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Moscow Exchange"s (MOEX) USD/RUB benchmark has been recommended by the Emerging Markets Traders Association (EMTA) as the major settlement (reference) rate for OTC rouble derivatives (NDFs, NDOs) for its OTC FX members. CME Group will also use MOEX"s USD/RUB benchmark for its rouble-denominated currency futures.
EMTA and CME Group jointly agreed to wind down their Russian Rouble Reference Rate Survey, which EMTA had used as its rouble fixing since 1998, in June 2016. EMTA has recommended its members use MOEX"s USD/RUB benchmark (also called the MOEX 12:30 rate) for NDFs and NDOs as their primary settlement rate option, effective as of 18 July. CME Group also plans to stop using the EMTA RUB/USD fixing as the settlement rate for its rouble FX futures and to switch to the MOEX 12:30 rate from 18 July 2016.
Igor Marich, Managing Director, FX and Money Markets at Moscow Exchange, said: "MOEX is the key platform for trading the Russian rouble. Our market share versus domestic and international platforms and OTC market has increased substantially over the past couple of years. Promotion of MOEX"s USD/RUB fixing and the benchmark"s recognition by largest international banks and venues will help MOEX attract additional volumes of offshore rouble FX trading. MOEX FX volumes are growing and we are set to become a substantial part of the global FX market, the single largest market worldwide."
Moscow Exchange calculates rouble rates for a number of currencies, as well as fixings for USD/RUB FX swaps with maturities from one week to one year. The benchmarking methodology is based on market quotes and trades in MOEX electronic trading systems from 12:25pm MSK to 12:30pm MSK. The rate is published at 12:35pm MSK on the MOEX website athttp://moex.com/ru/fixing/ and by Thomson Reuters, Bloomberg and other vendors.
MOEX"s trade-based methodology differs from the survey-based methodology currently employed by EMTA, and has been widely hailed by market participants for its transparency. The methodology is publicly available on MOEX"s website athttp://moex.com/s1914. In March, the benchmark was recognized as IOSCO-compliant following an external audit conducted by Ernst & Young.
"Further to EMTA issuing its Recommended FX and Currency Derivatives Market Practice No. 77, CME Group is happy to be using the MOEX USD/RUB FX Fixing for the Russian Rouble Futures and OTC products," said Paul Houston, Global Head FX Products, CME Group.
