CME set to replace Ruble reference rate to Moscow Exchange

CME Group (CME) is set to use the official Moscow Exchange (MOEX) reference rate for Russian ruble contracts come Sunday July 17th.

Since 1998 after spot auction currency trading at the Moscow Interbank Currency Exchange (MICEX) was suspended, the Chicago Mercantile Exchange and EMTA (Emerging Market Traders Association) began publishing a Ruble/Dollar exchange rate.

CME and EMTA established this rate mechanism as a backup valuation for the settlement of the CME’s ruble futures contracts in the absence of a MICEX rate fixing.

However, in the last few years Moscow Exchange (in 2011 MICEX merged with Russian Trading System creating Moscow Exchange) has developed significantly and now provides the most liquid RUB contracts in the world outpacing offshore peers by a wide margin. Moscow Exchange started publishing MOEX USD/RUB FX FIXING on 27 May 2013. Calculation based on actual market quotes and trades in MOEX Trading system and is resistant to market manipulation.

Text of the amendments from CME:

Effective Sunday, July 17, 2016 for trade date Monday, July 18, 2016, and pending all CFTC regulatory review periods, Chicago Mercantile Exchange intends to amend settlement procedure of the Russian Ruble/U.S. Dollar (RUB/USD) Futures contract. The Futures Contract is available for trading on CME Globex and for submission for clearing through CME ClearPort. The amendments would also be effective for the Exchange’s Cleared OTC U.S. Dollar/Russian Ruble (USD/RUB) Spot, Forwards and Swaps contract.

The Exchange intends on replacing the CME/EMTA Russian Ruble Reference Rate used for final settlement with the USD/RUB FX FIXING rate calculated by the Moscow Exchange (MOEX). The CME/EMTA rate will no longer be calculated by CME/EMTA effective Monday, July 18, 2016.



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


  • MOEX – largest RUB FX trading worldwide platform outperforming offshore peers in volumes and liquidity
  • Total number of MOEX FX market participants: 511 financial institutions + more than 700K buy-side clients as of end 2015

For more on MOEX FX market and fixing click here (PDF).

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