MOEX to launch new standardized OTC derivatives

On 21 September 2020, Moscow Exchange will offer new opportunities to trade standardized OTC derivative instruments.

The maximum contract terms will be extended from five to ten years, allowing trades with maturities ranging from three days to ten years.

The following new rates will be made available for interest rate swaps:

• The FX swap rate with daily interest compounding, which is calculated based on the weighted average rates of MOEX USD/RUB FX swaps;
• 3-month RUSFAR;
• Rates in foreign currency: Sofr, Estr and Saron.

As a result, the MOEX Standardized OTC Derivatives Market will offer FX swaps on the following rates: Sofr, Estr, Saron, RUSFAR overnight, 3-month RUSFAR, RUONIA, Bank of Russia’s key rate, Mosprime, LIBOR, Euribor and CHF Libor.

The Moscow Exchange Standardized OTC Derivatives Market offers trading and clearing for interest rate, FX and cross currency swaps, FX forwards and options with maturities from three days to five years depending on the instrument type. Market participants may benefit from interest on initial margin and deposit margin, low capital costs, low counterparty risk with flexible OTC instrument parameters, and the absence of a requirement to enter into a master agreement.