Swap contracts with fixed expiration dates
Moscow Exchange will launch USD/RUB, EUR/RUB and CNY/RUB FX swap contracts on 10 October 2016 on its FX Market. They will be available for both order book and negotiated trading. The new instruments have expiration dates of their second legs tied to settlement dates of fixed deliverable futures. This makes them different from current swap contracts with standard expiration dates. Fixed swap contracts will expire every quarter. The length of the longest contract is one year (six months for CNY/RUB, similar to fixed deliverable futures).
The new instruments have the same parameters as swap contracts with usual expiration dates. The size of one lot is 100,000 units of currency, which is similar to deliverable futures with fixed settlement dates. The tick size is RUB 0.0001 (RUB 0.000001 for CNY).
Benefits
- The option to settle the swap contract by a fixed deliverable futures on the maturity date. To this end, main parameters of new swap contracts such as the expiration date and lot size have been set to be identical with those of deliverable futures.
- Synchronisation with non-deliverable futures contracts as the expiration day of the swap contract and deliverable futures (deliverable TOD contract with settlement on Friday) is the settlement day following the day when the cash-settled futures is settled on the Derivatives Market (cash-settled TOM contract with settlement on Thursday that is linked to the FX fixing).
- The option to roll over positions in fixed deliverable futures to longer maturities through swap instruments.
- Hedging and arbitrage opportunities when the Russian FX market becomes increasingly volatile.
Downloads:
Testing
New swap contracts are available for testing in the UATCUR_GATEWAY environment of the Moscow Exchange FX Market.
To connect, please send a request to help@moex.com