Derivatives market and Standardised Derivatives
In 2016, turnover on Moscow Exchange’s Derivatives Market increased 23% year-on-year to RUB 115.3 tn. Futures volumes increased by 21% to RUB 109.5 tn and options volumes rose by 66% to reach RUB 5.8 tn.
The commodity section of the Derivatives Market saw the strongest growth, with a 3.7-fold increase of trading volumes in Brent oil derivatives and a 2.5-fold increase in gold derivatives.
The average monthly number of active clients (active client accounts) grew by 30% to 51,601.
In 2016, Moscow Exchange continued to broaden its product offering. One of its new products is RUONIA futures, which are used to hedge risks in the overnight market. The financial result of buying these futures is equal to the difference between the fixed futures price and the monthly mean RUONIA rate. Twelve monthly futures are traded at the same time.
In addition, market participants can now benefit from a full range of options contracts for all Russian stock futures traded at MOEX.
January 2017 saw the launch of weekly options trading for RTS Index futures.
Moscow Exchange continued improving its technology to enhance the reliability of its systems and broaden client capabilities. In particular, MOEX restored the service of risk balancing between the FX and Derivatives Markets, and enabled the use of settlement codes for netting, which effectively means lower guarantee requirements for clearing members and better protection of client positions and assets.
In addition, the billing system was upgraded to move fee calculation from the core of the trading and clearing system to a separate billing module of the Derivatives Market. This provides pricing flexibility and ensures the prompt introduction of new tariff plans, minimises operational risks associated with current tariff management, enhances the reliability of IT systems and reduces costs for support and further development of the pricing systems.
Transforming Tariffs & Fees
September saw the introduction of revised tariffs and fees for the Derivatives Market, making it possible to switch to a tariff plan based on basis points (as a percentage of the transaction value), which is set for each group of contracts. This transformation will harmonise tariffs across various Moscow Exchange markets and also across groups of derivatives contracts. It is typical of exchanges in emerging markets to charge tariffs as a percentage of a transaction’s value.
In 2016, Moscow Exchange applied to the US Commodity Futures Trading Commission to request FBOT (Foreign Board of Trade) status. This status will make it much easier for US clients to access the Derivatives Market of Moscow Exchange.
Standardised Derivatives Market
Trading volume in the Standardised Derivatives Market soared to RUB 18 bn in 2016 vs RUB 4 bn in 2015, with FX and interest rate swaps being the most popular instruments.
New types of OTC contracts with the CCP were introduced such as FX swaps, FX forwards and interest rate swaps. Previously, OTC contracts with the CCP included only FX options and exchange-based trades with the CCP such as FX, interest rate, FX and interest rate swaps and FX futures.
As part of the technology development drive, the Standardised Derivatives Market benefited from enhanced performance of the system and an opportunity to withdraw money after clearing, which translates to lower costs and a better customer experience for MOEX clients.