On 18 April 2019, Moscow Exchange presented a new money market benchmark tracking the value of secured money – the Russian Secured Funding Average Rate ( RUSFAR ). The new gauge is calculated based on CCP-cleared repo transactions in general collateral certificates (GCC), which is now the most widely traded segment on the Russian money market.
- RUSFAR is calculated daily based on GCC repo orders and trades executed from 11:30 to 12:30 MSK.
- Terms of 1D, 1W, 2W, 1M, 2M and 3M are available for building a secured funding curve.
- The calculation method is similar to that used for the USD/RUB rate.
- RUSFAR will help participants develop long-term instruments involving a floating interest rate (deposits and loans).
- The new benchmark will underlie a futures contract on MOEX’s Derivatives Market and interest swaps on MOEX’s Standartised OTC Derivatives Market.
A new market making program has been launched to ensure that RUSFAR is representative of market activity. Twelve market makers have already joined the program and quote GCC repos with maturities of up to three months from 11:30 to 12:30 MSK, i.e. the time interval over which RUSFAR is set.
Igor Marich, FX and Money Market Managing Director at Moscow Exchange, commented: “The GCC repo market offering a combination of reliability due to the central counterparty and collateral management efficiency, has become the key segment of the Russian money market, delivering the most representative ruble rate. The new benchmark will be formed by the whole market, including professional participants such as banks and brokers, and non-financial companies. That is why we hope that RUSFAR will be the major indicator of the Russian money market commonly used to measure the value of money, also in deposit and lending transactions, and thus will support the development of floating rate lending in Russia. In May, the Exchange will introduce derivatives on the RUSFAR rate, thereby delivering the full spectrum of tools to hedge against interest rate risks.”
GCC repo is the fastest growing segment of the MOEX Money Market: trading volumes of GCC repo transactions increased 7.6 times to RUB 46.9 trln in 2018 and by 67.4% YoY to RUB 11.1 trln in Q1 2019. Average daily open interest in the instrument grew ten times to RUB 336 bn in 2018 and 6.3 times YoY to RUB 1.0 trln in Q1 2019.