Презентация на тему «Russian RUB»

Russian RUB FX spot & derivatives markets in 2014 Dmitry Piskulov, Ph

D. (econ.) Chairman of NFEA Board; Member of Monetary Policy Council of Association of regional banks ”Russia”

Moscow, 20 November 2014

Moscow Conference

1

Current trends in RUB markets

Continued RUB depreciation against USD CBR monetary policy: inflation targeting is fully in force by 2015. BKT-RUB corridor abandoned CBR increased Key rate from 5.5 to 9.5% - higher RUB %% High capital outflow in the country: $120 bln. est. in 2014 RUB FX market volumes generally in decline Declining RUB liquidity and volumes in domestic MM Looming Banking crisis (capital adequacy down) New refinancing from the CB: ccy repo,reverse FX swap 9. RUB increased use in CIS (prospects in BRICS)

Moscow, 20 November 2014

Moscow Conference

2

Positive trends

Improved current trade& C/A balance (reduction of import) Government budget fulfilled because of increased energy export revenues in Ruble terms Sanctions bad = sanctions good : create incentives for replacing import with local productions Facing eastwards: stronger ties with Asian partners (China, Vietnam, Hong Kong, North Korea) – may use Ruble as foreign trade payment currency

Moscow, 20 November 2014

Moscow Conference

3

RUB FX trading volumes

Key features: On-shore: Declining volumes of RUB on-shore FX due to lower interbank trading, lower energy prices Off-shore (London) RUB volumes fluctuate: Increased in April 2014 But may go down again in Oct 2014 Increased volatility looming after 2015 Draft Federal Law on regulation of retail Forex dealers (brokers) should pass second reading at State Duma – may potentially result in increased client FX flows to banks, require banks to create FX dealer subs

Moscow, 20 November 2014

Moscow Conference

4

Average Daily Turnover of global FX market in 1986-2013

U$ Bln.

1986

1992

1998

2004

2010

2013

Net turnover

$355

$820

$1,527

$1,934

$3,971

$5,345

FX spot

212

394

568

631

1,488

2,046

Forwards

143

143

143

58

128

209

475

680

FX swaps

324

734

954

1,759

2,228

FX options CCY swaps

n.a. n.a.

87 10

119 21

207 43

337 54

Moscow, 20 November 2014

Moscow Conference

5

CCYshares in global FX 2007-2013

Rank

Currency

Share % 2007

Share % 2010

Share % 2013

1

USD (US Dollar)

86.3

84.9

87.0

2

EUR (Euro)

37.0

39.1

33.4

3

JPY (Japanese yen)

16.5

19.0

23.0

4

GBP (Pound sterling)

15.0

12.9

11.8

5

AUD (Australian dollar)

6.7

7.6

8.6

6

CHF (Swiss frank)

6.8

6.4

5.2

7

CAD (Canadian dollar)

4.2

5.3

4.6

8

MXN (Mexican peso)

1.3

1.3

2.5

9

CNY, CNH

0.5 (22-th)

0.9 (17-th)

2.2

…

………………………

12

RUB (Russian Ruble)

0.8 (17-th)

0.9 (16-th)

1.6

19

BRL (Braz. real)

0.5

0.7

1.1

20

INR (Indian rupee)

0.7

0.9

1.0

Moscow Conference

6

Moscow, 20 November 2014

Largest on-shore FX mkt 2007,2013

Rank

Country

2007 ADT, $ bln.

2007 Share global %

2013 ADT, $ bln.

2013 Share global %

1

UK

1,359

34.1 %

2,726

40.9%

2

USA

664

16.6 %

1,263

18.2%

3

Singapore

231

5.8 %

383

5.7%

4

Japan

238

6.0 %

374

5.6%

5

Hong Kong

175

4.4 %

274

4.1%

6

Switzerland

242

6.1 %

216

3.2%

7

France

120

3.0 %

190

2.8%

8

Australia

170

4.2 %

182

2.7%

9

Netherlands!

25

0.6 %

112

1.7%

10

Germany

99

2.5 %

111

1.7%

11

Denmark

86

2.2 %

103

1.5%

12

Canada

60

1.5 %

65

1.0%

13

Russia

50

1.3 %

61

0.9%

7

Largest USD/CCY pairs in global FX

2010

2013

EUR/USD

28%

24.1%

USD/JPY

14%

18.3%

GBP/USD

9%

8.8%

USD/AUD

6%

6.8%

USD/others

11.2%

4.0%

USD/CAD

5%

3.7%

USD/CHF

4%

3.4%

USD/RUB

…

1.5% (11-th)

Moscow, 20 November 2014

Moscow Conference

8

Global derivatives amounts

Notional principal amounts outstanding, trln.US$

By underlying asset

June 2012 OTC Exchanges*

June 2012 OTC Exchanges*

June 2014 OTC Exchanges*

June 2014 OTC Exchanges*

Foreign exchange

66.7

0.33

74.8 +

0.38 +

Interest rate contracts

496.2

48.5

563.2 +

65.6 +

Equity linked contracts

5.3

5.2

6.9+

7.5 +

Commodity contracts

3.0

2.2 -

n.a

Credit default swap

26.9

n.a.

19.5 -

n.a

Other

42.2

n.a.

