Sahih Muslim | Book 6 | Hadith Number 2518

Narrated by Ibn Abbas (Allah be pleased with both of them)
Ibn Abbas (Allah be pleased with both of them) reported that when Allah's Messenger (may peace be upon him) came to Medina, he found the Jews observing the fast on the day of Ashura. They (the Jews) were asked about it and they said: It is the day on which Allah granted victory to Moses and (his people) Bani Isra'il over the Pharaoh and we observe fast out of gratitude to Him. Upon this the Apostle of Allah (may peace be upon him) said: We have a closer connection with Moses than you have, and he commanded to observe fast on this day.