Update to Moscow Exchange Fixing Methdology

On 2 April 2018, a new version of the Moscow Exchange Fixing Methodology will come into force. The methodology was amended to specify how reserve fixing values are determined and market participants are notified in case the market is closed at the moment the indicators are calculated (i.e. 12:25-12:30 MSK).

According to the updated methodology, indicative FX rates calculated by the Exchange based on OTC FX market data are used to set the fixing value in case the MOEX market is closed. If such data is not available, foreign exchange rates set by the Bank of Russia are transmitted as the fixing value.

For the full text of the updated Methodology, please visit the Moscow Exchange’s website.

For reference:

Moscow Exchange has published the USD/RUB, EUR/RUB and CNY/RUB FX fixings used as the principal settlement (reference) rate for OTC rouble derivatives (NDFs, NDOs), as well as the USD/RUB FX swap fixings (for swaps with maturities from one week to one year) since 27 May 2013. The MOEX USD/RUB FX Fixing is used to calculate the final settlement price of the MOEX US Dollar Futures Contract.

CME Group uses the MOEX USD/RUB benchmark for its rouble-denominated currency futures. The gauge is also incorporated in ISDA's FX Definitions as the primary rate to settle ruble-denominated currency futures on the OTC market.

In 2017, Moscow Exchange launched offered the USD/RUB and EUR/RUB FX fixing electronic matching service. The service is intended to help market participants with a hedge against the currency risk of OTC trading in rouble non-deliverable forwards (NDF). 21 Russian and international banks and brokers have made fixing transactions for a total of USD 7 billion since the launch of the service.

The MOEX Fixing calculation methodology meets standards of Russian and international regulations including IOSCO Principles for Financial Benchmarks.

For more detailed information about the MOEX FX Fixings, please, visit our website.