MOEX USD/RUB FX FIXING

July 2016

FX (CURRENCY) PAIR ON-EXCHANGE CLEARING & SETTLEMENT track via BLOOMBERG 

FX PAIR BY VALUE DATES FX MARKET BY SEGMENT track via REUTER

ADTV on MOEX FX market, $ bn

MOEX USD/RUB FIXING 

 Blended fixing due to multiple sources of quotes & trades of onshore and off-shore (international) participants: banks, brokers, 

HFT, corporates, institutional investors, individuals

 Calculated since May 2013

 Governed in accordance with the IOSCO “Principles for Financial 

Benchmarks”, IOSCO compliant status obtained in 2016 after 

external audit by Ernst & Young

 Regulated by the Central bank of Russia, obtained quality 

recognition from the CBR in July 2016

 Tradable (no slippage) – fit for purpose, no risk of divergence

 Currently used for settlement of RUB FX futures traded at MOEX 

and Chicago Mercantile Exchange (CME)

 Included in ISDA 1998 FX Definitions (Annex A) as RUB05 

Settlement rate option for RUB NDFs, NDOs since 18 July 2016

 “Significant benchmark” as per EU draft Regulation on indices 

used as benchmarks in financial instruments (article 14b)

Methodology:

 Transparent, resistant to market manipulation, and convenient 

for protecting against the underlying asset risk

 Publicly disclosed on MOEX web-site http://moex.com/s1914

 Discussed and adopted by MOEX FX Market Committee 

 Fixing is publicly determined basing on the average values of 

trades and orders prices (Pfix) calculated every second from 

12:25:01 through 12:30:00 MSK

 Published on MOEX web-site & by Bloomberg and Thomson 

Reuters at 12:30 MSK (but not later than 12:35 MSK)

MOEX FX MARKET 

 Full set of trading, clearing, settlement, information services

 MOEX is electronic trading marketplace (CLOB model)

 Settlements: central clearing via the National Clearing Centre -

NCC (member of MOEX Group) acting as CCP, made on PVP 

 Bank of America - first international clearing member (ICM)

 Sound RM system, adaptive margining requirements

TRADING VOLUMES (ADV) and MARKET SHARE

 MOEX FX ADV in 2015 was $20.3 bln.

 Record high ADV - $47.3 bln on 03 March 2014

 By end of 2015 MOEX share in Russian FX market in USD/RUB 

trading reached 58%

 MOEX - largest RUB FX trading worldwide platform 

outperforming off-shore peers in volumes and liquidity

 MOEX has ~75% market share among all FX ECNs trading RUB 

PARTICIPANTS and LIQUIDITY

 Share of MOEX market for USD/RUB

 Share of international clients in MOEX FX 

spot market, %

BID/ASK AVERAGE SPREAD

 Total number of MOEX FX market participants: 511 financial 

institutions + more than 700K buy-side clients as of end 2015

 Share of international participants in MOEX FX spot ADV - 41%

 7.3 thousand off-shore (international) clients from 90 countries 

 Major international banks (via subsidiaries or DMA access) trade

5,7 4,8 5,0 6,3 7,8 7,2 8,0 6,7 6,4

4,9 7,5 5,6 5,4

7,1

12,2

15,8

13,6 12,9

2008 2009 2010 2011 2012 2013 2014 2015 2016

SPOT

SWAP

0%

10%

20%

30%

40%

50%

60%

70%

0

5

10

15

20

25

30

Average daily turnover for USD/RUB at MOEX, $bn

Share of FX MOEX, %

0%

10%

20%

30%

40%

50%

USD / RUB

SPOT SWAP

CCP PvP

TOD TOM

CONTACTS: 

MOEX fixings web http://moex.com/en/fixing/

MOEX INDEX TEAM INDEX@MOEX.COM

MOEX FX MARKET TEAM FX@MOEX.COM

USDRUB MCDF Currency

USDFIXME=RTS
MOEX USD/RUB FX FIXING

July 2016

Disclaimer

This document has been prepared and issued by Open Joint Stock Company MOSCOW EXCHANGE (the “Company”). Unless otherwise stated, the Company is 

the source for all data contained in this document. Such data is provided as at the date of this document and is subject to change without notice.

This document does not constitute or form part of, and should not be construed as, an offer or invitation for the sale or subscription of, or a solicitation of any 

offer to buy or subscribe for, any securities, nor shall it or any part of it or the fact of its distribution form the basis of, or be relied on in connection with, any 

offer, contract, commitment or investment decision relating thereto, nor does it constitute a recommendation regarding the securities of the Company.

The information in this document has not been independently verified. No representation or warranty, express or implied, is made as to, and no reliance should 

be placed on, the fairness, accuracy or completeness of the information or opinions contained herein. None of the Company, or any of its subsidiaries or 

affiliates or any of such person's directors, officers or employees, advisers or other representatives, accepts any liability whatsoever (whether in negligence or 

otherwise) arising, directly or indirectly, from the use of this document or otherwise arising in connection therewith.

This document includes forward-looking statements. All statements other than statements of historical fact included in this document, including, without 

limitation, those regarding our financial position, business strategy, management plans and objectives for future operations are forward-looking statements. 

These forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause our actual results, performance, 

achievements or industry results to be materially different from those expressed or implied by these forward-looking statements. These forward-looking 

statements are based on numerous assumptions regarding our present and future business strategies and the environment in which we expect to operate in 

the future. Important factors that could cause our actual results, performance, achievements or industry results to differ materially from those in the forwardlooking statements include, among other factors:

perception of market services offered by the Company and its subsidiaries;

volatility (a) of the Russian economy and the securities market and (b) sectors with a high level of competition that the Company and its subsidiaries operate;

changes in (a) domestic and international legislation and tax regulation and (b) state policies related to financial markets and securities markets;

competition increase from new players on the Russian market;

the ability to keep pace with rapid changes in science and technology environment, including the ability to use advanced features that are popular with the 

Company's and its subsidiaries' customers;

the ability to maintain continuity of the process of introduction of new competitive products and services, while keeping the competitiveness;

the ability to attract new customers on the domestic market and in foreign jurisdictions;

the ability to increase the offer of products in foreign jurisdictions.

Forward-looking statements speak only as of the date of this document and we expressly disclaim any obligation or undertaking to release any update of, or 

revisions to, any forward-looking statements in this document as a result of any change in our expectations or any change in events, conditions or circumstances 

on which these forward-looking statements are based.

Copyright © Moscow Exchange, 2016

125009, Russia, Moscow, Bolshoy Kislovsky per, 13 T. +7 495 363 32 32 F. +7 495 705 96 22 URL. WWW.MOEX.COM