USD/UAH exchange rate calculation

EMTA (Trade Association for Emerging Markets) stopped calculating and publishing the USD/UAH exchange rate on 1 October 2014 due to insufficient numbers of quotes from banks.

Moscow Exchange is working actively with key market players to select an alternate source for market USD/UAH rate data, and plans to discuss the issue at the upcoming Moscow Exchange Derivatives Market Committee meeting. The committee's recommendations will be announced in due course.

A daily variation margin will be calculated using the USD/UAH rate as determined by Moscow Exchange's indicative FX rate calculation methodology. However, due to limitations on Ukrainian banks in purchasing and selling UAH, the rate published by Reuters (used by the methodology for calculating indicative FX rates) may under present conditions deviate from the real OTC rate. As such, this rate may be inappropriate for use as a USD/UAH futures settlement price.

If EMTA resumes publishing the USD/UAH rate, then it will be used in calculation of a daily variation margin and as the settlement price on the expiration date of USD/UAH futures.

When discussing the situation with market players, Moscow Exchange guides that UAD/UAH futures were developed as an instrument linked to the market exchange rate for the pair, and thus the futures settlement price should be close to the NDF settlement price.

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