Moscow Exchange has announced the launch dates for new functionality on the Derivatives (TCS SPECTRA) and FX (TCS ASTS) Markets.
As we had previously reported, Moscow Exchange had postponed the date of the enhancements as it had decided to extend the testing period for new functionalities on SPECTRA and ASTS.
The new launch dates are:
- July 4, 2016 for the Derivatives Market (with final testing on 2 July 2016).
- July 18, 2016 for the FX Market (with final testing on 16 July 2016).
The planned additions and changes include:
Deliverable futures
Deliverable futures contracts on USD/RUB, EUR/RUB and CNY/RUB currency pairs will be launched. The contract lot will be 100,000 currency units, with a tick size of RUB 0.01 for USD/RUB and EUR/RUB and RUB 0.001 for CNY/RUB. Contracts will be settled quarterly on fixed dates. The new deliverable futures can be offset with swaps on the same underlying assets.
New currency pair
The CHF/RUB currency pair will be launched to calculate risk parameters for CHF-denominated bonds, in order to admit these bonds to repo with the CCP and make the currency eligible as collateral.
In the beginning, MOEX will offer instruments with TOM and TOD settlement, as well as swaps.
Risk management
Collateral requirements will be reduced for opposite positions in EUR and USD thanks to an inter-product spread, allowing trading firms to reduce their funding costs. To unify collateral calculations, interest risk will be considered for TOM positions and margin requirements will be issued for overnight swaps similar to long-term swaps.