20.05.2019 14:15

Futures on Money Market benchmark RUSFAR begin trading on MOEX

On 21 May 2019, Moscow Exchange will launch cash-settled futures contracts on the Russian Secured Funding Average Rate (RUSFAR), which is the most representative rate measuring the value of the Russian Ruble in deposit and lending transactions by banks, brokers and non-financial companies.

The new contracts will serve as an effective tool to hedge the interest rate exposure of liquidity management and a portfolio of securities, as well as implement a range of trading strategies on the Money, Equity & Bond and Derivatives Markets.

The contract settlement price is based on the RUSFAR average value over the settlement month. Twelve monthly contracts with settlement from June 2019 to May 2020 will be available for trading at the same time. The contract’s nominal value will be RUB 1 million.

Igor Marich, FX and Money Market Managing Director at Moscow Exchange, commented: "With the launch of RUSFAR futures, we are taking the final step in building an ecosystem of liquidity and interest rate risk management. In 2013, we rolled out repo with the CCP, which was complemented by GCC repo in 2016. These instruments laid the cornerstone for MOEX’s Money Market, bringing together banks, brokers, asset management, insurance companies and industrial corporations and thereby ensuring market representativeness of the ruble rate RUSFAR. A week ago, RUSFAR interest swaps were introduced on MOEX’s Standartised OTC Derivatives Market with the first trades already executed by the participants. RUSFAR futures will help make rate derivatives available to all participants of MOEX’s Derivatives Market and their clients". 

On 18 April 2019, Moscow Exchange presented a new money market benchmark tracking the value of secured money – the RUSFAR. The gauge is calculated based on CCP-cleared repo transactions and orders in general collateral certificates (GCC), which is now the most widely traded segment on the Russian money market. More than 200 participants connected to the GCC repo market, setting market rates for regular terms O/N, 1W, 2W, 1M, 2M and 3M by making anonymous order book trades, and 15 market makers quote the instrument on a regular basis.

From 13 May 2019, MOEX’s Standartised OTC Derivatives Market offered an overnight index swap (OIS) on RUSFAR with maturities from three days to one year. 

Currently, Moscow Exchange offers 68 futures contracts and 38 options on the futures. The underlying assets include equity indices, shares, currency pairs, precious and industrial metals, oil and other commodities, as well as interest rates. In 2018, derivatives trading volumes on MOEX grew by 5.6% to RUB 89.3 trln.

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