EFTA01379417.pdf

22 December 2017 EM Currency Handbook 2018: Still Fuel in the Tank Regulatory framework and approach • The Central Bank of Russia implementing monetary policy and intervenes in FX markets to preserve financial stability (http://www.cbr.ru). • 1-week, 28-days and 12-month FX repo auctions are held periodically to aid Russian companies rolling over foreign currency denominated liabilities, principally USD. Allotments are typically several billion dollars in size but have been as large as $6bn. State-owned exports have been encouraged in the past to increase foreign currency sales to support the ruble. • The Russian ruble is a fully accessible. fully convertible currency. Both deliverable and non-deliverable FX markets exist but the majority of the market trades deliverable. Non-deliverable spreads are slightly wider than deliverable spreads following the ruble turmoil. The latest BIS tri-annual survey ranks the ruble twelfth in FX turnover with a 1.6% total FX share, the third most liquid EMFX currency behind China and Mexico (and ahead of Norway in the G10). Onshore RUB products FX spot Avg. ticket size: USD 10mn Bid/ask spread: RUB 0.04 Avg. daily volume: USD 8-9bn Ref. source: EMTA fixing for NDF cRUBMCMEEMTA=>; backup fixing is EMTA RUB Indicative Survey Rate; www.emta.org Trading hours: 7:00-16:00 London FX forwardswap Avg. ticket size: USD 10-50mn Liquid tenors: <12M Bid/ask spread: RUB 0.01.0.20 Ref. source: Reuters Page <DBMP> C oss• Cu I runty swaps Avg. ticket size: USD 1-2k DV01 Liquid tenors: lY - 5Y Bid/ask spread: 10-20bp Fixing: USD 3M LIBOR Ref. source: Reuters Page <DBMP> Regulatory: Government bonds, including OFZs. are fully euroclearable. so one can trade both on MICEX and OTC with e/c settlement. Foreigners don't pay any taxes, only locals. Avg. ticket size: USD 1 - 3 mn Bid/ask spread: 20 - 30 bp Ref. source: Micex Reuters <NRUTSY=MM> Offshore RUB products. Non-Deliverable Forward (NDF) Avg. ticket size: USD 10mn Liquid tenors: <1Y Bid/ask spread: RUB 0.10-0.30 Avg. daily volume: USD 300mn Ref. source: Reuters page <DBMP> Deutsche Bank Securities Inc. Page 79 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0076882 CONFIDENTIAL SDNY_GM_00223066 EFTA01379417