Annual report 2016

Money market

Key events in 2016
  • A new product, clearing participation certificates repo, was launched.
  • Corporate clients were given access to deposit and credit transactions.
Repo with collateral management by NSD, RUB billion

Trading Volume

In 2016, the total trading volume on Moscow Exchange’s Money Market grew by 56%, amounting to RUB 333.9 tn. The repo market’s share in the Money Market trading volume reached 89%. In 2016, deposit and credit transactions increased by 15% to RUB 37.7 tn.

Money Market, RUB billion

Repo with Central Counterparty

Repo with the CCP is a key segment of the Money Market. In 2016, the total volume of on-Exchange repo transactions increased by 1.6 times to RUB 296.2 tn, 59% of which was repo with the CCP. In 2016, more than 280 participants executed repo transactions with the CCP.

In the reporting year, Moscow Exchange continued to further expand the list of securities admitted to repo with the CCP and introduced a number of new services: trading members are now able to settle repo transactions with the CCP in EUR and USD within a seven-day execution period; the direct repo execution period with settlement in RUB, USD, and EUR was extended up to three months. This innovation helped participants effectively manage liquidity and interest rate risk over longer periods. Repo transactions with the CCP longer than three days accounted for 14% (RUB 24.1 tn) of volumes.

On-exchange repo, RUB billion

Repo with General Collateral Certificates

In 2016, the Money Market saw the launch of repo with GCC, featuring both the reliability of the CCP and an efficient collateral management mechanism. A general collateral certificate is a non-equity security subject to mandatory centralised custody originated by the National Clearing Centre against assets deposited into the pool. Cash (EUR, USD and RUB) and any shares and bonds accepted by the National Clearing Centre as collateral are eligible for the pool. Participants contributing to the pool remain the legal owners of the securities, and are entitled to receive any yield on the securities contributed to the pool and to take part in corporate actions. At the same time, participants are allowed to replace securities and use them to settle trades in the Securities Market and in repo transactions with the CCP.

Participants wishing to enter into GCC repo transactions can choose between three key pools: GC Bonds (OFZs, corporate bonds, Eurobonds), GC Shares and GC Sovereign.

More than 5,100 trades totalling RUB 323.8 bn have been executed since the launch of the project. Sixty-four participants are engaged in GCC repo transactions, and six market makers maintain quotes on a daily basis.

M-Deposits

In mid-2016, MOEX introduced direct market access to the Money Market for corporate clients through M-Deposits, enabling them to efficiently manage their liquidity position through on-exchange auction technology. As the central platform for depositors, M-Deposits offer various options of deposit auctions to participants, including the term and amount of a deposit, currency (RUB, USD or EUR), auction form, lot size, and increment.

Moscow Exchange is the marketplace for deposit and credit operations of the Bank of Russia, the Federal Treasury, the Pension Fund of the Russian Federation and Vnesheconombank.

New MOEXREPO Indicators

In 2016, new MOEXREPO indicators – USD (overnight) and RUB (one week) repo rates with the CCP – were introduced. The new MOEXREPO indicators are calculated on the basis of bond and share transactions admitted to repo with the CCP.

Overnight RUB indicators are calculated separately for CCP bond repos (including Eurobonds) (MOEXREPO) and CCP share repos (MOEXREPOEQ). Indicators are calculated every trading day on the basis of repo with the CCP transactions executed as both order book and off-order book trades.