MOEX improves clearing of OTC derivatives

Beginning 15 February 2016, the Moscow Exchange Standardised OTC Derivatives Market will offer new types of centrally cleared OTC transactions, FX swaps and FX forwards. These will be in addition to already available central counterparty (CCP) cleared OTC interest swaps and CCP-cleared on-exchange FX, interest and cross-currency swaps and FX forwards.

Standardised OTC derivatives allow participants to mitigate credit risks by introducing a central counterparty as a party in every trade. Bank National Clearing Centre (NCC Clearing Bank), which is a qualified CCP, acts as the central counterparty for Moscow Exchange. Central clearing also makes it possible to substantially reduce capital costs and to apply low risk coefficients when calculating N1 and N6 statutory ratios.

OTC transactions with the CCP have a number of features, including daily marking-to-market with deposit not variation margin payable, as well as interest paid at the RUONIA or fed funds rate on accrued deposit margin in RUB and USD, respectively. NCC Clearing Bank pays interest at RUONIA-1% on collateral in RUB for Standardised OTC Derivatives Market transactions with the CCP.

For further information, please contact the Public Relations Department at (495) 363-3232.