Moscow bourse launches interest rate futures

The Moscow Interbank Currency Exchange (Micex) launched trading in short-term rouble interest rate futures this morning.

Micex, Russia's largest financial exchange, now features futures on the compounded Moscow interbank overnight interest rate and the three-month Moscow prime rate.

Each contract has a notional of R10 million ($370,000). Each is based on the fixings produced by the National Futures Exchange Association. The overnight future uses Moscow interbank overnight rates (MosIBOR), and the three-month contract uses the Moscow prime rate, calculated as an average (excluding highest and lowest) of deposit rates from eight contributor banks.

Micex vice-president Yevgeni Ellinski said the derivatives would allow interest rate hedging, which would become more important when the rouble moved to full convertibility. Capital controls are set to be abolished on July 1 this year.

Exchange-traded derivatives contracts have legal certainty in Russia, unlike non-deliverable, over-the-counter derivatives that were ruled illegal by Russia's courts following the 1998 rouble crisis.

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