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6-th IRSF,Moscow ,10Nov09 National Foreign Exchange Association, Russia
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RUSSIAN ROUBLE
INTERBANK MARKETS IN 2009
Dmitry Piskulov, Ph.D. (Econ.)
Chairman of the Committee for
Professionalism;
ICAP , Senior Adviser
What RUB markets?• Mainly OTC markets: interbank, less
between Investment firms
• On-shore (within Russia) + off-shore (outside Russia) = Global RUB markets
• RUB Instruments:• Foreign exchange (cash TOD,TOM)• swaps + outright forwards• Interbank deposits• Derivatives (NDFs, IRS, CCS, FRA)• OTC Equities (potentially for non-residents)6-th IRSF, Moscow ,10Nov09 National Foreign Exchange
Association, Russia2
Where RUB markets?
• Main locations: • Russia (Moscow, St.Petersburg): cash (spot) FX• UK (London) + Europe: RUB derivatives• USA (NY) • Asia (Tokyo, HK, Dubai)
• Main participants:- Banks- Investment companies- Institutional investors (hedge funds)
6-th IRSF, Moscow,10Nov09 National Foreign Exchange Association, Russia
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6-th IRSF, Moscow,10Nov09National Foreign Exchange
Association, Russia4
Why RUB markets important
Plans of Russian political and economic authorities: • Concept of Moscow as International Financial Center
(adopted) to compete with Dubai, Shanghai, Mumbai; • Strategy of development of Russian financial market till
2020 – focus on securities, forwards and derivatives instruments, clearing infrastructure:
• RUB to become international (regional) reserve currency
Shortcomings of above programs:• Focus on the securities markets• Negligence of RUB settlements • Access for foreigners?
Russian on-shore FX mkt 2007Rank Country 2007 ADT, $ bln. Share of global %
1 United Kingdom 1,359 34.1 %
2 USA 664 16.6 %
3 Switzerland 242 6.1 %
4 Japan 238 6.0 %
5 Singapore 231 5.8 %
6 Hong Kong SAR 175 4.4 %
7 Australia 170 4.2 %
8 France 120 3.0 %
9 Germany 99 2.5 %
10 Denmark 86 2.2 %
11 Canada 60 1.5 %
12 Russia 50 1.3 %
13 Belgium 48 1.2 %6-th IRSF,Moscow, 10Nov09 National Foreign Exchange
Association, Russia5
6-th IRSF,Moscow ,10Nov09 National Foreign Exchange Association, Russia
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Domestic FX market in Sep 09Domestic OTC market average daily turnover (ADT) in bln. US$ by BIS methodology (Bank of Russia)
Total ADT,US$ bln.
of them: CCY /RUB
Cross-borderof CCY/RUB
FX spot $27.8 $ 22.0 $11.6
Outright forwards
$0.66 $ 0.49 $0.28
FX swaps $19.7 $ 14.3 $5.3
Total: $48.3 $31.6 $13.0
FX options $0.09 $0.07 $0.04
6-th IRSF, Moscow, 10Nov09 National Foreign Exchange Association, Russia
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Crisis effect on Russian marketRussian vs UK on-shore interbank FX markets average daily turnover (ADT): both dropped
* both Interbank OTC & in MICEX;source: CBR
Month UK market Russian market*
Apr 08 $ 1,696 bln.
Jul 08 $119 bln.
Apr 09 $ 1,269 bln. $53.7 bln.
Sep 09 n.a. $ 52.1 bln.
Change % -25% -56%
6-th IRSF,Moscow ,10Nov09 National Foreign Exchange Association, Russia
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Non-residents in Russian FX
Share of non-resident (global) participants in Russian FX market stable at 37-42%
Period non-residents in USD/RUB
Non-residents EUR/RUB
Q4 2007 37.0% 31.7%
Q2 2008 38.9% 25.3%
Q4 2008 41.5% 20.7%
Q2 2009 39% 22%
6-th IRSF, Moscow, 10Nov09
National Foreign Exchange Association, Russia
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RUB markets outside Russia
• Turnover: $10-12 bln. daily (FX, IRD)
• Link Moscow-London (transactions done in Moscow in the name of London HO)
• Number of banks (dealing codes) (according to ICAP EBS data on banks that entered RUB SSI)
• Active: 50 (already dealt in EBS)• Potential: 140 (entered RUB SSI in EBS)
Increase in participants and thus global
volumes subject to settlements solution!
RUB FX in London
Source: UK FXJSC semi-annual survey, April 2009
6-th IRSF,Moscow ,10Nov09
National Foreign Exchange Association, Russia
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Oct 08 Apr 09Percentage of RUB in total UK FX
0.7% 0.7%
USD/RUB turnover $10.9 bln. $8.6 bln.
Rank of RUB (~ same as MXN PLN, KRW, TRL)
15 17
Total ADT of UK market, $bln.
$1699 bln. $1356 bln.
Global banks RUB trading
• Global banks – main promoters of RUB instruments
• RUB FX pricing and execution hub location: struggle between Moscow and Head office:
in London: 30%in Moscow: 60% other (Tokyo, Vienna,
Helsinki, Dubai, Hong Kong): 10%
6-th IRSF,Moscow ,10Nov09
National Foreign Exchange Association, Russia
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6-th IRSF,Moscow ,10Nov09 National Foreign Exchange Association, Russia
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Prospects of RUB as international currencyInfrastructural prerequisites for global RUB
trading (tasks for Russian authorities, CBR):
1. Change CBR concept of internal FX market to recognize global RUB FX market;
2. Promotion of RUB instruments in global electronic trading platforms (such as EBS or Reuters)
3. To remove obstacles in RUB clearing and settlements for international participants:- RTGS (BESP of CBR)
- CLS Bank clearing currency (next ZAR, MXN)
4. Monitor RUB global trading volumes
6-th IRSF,Moscow ,10Nov09 National Foreign Exchange Association, Russia
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About NFEA
• Established: October 1999 in Moscow as non-commercial organization;• Membership: legal entities (local and global banks and brokers) working on/related to
Russian spot/forward foreign exchange and money markets.• 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: MosIBOR (2001, RUR interbank % rates), RIBER (2004, USD/RUB), MosPrime Rate (2005, RUB money market reference rate)
• Projects in progress:- NFEA FX SWAP RATE – new index for USD/RUB and EUR/RUB forwards- Standard Documentation on Russian OTC derivatives transactions (Russian analogue
of ISDA Agreement) – completed in 2009- Legal documentation on syndicated loans;
• International cooperation and working contacts: - ACI-The Financial Markets Association - ISDA (inclusion of MosPrime rate into ISDA definitions 2006)
6-th IRSF,Moscow ,10Nov09
National Foreign Exchange Association, Russia
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Contact Details
13 Bolshoy Kislovskiy Per., Moscow, 125009, Russia, Tel.+7 (495) 705-9693, Fax: +7(495) 705-9675.www.nva.ru, www.nfea.ru
@ The Copyright National Foreign Exchange Association, 2008. All rights reserved. Any reproduction is only permitted with prior consent of NFEA.