15.08.2019 16:46

Moscow Exchange launches USD-denominated RUSFAR

On 19 August 2019, Moscow Exchange will launch USD-denominated Russian Secured Funding Average Rate (RUSFAR). With the launch of this gauge, repo and FX swap market participants will gain access to a USD-denominated market-based interest rate benchmark.

RUSFAR tracks the value of secured money; it is calculated based on CCP-cleared repo transactions in general collateral certificates (GCC), which is now the most widely traded segment on the Russian money market.  

  • RUSFAR has been calculated daily since April 2019 based on GCC repo orders and trades executed from 11:30 to 12:30 MSK.
  • The rate terms range from one day to three months, thus creating a secured funding curve. 
  • In May 2019, the Exchange launched 12 futures contracts on the average monthly RUSFAR with monthly expiration and overnight index swaps (OIS) on RUSFAR with maturities of up to one year on MOEX’s Standartised OTC Derivatives Market.

GCC repo is the fastest growing segment of the MOEX Money Market. Trading volumes of GCC repo transactions increased 7.6 times to RUB 46.9 trln in 2018.

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