Settlement price method for EUR/USD and EUR/RUB futures to be changed
New specifications will come into force on 8 September for cash-settled EUR/USD, GBP/USD, AUD/USD, USD/JPY, USD/CHF, USD/UAH, USD/RUB, and EUR/RUB futures.
The specifications incorporate recommendations by Moscow Exchange"s Derivatives Market and FX Market Committees to use the following new fixings to determine EUR/USD and EUR/RUB futures" settlement prices from September:
EUR/USD futures:
| New fixing | Previous fixing | |
| Source for EUR/USD | Thomson Reuters and ICAP/ Thomson Reuters terminal on the page FXFIX | European Central Bank (ECB) |
| Publication time for EUR/USD | 11:00 am London time | 14:30 CET |
EUR/RUB futures:
| New fixing | Previous fixing | |
| Source for EUR/RUB | Moscow Exchange website, Fixings section | European Central Bank (ECB) |
| Publication time for EUR/RUB | 12:30 am MSK | 14:30 CET |
Use of the new fixings will allow to unify a settlement procedure for futures on RUB currency pairs (USD/RUB, EUR/RUB) as well as for non-RUB currency pairs (EUR/USD, GBP/USD, AUD/USD, USD/JPY, USD/CHF). Starting from September, settlement prices for futures on RUB 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 order and trade prices in the 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.
Please be reminded that EUR/USD and EUR/RUB futures will be settled, using the new fixings, on 15 September.
For further information, please contact the Public Relations Department at (495) 363-3232.