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09.07.2014 15:23

Change to EUR/RUB and EUR/USD futures settlement price calculation

Moscow Exchange is to change the calculation mechanism for EUR/RUB and EUR/USD futures settlement prices from September 2014. The relevant resolutions were adopted by Moscow Exchange"s Derivatives Market Committee on 25 June and FX Market Committee on 4 July.  

Moscow Exchange"s EUR/RUB fixing is to be used in settling EUR/RUB futures; the EUR/USD fixing calculated by Thomson Reuters and ICAP is to be used in settling EUR/USD futures. They will replace the exchange rates calculated and published by the European Central Bank, which are currently used by Moscow Exchange in settling the contracts.

"Moscow Exchange fixings are a result of long cooperation with FX market participants. The calculation methodology meets best global practice for market indicators. The methodology is based on Moscow Exchange market quotes, which brings definite benefits compared to fixings based on indicative quotes. The use of Moscow Exchange fixings to settle futures on RUB currency pairs will allow traders to minimise the market risk associated with underlying assets.  We have been successfully using our USD/RUB fixing to settle USD/RUB futures since December 2013", said Moscow Exchange Managing Director Igor Marich.

The use of fixings will allow unification of settlement procedure for futures on RUB currency pairs (USD/RUB, EUR/RUB) and also for non-RUB currency pairs (EUR/USD, GBP/USD, AUD/USD, USD/JPY, USD/CHF). From September 2014, settlement prices for futures on RUB currency pairs will be determined simultaneously, at 12:30 pm MSK, using Moscow Exchange"s currency fixings. The fixings are calculated by a single methodology that uses prices of orders and trades in relevant instruments on the exchange"s FX Market.  Settlement prices for futures on non-RUB currency pairs will also be determined simultaneously, at 11:00 am London time, using the relevant exchange rates from Thomson Reuters"s FXFIX page.

"Changes to EUR/RUB and EUR/USD futures settlement prices on Moscow Exchange are a long awaited innovation, leading to a definite structuring of the exchange"s FX instrument line. The new approach will help to ease execution and increase the attractiveness of trading FX futures on Moscow Exchange in terms of, primarily, risk hedging, which is an important factor for ensuring stable exchange trading volume growth", said Sergei Romanchuk, head of FX and money market operations at Metallinvestbank. 

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