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Current Trends in RUB Rates Derivatives Market

Current Trends in RUB Rates Derivatives Market. September 2011. OTC Instruments. RUB Rates market is segmented into Onshore (O/N Swaps and Deposits, access to MF/CBR Depo and Refinancing Facilities) and Offshore (from FX Swaps to XCY and IRS );

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Current Trends in RUB Rates Derivatives Market

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  1. Current Trends in RUB Rates Derivatives Market September 2011

  2. OTC Instruments • RUB Rates market is segmented into Onshore (O/N Swaps and Deposits, access to MF/CBR Depo and Refinancing Facilities) and Offshore (from FX Swaps to XCY and IRS); • Overall market liquidity increased ~30% YoY, mainly due to increase in FX corporate hedging flows

  3. Exchange Traded Instruments In terms of Outstanding Notional, markets remains 90% OTC

  4. Key Market Participants and Market Share 45% 8% 2% 10%

  5. IRS Market – Why Liquidity Is Not There • General lack of “infrastructure” in financial industry to deal with Interest Rate risk – expertise, human resources, IT systems; • Many tax, accounting and legal aspects of derivatives remaining in “grey” area; • Limited credit appetite of market participants to trade long dated derivatives; • Accuracy and reliability of Mosprime fixing Perspectives • Ongoing joint efforts of regulators and market participants to create clear and straighforward rules to handle with derivatives; • Development of credit support instruments - derivatives collateral, close-out netting of interbank deposits; • Ideas to “fix” Mosprime– narrow spread to 15% and increase minumum quoted size; • Transition to independent monetary policy

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