On July 5, 2011 the MICEX is launching two new instruments in the MICEX derivatives market: futures on 1-month average RUONIA interest rate and futures on 3-month OIS fixing on the basis of RUONIA interest rate. Both contracts are designed on the basis of RUONIA interest rate, calculated by the National Foreign Exchange Association (NFEA, www.nva.ru).
Futures on interest rates are a key instrument in well-developed on-exchange derivatives markets, both in terms of trading volumes and open interest.
Active participants in trading in interest rate futures are almost all categories of market participants: commercial and investment banks, finance companies, manufacturing companies and even individuals.
One of the most common reasons for the popularity of interest rate futures is the possibility to use them to significantly reduce the risk of losses in case of mismatching (1) the maturity of assets and liabilities of the balance sheet for banks and non-credit institutions, including companies from the manufacturing sector. Thus, the launch of the new instruments will enable participants in the derivatives market and their clients to hedge interest rate exposure over a wide time period, which will help to improve the stability and predictability of their businesses.
(1) The term means that the maturity of liabilities (the period for which the bank attracts funds) and the maturity of assets (the term for which they are placed) do not match.
Background information:
Futures on the 3-month OIS fixing on the basis of RUONIA rate
Futures on the 3-month OIS fixing on the basis of RUONIA rate is a settlement futures contract whose underlying asset is the value of the 3-month ROISfix fixing, formed by the NFEA. The instrument is in fact a FRA in the OIS (overnight index swap) market, as it enables to fix the future value of the fixed rate for the 3-month OIS with standard dates of settlements. The contract is similar to the 3-Month Eurodollar Futures (CME Group) in terms of settlements. It is a full analog of the 3-Month Eonia Swap Index Futures (NYSE Euronext), including the determining of the underlying asset.
Futures on the 1-month average RUONIA interest rate
Futures on the 1-month average RUONIA int