Annual report 2016

FX market

Key events in 2016
  • MOEX launched new deliverable futures contracts on USD/RUB, EUR/RUB and CNY/RUB, as well as a new currency pair, CHF/RUB.
  • Bank of America, National Association (BANA) became the first global bank with general clearing membership on Moscow Exchange's FX Market (the bank cleared trades for the first time.
  • The Emerging Markets Trading Association (EMTA) and CME Group started using Moscow Exchange's USD/RUB FX fixing as the major settlement rate for rouble derivatives.

Trading Volume

In 2016, FX Market trading volumes totalled RUB 330 tn, up 6% year-on-year. Spot trading volumes accounted for 32%, while the share of FX swap trading was 68%.

According to the Bank of Russia and Moscow Exchange, the Exchange’s FX Market share vs. the interbank market rose from 49% to 53%, with the share of USD/RUB trading increasing from 58% to 61%, and the share of EUR/RUB growing from 68% to 80%.

As at the end of 2016, there were 467 trading members of Moscow Exchange’s FX Market, including 407 banks and 60 non-credit institutions holding professional securities market participant licences.

FX Market, RUB billion
FX Market, RUB billion

Client Access

Trading volumes of individuals on the FX Market grew 1.5 times to RUB 34 tn

The development of Direct Market Access (DMA) services facilitates the growth of client transactions on the FX Market. In 2016, the share of spot transactions made by clients reached 56%. The number of registered clients doubled to exceed 820,000, with the number of active clients increasing by 1.8 times to 72,000.

Trading volumes of individuals on the FX Market grew 1.5 times to RUB 34 tn, and accounted for 12% of the spot market turnover vs 9% in 2015.

At the beginning of 2017, direct access to the FX Market granted to leading Russian companies will promote further expansion of the client base.

Attracting Non-Residents

In 2016, Moscow Exchange continued to actively develop projects and services encouraging non-residents’ access to the FX Market, namely DMA, Sponsored Market Access (SMA), and separation of trading member and clearing member statuses.

As at the end of 2016, the FX Market's client base included 8,800 registered non-resident clients from 94 countries. In 2016, the share of non-residents in spot turnover rose from 37% to 40% on average. In 2016, Bank of America, National Association (BANA) was granted the status of general clearing member, while ICBC Standard Bank Plc and Otkritie Capital International Ltd (OCIL) obtained the status of individual clearing members of the FX Market.

Under the project separating trading member and clearing member statuses, market participants can apply for general (category O) or individual (category B) clearing membership. Both categories enable international clearing members to trade in the FX Market as trading members’ registered clients, grant access to their own clients, as well as clear and settle trades on their own. Moreover, general clearing members are entitled to provide clearing services both to trading members and various client groups, including Russian and foreign legal entities and individuals executing transactions on the FX Market.

Global Recognition of FX Fixing

MOEX’s indices and FX fixings have been recognised as compliant with the International Organization of Securities Commissions (IOSCO) principles. CME Group started using Moscow Exchange’s FX fixings for the settlement of RUB FX futures. The key MOEX USD/RUB FX fixing was incorporated in the ISDA FX Definitions, the standard documentation for FX transactions of the International Swaps and Derivatives Association (ISDA), as the primary rate to settle RUB-denominated transactions. Members of the Emerging Markets Trader Association (EMTA) (global banks) started using this fixing for non-deliverable USD/RUB OTC FX derivative transactions. MOEX’s USD/RUB FX fixing and the Exchange’s overall performance as a fixing administrator meet with the requirements of the Bank of Russia.

New Instruments and Technological Innovations

In 2016, Moscow Exchange continued to further develop its product offering. Trading in deliverable futures and swap contracts for deliverable futures on USD/RUB, EUR/RUB, and CNY/RUB was launched in the FX Market. In addition, the FX Market introduced a new currency pair, CHF/RUB. In 2016, the trading volume in the new instruments exceeded RUB 62 bn.

The currency pairs launched in late 2014 saw skyrocketing growth. In 2016, trading in GBP doubled to RUB 47 bn, while HKD trading soared 23 times to RUB 60 billion.

2016 saw the implementation of Discrete Auctions technology in the FX Market under the algorithm provided by the Bank of Russia. From the technological perspective, it may be launched starting 16 January 2017 subject to prior approval by the regulator.

To reduce the unproductive load on the trading system and boost order book liquidity, starting from January 2016, different coefficients have been applied to the surcharge, and starting from May 2016, the tick sizes for the major currency pairs were changed from 0.1 kopeks to 0.25 kopeks.

Eurasian Economic Union FX Market

2016 saw the continued development of the integrated currency market of the Eurasian Economic Union (ICM EEU). Currently, 12 banks from Armenia, Belarus, Kazakhstan, Kyrgyzstan and Tajikistan, as well as two international financial institutions, namely Interstate Bank and Eurasian Development Bank (EDB), enjoy direct access to FX trading on Moscow Exchange. In autumn 2016, EDB was granted direct access to trading and was awarded the status of market maker for KZT. In January 2017, Sberbank (the Republic of Kazakhstan) joined the FX Market of Moscow Exchange; access is also to be provided to a number of EEU banks.

In 2016, the total turnover of integrated FX Market participants exceeded RUB 1.0 tn, which is four times higher than in 2015.

Development of Clearing Services

In 2016, Moscow Exchange focused on the development of clearing services by optimising costs for participants and improving its risk management framework. 2016 saw the implementation of inter-product spreads reducing margin requirements for opposite positions in EUR and USD, balancing of risk exposure in the Derivatives and FX Markets, interest rate risk assessment for TOM settlement instruments, and other projects. Moreover, in 2016 Moscow Exchange introduced a service for managing members’ positions by recording them on second- and third-level trading and clearing accounts.