Introduces changes to FX collateral rules to its derivatives market
A brand new methodology for calculating a volatility index has been introduced by the Moscow Exchange. It will be compiled based on feedback from market participants instead of mathematical methods of volatility calculations. According to the Moscow Exchange this will mean a more accurate evaluation of market volatility.
Critics of present commonly used volatility measures argue that the predicting power of most volatility indices, such as the VIX on the Chicago Board of Trade are no different than plain vanilla methods. We will be curiously monitoring this new measure to see if it gets off the ground and provides a more accurate assessment of market conditions.
In the same press release the Moscow Exchange also announced the elimination of collateral requirements for foreign market participants. The current requirement was for 50% USD and 50% RUB, the ruble part is scrapped and a 100% USD rule is now in play.
In addition professional participants will gain access to segregated accounts and position transfer services, therefore allowing for positions to be transferred to another clearing entity in the event of escalation of risks associated to the settlement firm.
The full press release is available on the website of the Moscow Exchange.
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