Moscow Exchange begins releasing indicative swap rates
Moscow Exchange began releasing indicative swap rates (swap fixing) on 24 February for RUB/USD swaps with 1W, 2W, 1M, 2M, 3M, 6M, 9M, and 1Y maturities.
The rates will be calculated daily at 12:30 pm MSK based on aggregated deal and price data for anonymous orders.
The move aims to improve the usefulness and transparency of the exchange"s FX Market data. The rates may be used for derivatives market hedging.
Indicator | Swap used to calculate the indicator |
---|---|
SRATE_USD_1W | USD_TOM1W |
SRATE_USD_2W | USD_TOM2W |
SRATE_USD_1M | USD_TOM1M |
SRATE_USD_2M | USD_TOM2M |
SRATE_USD_3M | USD_TOM3M |
SRATE_USD_6M | USD_TOM6M |
SRATE_USD_9M | USD_TOM9M |
SRATE_USD_1Y | USD_TOM1Y |
For reference:
Moscow Exchange launched long term USD/RUB FX swaps with 1W, 2W, 1M, 2M, 3M, 6M, 9M, and 1Y maturities in 2012. Over 100 members executed long term USD/RUB swaps totalling of RUB 763 bln in 2013. FX swaps make it easier for banks to borrow in FX and roubles, as well as to manage currency positions. On exchange swaps avoid the need to sign general agreements on OTC swap deals.
The swap indicative rates methodology and values are given on the Moscow Exchange's website.
For further information, please contact the Public Relations Department at (495) 363-3232.
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