Trading volume

In 2015, the trading volume of the Money Market exceeded RUB 213.8 trln. In December, the average daily trading volume reached RUB 1,255.2 bln. The share of repo transactions in Money Market trading volumes exceeded 85%. In 2015 the volume of depository and credit transactions was RUB 32.8 trln, which is 55% higher than in 2014.

Volumes of repo transactions with Eurobonds are growing rapidly: repo with the Central Counterparty (CCP) and interdealer repos in Eurobonds reached RUB 28.3 trln, seven times higher than in 2014.

REPO with central counterparty

Repo with the CCP is a key segment of the Money Market. Its advantage is that repo transactions are guaranteed by the CCP, whose functions are performed by NCC Clearing Bank. In 2015, repo with the CCP accounted for more than 70% of the total volume of repo transactions, net of repo transactions by the Bank of Russia. Total trading volumes for the year exceeded RUB 66.7 trln, up 167% year-on-year. The number of participants executing repo transactions with the CCP exceeded 300, with more than 50 new participants joining during the year.

Expanded services for participants prompted growth in trading volumes of repo transactions with the CCP: since 1 June 2015, participants have had the option of settling trades in USD and EUR as well as RUB, thereby expanding the range of liquidity-management instruments. In December 2015, repo transactions with the CCP settled in FX accounted for 18% of the total (RUB 1.7 trln).

Trading members were able to settle repo transactions with the CCP within a seven-day execution period with settlement in RUB. This innovation helped participants to effectively manage liquidity and interest-rate risk over longer time-frames, and to synchronise the timings of repo transactions with the CCP and repo transactions with the Bank of Russia, thus enabling them to increase the average maturity of repo transactions: the share of repo transactions of longer than three days maturity reached 13% (RUB 1.2 trln).

MOEXREPO

On 1 December 2015, amendments to the calculating methodology for repo rate with the CCP – the MOEXREPO index – took effect. This Money Market index started being published in December 2014 and is calculated based on repo trades with the CCP. The amendments made this indicator more representative. The new version uses information on trades in all bonds admitted to repo with the CCP, including OFZs, Russian corporate bonds and Eurobonds. The index calculation also includes trades where the repo rate exceeds the fixed interest rate of direct repo transactions with the Bank of Russia, which makes it possible for the indicator to respond rapidly to changes of rates on the repo market.

М-Deposits

One of the innovations of the 2015 Money Market was the launch of a universal segment of the deposit market – М-Deposits. M-Deposits is a single platform for fund deposits. With this initiative Moscow Exchange makes it possible to choose various parameters of deposit auctions, including the time frame and volume of placed funds, the currency of the deposit (RUB, USD or EUR), the form of the deposit auction, the lot size and the price tick at the auction.

M-Deposits holds auctions to place spare cash of SME Corporation. 2015 saw more than 80 auctions, with RUB 519.3 bln deposited in lending institutions.

Moscow Exchange also holds deposit auctions for the Federal Treasury, the Pension Fund of the Russian Federation and Vnesheconombank.

In 2016, the main project of the Money Market will be repo using general collateral certificates (GCC), which will help to boost transaction volumes on the Equity & Bond and Money Markets. This new instrument, announced on 29 February 2016, combines the advantages of the two most marketable products of the Russian money market: repo with the CCP and repo with a securities basket and collateral management. A GCC is a non-issue grade security with mandatory centralised depositing. It is issued by NCC Clearing Bank in exchange for assets held in the property pool. The project brings together various collaterals into a universal liquidity management instrument, and helps ensure maximum use of the mechanism for asset replacement in closed trades. During the first stage, participants may contribute to the pool cash (EUR, USD, RUB) and all bonds accepted by NCC Clearing Bank as collateral (OFZs, corporate bonds, Eurobonds). Later the list of assets accepted to the property pool will be expanded by stocks.

The year 2016 will see further improvement of the key instrument of the Moscow Exchange Money Market — repos with the CCP — as well as broadening of interdealer repo tools.

Moscow Exchange plans to continue the technological development of the M-Deposits segment, as well as to attract new auction organisers to provide the option of depositing spare cash with the bank.