1. Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange1 NFEA indexes for Russian Money Market Dmitry Piskulov, Ph.D. (econ.) Chairman of NFEA Management Board, Chairman of Committee for Professionalism

2. Average daily volumes, US$ bln., Source: CBR Off-shore RUB MM (non-resident to non resident): no datahjk Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange2 Bln.$ Interbank depositsREPOs All tenorsDomesticCross- border DomesticCross- border Jan10$7.5 bln$2.7 bln$2.2 bln0 Oct 10$6.5 bln$1.6 bln$5.6 bln0 Feb 11$6.2 bln$2.1 bln$5.1 bln0 Sep 11$8.3 bln$2.8 bln$5.6 bln0 Jan-Apr12$9.2 bln$2.4 bln$4.2 bln$1.7 mln Jul-Oct12$9.0 bln$3.3 bln$2.2 bln$20.8 ml RUB domestic money market

3. Russian FX market 2008-12 Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange3

4. Global derivatives amounts Source: BIS, June 2012 Notional principal amounts outstanding, trln.US$ By underlying assetJune 2011June 2012 OTC Exchanges Foreign exchange64.766.60.325 Interest rate contracts553.2494.055.6 Equity linked contracts6.86.33.5 Commodity contracts3.23.0n.a Credit default swaps32.426.9n.a Unallocated46.542.0n.a Total contracts706.9638.9 Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange4

5. Russian OTC FX& IR derivatives trading volumes ADT bln.US$FX derivativesIR derivatives April 2012$4.8 bln.$270 mln. May 2012$5.0 bln$250 mln. June 2012$5.3 bln.$154 mln. July 2012$4.8 bln$96 mln. Aug 2012$5.1 bln$46 mln. Sep 2012$5.7 bln$150 mln. Oct 2012$4.8 bln$186 mln. FX derivatives: FX swaps(longer than spot),outright/NDF,FX options IR derivatives: Cross currency swaps, Interest rate swaps, OIS Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange 5

6. RUB markets outside Russia Trading volumes(ADT) reported off-shore: FX instruments: $ 18-19 bln. Money market instruments: $ 2.0-3.0 bln. Interest rate derivatives: $ 0.3-0.5 bln. RUB bonds trading: $ 0.5-1 bln. Total (FX,MM,Derivat.): $ 20-22 bln. Moscow, 26 Nov 20126"Russian money market" Seminar CBR-Moscow Exchange

7. Volumes of USD/RUB FX instruments in London InstrumentOct 2009Apr 2011Apr 2012 FX spot$1.9 bln$5.5 bln$7.6 bln - NDF$1.2 bln$2.2 bln$2.4 bln + Outrights$0.3 bln.$0.4 bln.$1.7 bln + FX swap$4.3 bln$4.6 bln$4.4 bln - Ccy swaps$0.1 bln$0.4 bln$0.2 bln - FX options$1.2 bln$0.8 bln$1.1 bln + Total:$9.0 bln$13.9 bln$17.4 bln Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange7 Bank of England UK FXJSC: ADT in 2008-12

8. Choice of right interest rate QUESTION: What interest rate is best (true and representative)? Quoted at certain time? Based on actual deals? Synthetic? And FOR WHAT PURPOSES? Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange 8

9. History of NFEA indices MosIBOR – Moscow InterBank Offered Rate (Aug 2001- Jan2010) - first interbank indicative MM index launched by NFEA by LIBOR methodology RIBER – Ruble interbank Exchange Rate (2006-2009) 16 C o n t r i b u t o r b a n k s ABN AmroMDM AlfaPetrocommerce CitibankRaiffeisen DIB (now Trust)Rosbank CSFBSberbank EvrofinanceVneshtorgbank International Moscow BankVnesheconombank Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange9

10. MosIBOR: what was wrong 16 banks of different (unequal) credit quality: one bank quote 4.0% other 8% As result MosIBOR represented simple average – dilemma of “average temperature in hospital” Non representative % rate for commercial purposes (benchmark) MIBOR and MIACR (of CBR) have same problems Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange 10

11. Today NFEA, CBR rates indices Since 2005, 10 contributor banks Since 2010, 14 banks Since Sep 2010, together with CBR, 29 banks Since April 2011, 9 banks Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange11

12. jkgxl Launched in April 2005 by request of EBRD (first international RUB bond issue) Methodology same as LIBOR: offered rates quoted by 12:15, published at 12:31 by Thomson Reuters Homogenous list of contributor banks representing same (similar) credit quality –10 banks from 01/12/12 (max 12 in 2011 before LIBOR crisis) – includes Credit risk component Tenors: 1-6 months in 2008 was included into ISDA Definitions 2006 as recommended global reference rate for RUB instruments Similar to LIBOR most used globally: >200,000 times seens monthly (of them majority – 3 months and 6 months) Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange12

13. Contributors of MosPrime rate As per 01 October 2012 Citibank Deutsche bank Gazprobank HSBC (РR) ING Bank (Eurasia) RBS Raiffeisenbank Rosbank * Sberbank Unicredit bank VTB Rosbank ceases to take part in MosPrime rate from 01 Dec 2012 WestLB Vostok and Bank of Moscow excluded since 15/09/2012 Moscow, 26 Nov 2012 "Russian money market" Seminar CBR-Moscow Exchange 13

14. Graph of MosPrime 2011-12 Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange 14

15. xgf Since Sep 2010 - Actual O/N trades in the market Graph RUONIA (yellow) vs MosPrime rate O/N (blue) Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange15

16. jgk Contributors as per 01.10.2012 VTB Goldman Sachs Deutsche ING Bank (Eurasia) RBS Credit Suisse (Moscow) Metallinvestbank Morgan Stanley Raiffeisen Rosbank Sberbank Citibank HSBC Unicredit Launched December 2011 Indicative FX swap rates (swap points) – mid rate USD/RUB + EUR/RUB Tenors: 1w, 1m, 2m, 3m, 6m Published 16:31 MSK Allows to calculate Implied RUB interest rate Moscow, 26 Nov 2012 "Russian money market" Seminar CBR-Moscow Exchange16

17. Graph of implied % rate from NFEA FX Swap rate 2011-12 Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange17

18. fh NFEA RUONIA OIS FIXING Contributors ROISFIX 01.10.12 Deutsche ING Bank (Eurasia) RBS Metallinvestbank Merrill Lynch International Raiffeisenbank Citibank Troika Dialog Unicredit Idea: ICAP plc Launched April 2011 Indicative fixed rates of RUB Overnight Index Swaps (mid rates) at 12:31 MSK Tenors: 1w, 1m, 2m, 3m, 6m OIS % rate - free of credit risk, clean value of money Problem: no market liquidity Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange18

19. Graph of ROISFix 2011-12 Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange19

20. Spread OIS–LIBOR(MosPrime) Difference or "spread" between LIBOR/MosPrime and OIS rates - important measure of risk and liquidity in the money market, strong indicator for the relative stress in the interbank market. A higher spread (high Libor) - indication of a decreased willingness to lend by major banks, a lower spread indicates higher liquidity in the market. Spread can be viewed as indication of banks' perception of creditworthiness of other financial institutions and the general availability of funds for lending.creditworthiness Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange20

21. Regulators: monitor spread LIBOR-OIS or MosPrime-ROISFix Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange 21

22. Moscow, 26 Nov 2012 "Russian money market" Seminar CBR-Moscow Exchange22 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

23. Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange23

24. Moscow, 26 Nov 2012"Russian money market" Seminar CBR-Moscow Exchange24 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.