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

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