1. London, 14.03.2012National Foreign Exchange Association, Russia1 Russian Rates derivatives volumes Dmitry Piskulov, Ph.D. (econ.) Chairman of NFEA Management Board, Chairman of the Committee for Professionalism; ICAP, Senior Adviser

2. London, 14.03.2012National Foreign Exchange Association, Russia 2 Ruble Rates derivatives 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) NFEA Annual Survey of Bank Derivatives (2008- 2011)

3. London, 14.03.2012National Foreign Exchange Association, Russia3 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).

4. 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 London, 14.03.2012National Foreign Exchange Association, Russia4

5. London, 14.03.2012National Foreign Exchange Association, Russia5 On-shore derivatives in 2011: Breakdown by underlying assets

6. London, 14.03.2012National Foreign Exchange Association, Russia6 On-shore RUB derivatives monthly volumes (CBR, NFEA Surveys) bln.US$20112008 Growth % Total (all instruments): ~ 110.0276.4 - FX derivatives: - all swaps: - ex o/n,t/n swaps(pure derivative) 650-700 90-100 263.5 - Interest rate derivatives 11.96.12 + Equity derivatives 0.53.1 - Commodity derivatives 1.13.0 - Fixed income derivatives 0.060.49 - Credit derivatives 0.40.2+

7. London, 14.03.2012National Foreign Exchange Association, Russia7 2008-2011 Trends in share of Russian derivatives by underlying assets 20112008 Growth or Decline % Total (all instruments): 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

8. London, 14.03.2012National Foreign Exchange Association, Russia8 Local vs International banks Breakdown between local Russian banks and subsidiaries of international banks (of total Russian on-shore turnover): 20112008 Local banks48.5%68.3% Foreign subs.51.5%31.7%

9. RUB FX in London Source: UK BOE FXJSC semi-annual survey, Feb 2012 Moscow, 14 Mar 2012National Foreign Exchange Association, Russia9 Oct 09Apr 11Oct 11 USD/RUB turnover (all instruments) $9.0 bln.$13.9 bln.$17.5 bln. Rank of RUB (previous,next ccy) 16 MXN, KRW 11 SGD, SEK 10 SGD, MXN Total ADT of UK market, $bln.$1549 bln$2191 bln$1972 bln Percentage of RUB in total UK FX0.58%0.63%0.89%

10. Volumes of USD/RUB FX instruments in London InstrumentApr 2008Oct 2009Apr 2011Oct 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 Total:$10.1 bln$9.0 bln$13.9 bln$17.6 bln London, 14 Mar 2012National Foreign Exchange Association, Russia10 Bank of England UK FXJSC: ADT in 2008-11

11. London, 14.03.2012National Foreign Exchange Association, Russia11 Currency pairs FX derivatives As in previous years USD/RUB dominates in FX derivatives (similar to spot market)

12. RUB FX deriv: onshore vs offshore US$ Bln. Oct 09Apr 10Oct 10Apr 11Oct 11 DOMESTIC FX deriv.: Outrights + NDF 0.61.00.891.340.78 FX swaps 21.020.524.728.933.8 FX options 0.030.170.360.20.22 Total RUSSIAN 21.621.726.030.434.8 LONDON FX deriv.: Outrights + NDF 1.522.3 2.62.3 FX swaps 4.35.84.04.66.4 Other (incl. options) 1.280.831.381.251.13 Total LONDON 7.18.97.78.59.8 London, 14.03.2012National Foreign Exchange Association, Russia12

13. London, 14.03.2012National Foreign Exchange Association, Russia13 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)30.843.9 Cross-currency swaps (CCS)54.022.1 Interest rate futures7.718.3 Forward rate agreements (FRA)4.29.39.3 Forward-forward loans2.06.1 Interest rate options (IRO)1.30.3

14. RUB/USD Futures (Russia vs CME) Quick rise in RUB/USD Futures trading volume in 2011 $bln. Moscow, 14.03.2012National Foreign Exchange Association, Russia14 Russian Exchanges (MICEX, RTS) CME 2011 (Jan-Sep)$ 142 bln$ 45.3 bln. 2010 (Jan-Sep)$ 57,6 bln.$ 12.5 bln. Sep 2011 (daily)$1,2 bln.$ 0.44 bln.

15. NFEA rates indices Since 2005, 13 contributor banks Since 2010, 16 banks Since Sep 2010, together with CBR, 30 banks Since April 2011, 10 banks London, 14.03.2012National Foreign Exchange Association, Russia15

16. London, 14.03.2012National Foreign Exchange Association, Russia16 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 respondentsMosPrimeFX SWAPRUONIA Settlement/execution of IR derivatives73%27%35% Fixing base interest rates of loans/bonds77%12%23% Accounting & Revaluation58%19% Internal pricing & benchmarking65%27%35% Analysis and statistics purposes85%31%62% Banks plan to use ROISfix as RUB curve85%

17. Russian ISDA (RISDA) 2009 Use 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% London, 14.03.2012National Foreign Exchange Association, Russia17

18. London, 14.03.2012 National Foreign Exchange Association, Russia18 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

19. London, 14.03.2012National Foreign Exchange Association, Russia19 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.