Annual report 2016


In 2016, Moscow Exchange continued to further enhance its range of indices, which are key benchmarks for the Russian financial market.

Key events in 2016
  • MOEX RUB fixings and indices were recognised as compliant with International Organization of Securities Commissions (IOSCO) principles
  • The MICEX Index and the RTS Index for small and mid-cap companies were launched

New Indicators

MOEX introduced two new benchmark indices for mid- and small-cap stocks denominated in Russian roubles and US dollars. The new indices were developed to meet the demand of equity funds investing in Russian mid-cap and small-cap stocks. The index basket is compliant with the UCITS Directive adopted by the European Union under which no single stock may represent more than 10% of the index weight, and the cumulative weight of all components with an individual weight of 5% or greater must not exceed 40% of the index weight. Moreover, certain constraints are applied to the minimum sector and security weights. The indices were launched for the benefit of ETFs.

New MOEXREPO indicators – USD (overnight) and RUB (one week) repo rates with the CCP –were introduced. The MOEXREPO indicators are calculated on the basis of bond transactions admitted to repo with the CCP.

Changes in Calculation Methodology

Total Return Indices were launched in addition to the MICEX Index, the RTS Index and the MICEX Blue Chip Index. They factor in reinvested dividends from component stocks of the relevant index. Total Return Indices are calculated with gross dividends, i.e. excluding taxes, and with net dividends, i.e. with income tax rates applicable to non-resident and Russian corporate investors taken into consideration.

The Exchange introduced a new calculation methodology with respect to the zero-coupon yield curve (Z-Curve) for Russian government bonds (OFZ). The methodology was revised to include not only transaction data, but also orders, to factor in new parameters and refine the bond selection process. These changes were introduced to make the Z-Curve used by the Ministry of Finance to calculate the interest rate subsidisation options since 2017 more representative.

International Recognition

MOEX’s indices and FX fixings have been recognised as compliant with International Organization of Securities Commissions (IOSCO) principles. Broader use of MOEX’s internationally recognised benchmarks by foreign investors and global financial market participants will boost overall liquidity in the Exchange’s markets and revenues from its indexing business. An external audit carried out by Ernst & Young confirmed Moscow Exchange’s commitment to global best practices in financial benchmarking.