28.08.2014 18:40

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.

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