
Ruble NDF pricing rupture alarms traders
Conflict sparks big dislocation between ruble NDF and spot, threatening hedges and clouding valuations

Traders are concerned that the reference rate used to value Russian ruble non-deliverable forwards (NDFs) no longer reflects the underlying spot rate outside the country, which has implications for dealers’ hedging and valuation of the products.
The Moscow Exchange produces fixings that are used as the primary reference rate for calculating settlement of US dollar/ruble and euro/ruble NDFs. These fixings, set daily at 12:30pm Moscow time, are based on interbank transactions in the local market
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Markets
Putnam adds $18bn to interest rate swaps book
Counterparty Radar: Market for mutual funds and ETFs grew to $677 trillion in Q4 2022
Bank ALM crisis leaves FX hedgers with steeper roll costs
Spreads on EUR/USD forwards jumped more than fourfold in past two weeks
TMX eyes spot crypto trading launch next year
Exchange group would become first in North America to offer direct access to spot market in digital assets
Mutual funds dump two-thirds of FX options positions in Q4
Counterparty Radar: Morgan Stanley Investment Management leads fall in volumes with big cuts to RMB trades
Tales from the crypto prompt calls for FX-style market structures
Demands for interdealers and prime brokers to be brought into crypto market in wake of FTX debacle
Pimco nearly halves FX forwards book in Q4
Counterparty Radar: West Coast manager’s 45% cuts send Morgan Stanley to fifth place in dealer rankings
Refinitiv’s FXall launches automated forward fixing tool
New service offers asset managers automatic competitive pricing for a benchmark trade’s forward points
An uphill climb to T+1 settlement
The SEC is pushing an aggressive schedule for faster settlement of equities and corporate bonds