24.8

n.a

Total contracts

641.3

691.5+

*Data for Exchange traded derivatives (futures&options) on Dec 2012 and Jun 2014 respectively

*Data for Exchange traded derivatives (futures&options) on Dec 2012 and Jun 2014 respectively

*Data for Exchange traded derivatives (futures&options) on Dec 2012 and Jun 2014 respectively

*Data for Exchange traded derivatives (futures&options) on Dec 2012 and Jun 2014 respectively

*Data for Exchange traded derivatives (futures&options) on Dec 2012 and Jun 2014 respectively

Moscow, 20 Nov 2014

9

Russian domestic cash & derivatives markets 2014

FX instruments

$50-68 bln.

$2-3

$2-3 bln.

Interest Rate instruments

$10-11 bln.(IBL) $10.5 (Repo)

$0.3-0.6

$0.06

Equity

$15-18 bln.

$0.1-0.2

$3-4 bln.

Commodity

n.a.

n.a.

$0.2-0.5 bln

Credit derivatives

n.a.

0.01

-

In 2013 CBR stopped provision of monthly statistics of volumes of FX and IR instruments, resumed in 2014 on short-tailed basis

US$ bln. (ADT)

Cash (underlying)

Derivatives OTC Exchange

Derivatives OTC Exchange

Moscow, 20 Nov 2014

10

Domestic FX market volumes 2003-2014 (all ccy vs USD/RUB)

Moscow, 20 November 2014

Moscow Conference

11

Russian domestic FX spot market volumes (ADT) 2008-2014

Jul 2008

$ 104.2 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

$ 56-74 bln

$16.6 bln.

Jan-Dec 2013

$ 57-72 bln.

$17.8 bln.

Jan-Oct 2014

$ 49-68 bln.

$25.7 bn !

Month

FX market ADT(hi,low), all currencies

MOEX

Source: CBR, Moscow Exchange, NFEA

Moscow, 20 November 2014

Moscow Conference

12

On-shore OTC FX volumes 2014

2014 Q1

$66.2 bln.

$2.8 bn.

2014 Q2

$57.4 bln

$2.4 bln.

2014 Q3

$53.8 bln

$2.3 bln.

2014 Q4 (October)

$51.2 bln.

$3.9 bln.

ADT bln.US$

FX spot*

FX derivatives

13

Moscow, 20 Nov 2014

On-shore vs Off shore FX market 2008-13

Moscow, 20 November 2014

Moscow Conference

14

RUB markets outside Russia

Trading volumes(ADT) reported off-shore: FX instruments: $ 28-30 bln. Money market instruments: $ 1.0-2.0 bln. Interest rate derivatives: $ 0.3-0.5 bln. RUB bonds trading: $ 1-2 bln. Total (FX,MM,Derivat.): $30 - 35 bln. daily

Moscow, 20 Nov 2014

15

Volumes of USD/RUB FX in London

Bank of England UK FXJSC: ADT in 2009-14

Instrument

Oct 2009

Apr 13

Oct 13

Apr 14

FX spot

$1.9 bln

$14.3

$10.7

$13.9

NDF

$1.2 bln

$4.2

$2.3

$2.1

Outrights

$0.3 bln.

$5.1

$1.3

$2.4

FX swaps

$4.3 bln

$8.7

$7.9

$8.0

Ccy swaps

$0.1 bln

$0.4

$0.2

$0.2

FX options

$1.2 bln

$1.7

$0.9

$1.9

Total:

$9.0 bln

$34.4 bln.

$23.3 bln.

$28.5 bln.

Moscow, 20 November 2014

Moscow Conference

16

Russian initiatives to promote Ruble settlements for export

24 April: meeting at First Vice-premier I.Shuvalov: MinFin and MinEconomy were tasked to elaborate measures to increase Ruble payments avoid use of USD in export May: V.Putin adopted legislation enabling Russian exporters receive Rubles as export proceeds. August: Gazpromneft pioneer contract in Rub September: I.Shuvalov “We need to reduce USD payments with Asia. New export contracts should be in Rubles” THIS MAY INCREASE FX MARKET TURNOVER in long-run

Moscow, 20 November 2014

Moscow Conference

17

RUB prospects as reserve CCY

1

USD (US Dollar)

87.0

22,7% (0)

61.2% (1)

2

EUR (Euro)

33.4

23,5% (1)

24,5% (2)

3

JPY (Japanese yen)

23.0

6.6% (3)

3,9% (4)

4

GBP (Pound sterling)

11.8

3.4% (6)

4.0% (3)

5

AUD (Australian dollar)

8.6

2,0% (12)

1,6% (6)

6

CHF (Swiss frank)

5.2

0.9% (20)

0,2%

7

CAD (Canadian dollar)

4.6

2,5% (11)

1,7% (5)

8

MXN (Mexican peso)

2.5

1,8% (14)

….

9

CNY, CNH

2.2

12,4% (2)

…

………………………

Others 2.9%

12

RUB (Russian Ruble)

1.6

2,9% (8-th)

19

BRL

1.1

3.0%

20

INR

1.0

2.5%

Rank by share

Currency

Currency Share % 2013

Global GDP % In 2013 Rank by GDP

Share in COFFER (IMF) Q4-13

18

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 2012) CLS Bank: inclusion of Rub into CLS clearable currencies (since end 2011) NFEA will merge with NSMA by end of 2015

Moscow, 20 November 2014

Moscow Conference

19

Contact Details

12 Bolshaya Nikitskaya st, Moscow, 125009, Russia, Tel.+7 (495) 629-9510, 629-9709 www.nva.ru, www.nfea.ru; www.ruonia.ru @ The Copyright National Foreign Exchange Association, 2012 All rights reserved. Any reproduction is only permitted with prior consent of NFEA.

Moscow, 20 November 2014

Moscow Conference

20