Fixed Income Market Presentation
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23%
FX Market: stronger demand for risk management via swaps
Trading volumes
Swaps with >1w maturity
1
RUB trln
Spot
Volatility USD/RUB
RUB bln
Swap
700
5.9
6.8
600
3.2
2.4
500
0.9
1.4
0.7
+22%
400
300
+42%
200
100
130
75
107
66
32%
53
56
56
29%
33%
30%
31%
39%
37%
67%
68%
70%
69%
61%
71%
63%
01.13
02.13
03.13
04.13
05.13
06.13
07.13
08.13
09.13
10.13
11.13
12.13
01.14
02.14
4Q2014
1Q2015 2Q2015
03.14
04.14
05.14
06.14-
07.14
08.14
09.14
10.14
11.14
12.14
01.15
02.15
03.15
04.15
05.15
1H2014 1H2015 2Q2014 3Q2014
Fee & commission income
RUB mln
+21%
1,865
1,543
1H2014 1H2015
+35%
1,048
1,005
743
817
860
2Q2014 3Q2014 4Q2014 1Q2015 2Q2015
Comments
■ In 2Q2015, spot market trading volumes were up 36%
YoY driven by higher volatility and increased activity
across all groups of market participants
■ Swap transaction volumes increased 44% YoY amid
growing demand from local banks to manage liquidity
positions and hedge FX risks
■The share of 1 week+ swaps continued to grow,
demonstrating a healthy demand for FX risks hedging,
while limiting risks thanks to transactions with CCP
MOSCOW
EXCHANGE
Source: Moscow Exchange operational information and Consolidated Financial Statements
Calculated as daily standard deviation of the USD/RUB exchange rate for the period
1
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