Moscow Exchange Announces Launch Of A New FX Market Indicator

28/05/2013

Beginning May 27, 2013 the Moscow Exchange started calculating and releasing a new FX market indicator, the Ruble Fixing. The new indicator will be applied in the FX derivatives. The introduction will facilitate recognition of the ruble fixing calculated based on exchange trades abroad.

The Ruble Fixing Methodology was designed with involvement of the leading Moscow Exchange FX market members. Thus it provides for more transparent and convenient instrument compared to existing fixings, for covering the underlying asset risk associated with derivatives.

Within the framework of a joint project with the foreign electronic broking platform EBS ICAP, the Exchange is going to launch calculation and publishing of the International Ruble Fixing that is an average value of the Moscow Exchange Ruble Fixing and Fixing EBS, both of which are calculated by a unified methodology. The move aims to enhance the attractiveness of the on-exchange FX trading as the pricing hub for the ruble.

The new methodology stipulates the shortest time period for the fixing calculation on the basis of quotes and trades derived immediately from the trading system. Therefore, the fixing is as close to the current market price as possible and highly protected against manipulation.

According to Igor Marich, the Managing Director of the Moscow Exchange's Money Market, "the FX market of the Moscow Exchange is a big and dynamically developing segment with average daily trading volume exceeding USD22 billion in April. The launch of the new reference rate represents one more project implemented on the market that widens its product line and meets needs of its members".

Sergey Romanchuk, Deputy Head of Treasury at Metallinvestbank, believes that the fixing is a next-generation market indicator based on actual transactions. The fixing methodology was developed by the market itself and using the expertise of ACI Russia and the User Committee of the Moscow Exchange's FX market. The highest transparency of the methodology allows avoiding manipulation in establishing the exchange rate and facilitates active utilization of the indicator in creating various FX derivatives, first of all, cash-settled USD/RUB FX futures fixing. "Shared international fixing rate may become a reliable basis for non-deliverable forwards contracts to migrate to and then replace the existing EMTA fixing established through polling a specified contributors", he added.

According to the Methodology, the fixing calculation specifics are as follows:

  • The USD/RUB exchange rate is calculated daily as at 12:00 MSK based on average trades and orders prices computed every second over the period from 11:59:01 through 12:00:00 MSK.
  • Data on trades and orders in the instrument USDRUB_TOM is taken for the calculation. And only order book orders and trades are eligible.
  • In addition, the indicator is calculated every second during the trading hours on the Unified trading Session.

The indicator's values are available in the trading system SPECTRA of the Moscow Exchange's Derivatives Market from May 6 and in the FX market's trading system ASTS from May 20. Furthermore, the indicator will be transmitted via the information and reference systems and information agencies.