CME to Replace its Russian Rouble Reference Rate with New One from MOEX

The Chicago Mercantile Exchange Exchange An exchange is known as a marketplace that supports the trading of derivatives, commodities, securities, and other financial instruments.Generally, an exchange is accessible through a digital platform or sometimes at a tangible address where investors organize to perform trading. Among the chief responsibilities of an exchange would be to uphold honest and fair-trading practices. These are instrumental in making sure that the distribution of supported security rates on that exchange are effectiv An exchange is known as a marketplace that supports the trading of derivatives, commodities, securities, and other financial instruments.Generally, an exchange is accessible through a digital platform or sometimes at a tangible address where investors organize to perform trading. Among the chief responsibilities of an exchange would be to uphold honest and fair-trading practices. These are instrumental in making sure that the distribution of supported security rates on that exchange are effectiv Read this Term (CME) plans to amend its rule 26002 related to the Russian rouble/US dollar (RUB/USD) futures contract, as the underlying benchmark reference rate will be swapped for a new source for price fixing starting July 17th.

The exchange said that it intends to replace the CME/EMTA Russian rouble reference rate which it uses for the final settlement of related contracts with the USD/RUB FX fixing rate calculated by Moscow Exchange (MOEX).

...CME Group is happy to be using the MOEX USD/RUB FX Fixing for the Russian Rouble Futures and OTC products.

RUB contracts get a new fix

The CME/EMTA RUB reference rate has been used for rouble fixing since 1998, and the CME will swap that reference rate with the USB/RUB FX fixing rate from MOEX.

Commenting in an official statement, Paul Houston, Global Head FX Products for CME Group, said: "Further to EMTA issuing its Recommended FX and Currency Derivatives Market Practice No. 77, CME Group is happy to be using the MOEX USD/RUB FX Fixing for the Russian Rouble Futures and OTC products."

July 17th planned change

The amendments apply to the final settlement rules for the RUB/USD futures and the cleared OTC USD/RUB spot, forwards and Swaps Swaps Swaps can be defined as a derivate contact composed of two parties that exchange to cash flow between two separate financial instruments.They are generally divided into two categories. This includes contingent claims (options) and forward claims, where forward contracts, swaps, and exchange-traded funds (ETFs) are exchanged. Commodity price, equity price, interest rate, and foreign exchange rate are common variables used as one of the cash flows in swaps upon initiation. Different Types of Swaps Swaps can be defined as a derivate contact composed of two parties that exchange to cash flow between two separate financial instruments.They are generally divided into two categories. This includes contingent claims (options) and forward claims, where forward contracts, swaps, and exchange-traded funds (ETFs) are exchanged. Commodity price, equity price, interest rate, and foreign exchange rate are common variables used as one of the cash flows in swaps upon initiation. Different Types of Swaps Read this Term contracts, as per the CME update regarding the planned changes which will go into effect Sunday, July 17th, pending all regulatory review periods.

EMTA and CME Group had agreed last month to wind down their Russian rouble reference rate, as the new source from MOEX is coming into effect for positions with a trade date of July 18^th on both CME and MOEX and moving forward.

Our market share versus domestic and international platforms and OTC market has increased substantially over the past couple of years.

Moscow Exchange update

In a parallel update from MOEX today, the exchange said that the Emerging Markets Traders Association (EMTA) had recommended that its USD/RUB FX fixing rate be used as the major settlement reference rate for OTC Russian rouble derivatives (NDFs and NDOs) for its OTC FX members, as it unveiled its new plans.

The calculation of the reference rate from MOEX was described as using a trade-based methodology and IOSCO-complaint as deemed by an Ernst & Young audit, compared to the survey-based approach used by EMTA.

The USD/RUB FX fixing rate from MOEX is published on the exchange’s website at 12:35pm MSK time, and by other vendors such as Bloomberg and Thomson Reuters. According to the update from MOEX, an amendment was made on July 5th, 2016, to the Domestic Russian Standard documentation of Russian OTC derivatives market (RISDA) to replace the EMTA rate for MOEX fixing.

Igor Marich, Managing Director of FX and Money Markets at Moscow Exchange, said in a corporate statement: "MOEX is the key platform for trading the Russian rouble."

Mr. Marich added: "Our market share versus domestic and international platforms and OTC market has increased substantially over the past couple of years. Promotion of MOEX's USD/RUB fixing and the benchmark's recognition by largest international banks and venues will help MOEX attract additional volumes of offshore rouble FX trading. MOEX FX volumes are growing and we are set to become a substantial part of the global FX market, the single largest market worldwide."