On FX market transaction of 27 February 2015
The Bank of Russia has completed the examination of considerable movements in price and trading volume in the market of the USD/RUB FX instrument (hereinafter, the Instrument) of 27 February 2015 on the PJSC Moscow Exchange (hereinafter, the Exchange) from 12:30 to 12:44.
During that period, the price of the Instrument fluctuated between 55.36 rubles and 66.33 rubles; it differs considerably from the market price of the Instrument. These fluctuations resulted from execution of some large-scale market orders placed by a credit institution. Such behaviour is unusual for this trader.
On 27 February 2015, the credit institution placed these ‘substandard’ orders from the trade desk, which had been connected with the Exchange’s system on its behalf without authorisation errors and violation of access rights. The Exchange believes that all FX market transactions made on 27 February 2015 complied with the Russian legislation on the organised trading and the trading rules. The official standing of the credit institution with regard to this case suggests that the losing transactions with the Instrument were made on the credit institution’s behalf by unidentified persons with the use of malicious software.
When inspecting possible manipulation of the market of the Instrument on 27 February 2015, the Bank of Russia conducted comprehensive investigation of the occurrence and development of this event and the nature of the trading behaviour of the most active traders and(or) their customers, including the credit institution and its counterparties. The Bank of Russia’s investigation of the trading behaviour of Instrument market participants also included the analysis of algorithms applied in high-frequency trading.
The Bank of Russia established that the trading behaviour of the credit institution’s counterparties in the Instrument market was rational and justifiable from 12:30 till 12:44 on 27 February 2015. The outcome of the Instrument trading within this time span resulted from the credit institution’s actions.
The inspection failed to reveal any actions made from 12:30 till 12:44 on 27 February 2015 with regard to the Instrument, which could be considered as market manipulation in compliance with Part 1 of Article 5 of Federal Law No.
The Bank of Russia has extended the monitoring of the credit institution’s transactions and other actions at the organised trading.
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17.12.2015 00.00.00