EMTA and CME Group adopt Moscow Exchange USD/RUB FX benchmark

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 at http://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 at http://moex.com/s1914. In March, the benchmark was recognized as IOSCO-compliant following an external audit conducted by Ernst & Young.

Аbout Moscow Exchange"s FX market

Moscow Exchange (MOEX) is the main liquidity and price discovery centre for Russian financial assets. Moscow Exchange hosts trading in equities, bonds, derivatives, currencies, money market instruments and commodities.

MOEX operates the largest rouble FX trading marketplace worldwide. The average daily trading volume reached $20.4 bn in June 2016, and the number of international clients stood at more than 8,300 from 93 countries. The share of international traders in MOEX FX spot is at around 40%.

MOEX's FX fixings are used to settle rouble FX futures traded on Moscow Exchange. The new definition of MOEX's USD/RUB fixing ("RUB05") will be incorporated in the new version of ISDA's FX Definitions co-published by EMTA. The Domestic Russian Standard documentation for Russian OTC derivatives market ("RISDA") was amended on 5 July 2016 to replace the EMTA rate for MOEX Fixing.

Moscow Exchange is regulated by the Central Bank of Russia, which is due to issue an official recognition of the benchmark quality later in July 2016. MOEX endeavours to conform with all EU regulations on indices used as benchmarks in financial instruments and financial contracts. The Exchange will apply to the European Securities and Markets Authority (ESMA) for recognition as a third-country administrator and for inclusion in the register in order for MOEX fixings to be freely used by European financial institutions. 

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