Updated MOEX FX fixing methodology to take effect from 17 June
From 17 June 2019, an updated methodology for Moscow Exchange FX fixings will come into force. It has been amended to change the accuracy to which the fixings are determined. In particular, the EUR/USD FX fixing will be calculated to five decimal places, and the CNY/RUB FX fixing to four decimal places.
The updated methodology is available on the Moscow Exchange website.
Moscow Exchange has published the USD/RUB, EUR/RUB, EUR/USD and CNY/RUB FX fixings used as the principal settlement (reference) rate for OTC rouble derivatives (NDFs, NDOs), as well as the USD/RUB FX swap fixings (for swaps with maturities from one week to one year) since 27 May 2013.
Chicago Mercantile Exchange (CME Group) uses the MOEX USD/RUB benchmark for its rouble-denominated currency futures. The gauge is also incorporated in ISDA's FX Definitions as the primary rate to settle ruble-denominated currency futures on the OTC market.
In 2017, Moscow Exchange launched the USD/RUB and EUR/RUB FX fixing electronic matching service. The service is intended to help market participants with a hedge against the currency risk of OTC trading in rouble non-deliverable forwards (NDF).
The MOEX Fixing calculation methodology meets standards of Russian and international regulations including IOSCO Principles for Financial Benchmarks.
For more detailed information about the MOEX FX Fixings, please, visit our website.