Moscow Exchange Fixing Will Be Used to Calculate NFEA FX Swap Rate
OREANDA-NEWS. National Foreign Exchange Association (NFEA) has said that starting 9 January 2014, Moscow Exchange's USD/RUB fixing (USDFIXME) will be used as the prime rate in place of the CBR rate when calculating the NFEA FX swap rate.
The time for calculating the NFEA FX swap rate is also changing: contributing banks will now enter quotes into the Thomson Reuters data terminal between 12:30 and 12:45 pm MSK (instead of the previous 11:45 and 12:15 pm MSK). Thomson Reuters will publish the NFEA swap rate and contributing banks' individual quotes on dedicated web pages at 13:15 pm MSK time each business day (instead of the previous 12:30 MSK).
Moscow Exchange's new RUB fixing calculation methodology took effect on 27 May 2013. This indicator is resistant to manipulation and is calculated based on short term exchange quotes and trade results. The new indicator is more transparent and more suitable for closing underlying asset risks for derivatives (compared with the previous fixing). Starting in December 2013, USD/RUB futures' settlement prices are calculated based on RUB fixing.
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