The Russian market operator Moscow Exchange Group (MOEX), announced earlier today the launch of cash-settled futures contract on Russian Secured Funding Average Rate, denominated in USD (RUSFARUSD). The new futures contract tracks CCP-cleared repo orders rates and trades General Collateral Certificates (GCC) in USD on MOEX’s Money Market.
Igor Marich, FX and Money Market Managing Director at Moscow Exchange, said:
RUSFARUSD is the only gauge in Russia that represents the cost of funding in foreign currency and is calculated based on actual trades executed on the most widely traded segment on the Russian money market. The new futures will complement MOEX’s interest rate derivatives offering and allow banks, investment companies and their clients to hedge interest rate risk in foreign currency on the Russian market.
RUSFARUSD will help cope with changes to the cost of loans in USD on the Russian market. Buyers will be able to hedge interest income from GCC loans and sellers will profit from the option to hedge their cost of capital. Selling futures will reduce interest rate risk for managers of Eurobond portfolios.
RUSFAR is calculated based on CCP-cleared repo transactions using the most widely traded segment of the Russian money market, GCCs. More than 200 traders are connected to the GCC repo market, making anonymous order book trades and thus setting market rates for regular terms O/N, 1W, 2W, 1M, 2M and 3M. The instrument is quoted regularly by fifteen market makes. CCP-cleared repo transactions using GCCs increased by 15.3% YoY in 2019 to RUB 54 trillion.