Updated MOEX Indices and MICEX 10 Index Methodologies come into effect

Source: Moscow Stock Exchange

A revised methodology for the calculation of Moscow Exchange’s indices will take effect on 21 January 2019. The Bank of Russia registered it on 21 August 2018. The document details were disclosed on MOEX website on 27 August 2018.
The amendments intend to extend the MOEX Total Return Indices Series and rebrand the MOEX Indices family. According to the updated methodology, the MOEX sectoral indices and the SMID Index will be supplemented with their total return versions. Furthermore, names and codes of other MOEX Indices will be changed similar to the MOEX benchmark, which has been rebranded the MOEX Russia Index.
Besides that, a new version of MICEX 10 Index Methodology will take effect on 21 January 2019.
The Methodology was approved on 27 December 2018 with the following amendments:
MICEX 10 Index is renamed MOEX 10 Index;
Timings for index constituents list formulation and disclosure are synchronized with other indices;
Index calculation formulate is adjusted;
Index is  to be calculated based on closing prices;
A reference to the Moscow Exchange Index Management Policy is added to the methodology;
Some editorial changes are made throughout the text.

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Final settlement price determined for MOEX USD/INR FX futures contract

Source: Moscow Stock Exchange

Copyright © Moscow Exchange, 2011 – 2018. All the rights for the information and analytical materials published on this website are protected in compliance with the Russian legislation. Before you start using the website, please read User Agreement carefully. Display, distribution or any other use of the information published on the Exchange’s website or any of its parts is allowed only upon receiving prior written authorization from the Exchange.

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Risk parameters change on Derivatives Market for Brent and Light sweet oil futures

Source: Moscow Stock Exchange

CCP NCC sets the following risk parameters on Derivatives market starting from 7:00 pm on December 25, 2018:
1. Market risk rates for Brent and Light sweet oil futures will be increased. Considering New Year/Christmas planned risk parameters change market risk rates will be set as follows:

Underlying
Futures contract
Current market risk rates

Market risk rates
from 7:00 pm 25.12.2018

Market risk rates
from 7:00 pm 27.12.2018
 till 7:00 pm 09.01.2019

MR1
MR2
MR3
MR1
MR2
MR3
MR1
MR2
MR3
1
BR
BRENT oil
10%
15%
23%
12%
17%
25%
15%
20%
28%
2
CL
Light Sweet Crude Oil
10%
15%
23%
12%
17%
25%
15%
20%
28%
The market risk rates will be set back to the current values from 7:00 pm 09.01.2019.
2. The width of the price bands will be changed for Brent and Light Sweet Crude Oil futures:

Underlying
Futures contract
Current parameter value for price bands RangeFut
New parameter value for price bands RangeFut
1
BR
Light Sweet Crude Oil
0.5
0.66
2
CL
BRENT oil
0.5
0.66
RangeFut parameter defines width of the price bands for the futures during trading session in relation to the market risk rate.

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The additional trading session starts later for Derivatives market on 10, 16, 17, 24, 28 and 31 January 2019

Source: Moscow Stock Exchange

Please note that the Derivatives Market evening trading session will begin five minutes later, i.e. at 7:05 pm MSK, on 10, 16, 17, 24, 28 and 31 January 2019, as these are the last trading days for options contracts (in accordance with clause 7.2 of the Rules of organized trading for the Moscow Exchange Derivatives Market).

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Final settlement prices of September FX futures contracts

Source: Moscow Stock Exchange

On 20 December 2018, the final settlement prices of MOEX FX futures contracts were determined as follows:
Si-12.18  – 67,417 (roubles per 1000 US dollars)
ED-12.18  — 1.1476 (US dollars per 1 euro)
EU-12.18  – 77,314 (roubles per 1000 euro)
CY-12.18  – 9.7814 (roubles per 1 yuan)
AUDU-12.18  — 0.7142 (US dollars per 1 Australian dollar)
GBPU-12.18  — 1.2694 (US dollars per 1 pound sterling)
UUAH-12.18  — 27.5768 (Ukrainian hryvnia per 1 US dollar)
UJPY-12.18  — 111.73 (Japanese yen per 1 US dollar)
UCHF-12.18  — 0.987 (Swiss franc per 1 US dollar)
UCAD-12.18  – 1.3464 (Canadian dollar per 1 US dollar)
UTRY-12.18  – 5.2695 (Turkish lira per 1 US dollar).

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Update concerning the interim clearing ending time on Derivatives market on 20 December, 2018

Source: Moscow Stock Exchange

Copyright © Moscow Exchange, 2011 – 2018. All the rights for the information and analytical materials published on this website are protected in compliance with the Russian legislation. Before you start using the website, please read User Agreement carefully. Display, distribution or any other use of the information published on the Exchange’s website or any of its parts is allowed only upon receiving prior written authorization from the Exchange.

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Final settlement price of US 500 Index Futures (U500-12.18)

Source: Moscow Stock Exchange

Copyright © Moscow Exchange, 2011 – 2018. All the rights for the information and analytical materials published on this website are protected in compliance with the Russian legislation. Before you start using the website, please read User Agreement carefully. Display, distribution or any other use of the information published on the Exchange’s website or any of its parts is allowed only upon receiving prior written authorization from the Exchange.

