerland2545.9 %2635.2% 6 Hong Kong SAR1814.2 %2384.7% 7 Australia1764.1 %1923.8% 8 France1273.0 %1523.0% 9 Denmark882.4%1212.4% 10 Germany1012.4 %1092.1% 11 Canada64641.5 %621.2% 12 Sweden441.0%450.9% 13 Korea350.8%440.9% 14 Russia501.3 %420.8% 4

5. RUB share in global FX 2007 vs 2010 RankCurrencyShare % 2007Share % 2010 1USD (US Dollar)86.384.9 2EUR (Euro)37.039.1 3JPY (Japanese yen)16.519.0 4GBP (Pound sterling)15.012.9 5AUD (Australian dollar)6.77.6 6CHF (Swiss frank)6.86.4 7CAD (Canadian dollar)4.25.3 ……..….… 15INR (Indian rupee)0.70.9 16RUB (Russian Ruble)0.8 (17-th)0.9 20BRL (Brazilian real)0.50.7 30CNY (Chinese renminbi)0.4 (22-th)0.1 Moscow, 26 Nov 2010National Foreign Exchange Association, Russia5

6. Domestic RUB interbank market smaller than FX market: average daily turnover (ADT), bln.$ Off-shore RUB MM: no data Moscow, 26 Nov 2010National Foreign Exchange Association, Russia6 Interbank depositsREPOs O/N, 1wk DomesticCross- border DomesticCross- border Jan10$7.5 bln$2.7 bln$2.2 bln0 July 10$6.4 bln$1.6 bln$3.9 bln0 Oct 10$6.5 bln$1.6 bln$5.6 bln0 Source: CBR, October 2010 RUB money market 2010

7. Moscow, 26 Nov 2010National Foreign Exchange Association, Russia7 Domestic FX market in July 10 Domestic OTC market average daily turnover (ADT) in bln. US$ by BIS methodology (Bank of Russia) Total ADT, US$ bln. of them: CCY /RUB Cross-border of CCY/RUB FX spot$24.5$ 18.4$8.2 Outright forwards $1.45 $1.44 NDF $ 0.5$0.3 FX swaps$21.5$ 14.1$6.3 Total:$47.5$31.6$14.8

8. Moscow, 26 Nov 2010National Foreign Exchange Association, Russia8 FX on-shore interbank market in 2008-10 Russian on-shore OTC FX average daily turnovers dropped in 2008 but stabilized in 2009-2010 MonthFX market volumeMICEX Jul 2008$ 119.2 bln.$ 10.5 bln. Apr 2009$ 46.2 bln.$ 9.8 bln Oct 2009$ 54.2 bln.$10.6 bln Feb 2010$ 53.4 bln$10.0 bln. Aug 2010$ 53.8 bln$8.8 bln. Oct 2010$ 66.7 bln.$11.3 bln

9. RUB markets outside Russia Trading volumes(ADT) reported off-shore: FX instruments: $12-13 bln. Money market instruments: $ 0.5-1 bln. Interest rate derivatives: $ 1-2 bln. RUB bonds trading: $ 1 bln. Total (FX,MM, Der.): $ 13.5-15 bln. Moscow, 26 Nov 2010National Foreign Exchange Association, Russia9

10. Moscow, 26 Nov 2010National Foreign Exchange Association, Russia10 RUB markets outside Russia Main features: More derivatives than cash products: on-shore cash pricing versus off-shore derivatives pricing BUT: Cash products tend to rise quicker Link Moscow-London (transactions done in Moscow in the name of London HO) Number of banks (dealing codes) : banks that entered RUB SSI and ready to deal): –Active: 60 (already dealt) –Potential: 181 (entered RUB SSI) -

11. RUB instruments outside Russia More RUB derivatives than cash products but cash products are rising Cash: FX swaps, FX spot, cash deposits, RUB bonds (NEW) Derivatives and CFDs: NDFs & Outright forwards FX options Interest rate and XCY swaps Forward rate agreement (FRA) Overnight indexed swaps - OIS (NEW) – from 08/09/10 Moscow, 26 Nov 2010National Foreign Exchange Association, Russia11

12. Geography of RUB FX Overseas counterparties of Russian banks, July 10 Moscow, 26 Nov 2010 National Foreign Exchange Association, Russia 12 RegionFX spotFX swaps Western Europe66.4%89.9% Northern Europe16.0%2.0% CIS countries9.7%1.6% South America5.5%2.9% Cyprus1.3%1.0% North America0.4%0.8% Other0.7%1.8% Source: CBR

13. RUB FX in London Source: UK FXJSC semi-annual survey, June 2010 Moscow, 26 Nov 2010National Foreign Exchange Association, Russia13 Oct 08Oct 09Apr 10 Percentage of RUB in total UK FX 0.7%0.8%0.7% USD/RUB turnover$10.8 bln.$10.9 bln.$11.5 bln. Rank of RUB (same as ZAR) 1516 Total ADT of UK market, $bln. $1699 bln.$1521 bln$1747 bln

14. Volumes of RUB FX instruments in London InstrumentsApr 2009Apr 2010 FX swaps$4.0 bln$5.8 bln FX spot:$1.8 bln$2.6 bln NDF$1.2 bln.$1.4 bln. FX options$0.5 bln$0.7 bln Outright forward$0.9 bln Ccy swaps$0.14 bln$0.13 bln Total:$8.6 bln$11.5 bln Moscow, 26 Nov 2010National Foreign Exchange Association, Russia14 UK FXJSC: Average daily volumes in 2009-10

15. Moscow, 26 Nov 2010National Foreign Exchange Association, Russia15 Challenges for authorities 1.Monitoring of round-the clock RUB FX quotes (also at night time in Moscow) 2.Support of RUB instruments in global electronic trading platforms (such as EBS, Reuters, Bloomberg etc.) – possibility to establish the band 3.Direct access to RUB FOREX and RUB bonds in MICEX for foreigners 4.Removal of obstacles in RUB clearing and settlements – - RTGS (BESP of CBR) - CLS Bank clearing currency(next to ZAR, MXN):

16. Moscow, 26 Nov 2010 National Foreign Exchange Association, Russia16 About NFEA Established: October 1999 in Moscow as non-commercial organization; Membership: legal entities (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 analogue of ISDA Agreement) – completed in 2009 -RUONIA – Russian analogue of EONIA (since Sept 2010) International cooperation and working contacts: -ACI-The Financial Markets Association -ISDA (inclusion of MosPrime rate into ISDA definitions 2006)

17. Moscow, 26 Nov 2010National Foreign Exchange Association, Russia17 Contact Details 13 Bolshoy Kislovskiy Per., Moscow, 125009, Russia, Tel.+7 (495) 705-9693, Fax: +7(495) 705-9675. www.nva.ruwww.nva.ru, www.nfea.ruwww.nfea.ru @ The Copyright National Foreign Exchange Association, 2008. All rights reserved. Any reproduction is only permitted with prior consent of NFEA.