Moscow Exchange (Moex) is now offering instruments to trade at the Moex FX USD/RUB and EUR/RUB fixing prices with clearing and settlement via its clearinghouse, NCC Clearing Bank.
The new offering aims to provide Russian and international banks with a hedge against the currency risk of OTC trading in rouble NDF with the net return calculated at maturity as the difference between the forward rate and the Moex fixing rate.
The fixing instruments, USDRUB_FIX0 and EURRUB_FIX0, are traded from 10:00-12:15 MSK on days when the Moex USD/RUB FX Fixing and Moex EUR/RUB FX Fixing (?+0) are computed.
The Moex USD/RUB FX Fixings are calculated at 12:30 MSK. Trades are settled on the next day after the trade date (T+1 settlement cycle). There are two trading boards: central order book (FIXS) and negotiated trading (FIXN).
The FX fixing has been used as the principal settlement (reference) rate for OTC rouble derivatives (NDFs, NDOs) since July 2016.
It undergoes annual assurance reviews for compliance with the IOSCO Principles for Financial Benchmarks, and is also in ISDA’s FX Definitions. The fixing will be submitted for inclusion into the FSA ESMA Registry in 2018.
Russian banks, including subsidiaries of large global financial groups, posted a total turnover of $6 million on the first day of FX fixing trading. Trading participants included Bank Credit Suisse (Moscow), Bank Derzhava, Metallinvestbank, Promsvyazbank and others.
“The launch of instruments for FX fixing trading offers new opportunities to Moex FX market participants and allows them to reduce risks associated with FX and derivatives trading. The new service is in demand from international clients; it also helps to highlight the fixing and the Moex FX market,” says Igor Marich, managing director for the FX and money markets.