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Moscow Exchange provides access to global FX liquidity

Source: Moscow Stock Exchange

On 14 December 2018 Moscow Exchange began offering OTC transactions in the Euro/US Dollar currency pair based on its infrastructure and FX Market interfaces. Integral, a technology provider in the foreign exchange market, delivers the technological solution for access to global liquidity providers. On 19 December 2018 the British Pound/US Dollar currency pair was added to the offering.
National Clearing Center (NCC), a part of the Moscow Exchange Group, clears and settles transactions as the central counterparty, giving participants the benefits of the unified collateral pool including cross margining across all MOEX markets and common collateral requirements.
Igor Marich, Managing Director of the Money and Derivatives Markets at Moscow Exchange, said:
“Our efforts are aimed at providing clients with access to global FX liquidity while allowing them to keep our regular infrastructure interfaces, the benefits and comfort of the central counterparty and our low costs. The new service will improve the quality of the market and facilitate opportunities for our participants. In the future we plan to add additional FX instruments to this program”.
The first trades with the new service were executed by Ak Bars Bank, Aton, BaikalInvestBank, Gazpromneft and Sovcombank.  

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Moscow Exchange launches trading in sunflower seed futures and swapss

Source: Moscow Stock Exchange

On 20 December 2018, Moscow Exchange Group began trading sunflower seeds. The Exchange offered deliverable forward contracts with expiry dates ranging from three to 180 days, as well as deliverable swap contracts. The initiative is supported by the Exchange Committee of Russia’s Federal Antimonopoly Service, the Russian Union of Oils and Fats and representatives of the industry community.
Igor Marich, Managing Director of the Money and Derivatives Markets at Moscow Exchange, said:
“This launch is a step forward for Moscow Exchange Group in growing the Commodities Market. Sunflower market participants may now enjoy the benefits of on-exchange trading, in particular, transparent pricing, low counterparty risk and a robust storage and delivery infrastructure. It is notable that a new commodity is floated with the support of the largest players of the fat-and-oil industry who will help create a liquid market for oils on MOEX.”  
Sunflower seeds will be traded on the Urozhai trading and clearing platform, which is also used to trade MOEX derivatives on grain and sugar.     
Currently, 33 of 54 elevators accredited with MOEX provide storage facilities for sunflower seeds in different regions of Russia, and more than ten elevators are in the process of accreditation. Delivery of the asset under MOEX sunflower contracts will be performed via the Rusagrotrans infrastructure.  
Moscow Exchange has hosted trading in agricultural products since 2015. It offers the full range of exchange-traded instruments (forwards and swaps) for trading in derivative financial instruments in wheat, corn, barley, soya and sugar. Total trading volume in wheat swaps and forwards was RUB 32.2 bn in the first eleven months of 2018, a six-fold increase versus 2017. In 2018, trading volume in sugar increased seven-fold to RUB 1.7 bn.

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FX trading schedule for 21-29 December 2018

Source: Moscow Stock Exchange

On 21 December 2018, deliverable swap contracts EUR_TOM1W, CNY_TOM1W, KZT_TOM1W and USD_TOM1W will not be traded, as 1-8 January 2019 are non-settlement days on the FX and Precious Metals Markets for instruments where the underlying asset is EUR, CNY, KZT or USD.
On 21 December 2018, instrument JPYRUB_TOD will not be traded given the decision of the Exchange to cancel trading upon agreement with the Clearing Center pursuant to the Moscow Exchange Trading Rules.
On 24 December 2018, instruments BYNRUB_TOD, BYN_TODTOM and JPYRUB_TOD will not be traded, as this will be a non-business day in Belarus and Japan.
On 24 and 25 December 2018, deliverable swap contracts CNY_TOM1W, KZT_TOM1W and USD_TOM1W will not be traded as 1-8 January 2019 are non-trading days on the FX and Precious Metals Markets for instruments where the underlying asset is CNY, KZT or USD.
On 25 December 2018, instruments BYNRUB_TOD, BYN_TODTOM, EURRUB_TOD, EUR_TODTOM, EURUSD_TOD, EURUSDTDTM, USDRUB_TOD, USD_TODTOM, GBPRUB_TOD, GBP_TODTOM, GBPUSD_TOD, GBPUSDTDTM, CHFRUB_TOD, CHF_TODTOM, HKDRUB_TOD, HKD_TODTOM, USDKZT_TOD, USDKZTTDTM, USDCHF_TOD, USDCHFTDTM, USDCNY_TOD, USDCNYTDTM, USDTRY_TOD and USDTRYTDTM will not be traded as this will be a non-business day in Belarus, Germany, Chine, USA, United Kingdom, Hong Kong and Switzerland.    
On 26 December 2018, instruments EURRUB_TOD, EUR_TODTOM, EURUSD_TOD, EURUSDTDTM, GBPRUB_TOD, GBP_TODTOM, GBPUSD_TOD, GBPUSDTDTM, CHFRUB_TOD, CHF_TODTOM, HKDRUB_TOD, HKD_TODTOM, USDCHF_TOD and USDCHFTDTM will not be traded as this will be a non-business day in Germany, United Kingdom, Hong Kong and Switzerland.
On 28 December 2018, instrument JPYRUB_TOD will not be traded given the decision of the Exchange to cancel trading upon agreement with the Clearing Center pursuant to the Moscow Exchange Trading Rules.
On 29 December 2018, all instruments will be available on the FX and Precious Metals Markets, except trades with “today” settlement and swap transactions with their first parts settled on the same day.
Other instruments will be traded as usual.

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