List of services

Information product Instrument Period Price

    Terms of Data

    Inter-Dealer Repo

    1,800 securities
    The most extensive list of instruments available

    FEATURES

    • Currency: RUB, USD or EUR
    • Eligible settlement codes: S0 – S2, Rb, Z0
    • term: 1-365 days
    • Haircuts to settlement prices apply (initial, maximum and minimal)
    • Control of market risks through issuing mark-to-market margin calls
    • REPOs are available
    • The option to walk away from the first part of a REPO is available for inter-dealer REPOs with S0-S5 settlement codes, subject to approval from the counterparty.

    MARK-TO-MARKET MARGIN CALLS

    MARK-TO-MARKET MARGIN CALLS ARE ISSUED:

    1.  In cash – if the settlement price becomes lower than the price with min. haircut, the REPO amount reduces
    1. In securities – if the settlement price exceeds the price with max. haircut, the amount of securities for the transaction reduces

    SETTLEMENT CODES

    Execution of the 1st leg:

    Execution of the 2nd leg:

    • 2nd leg of REPO is executed only by submitting a settlement instruction
    • 2nd leg of REPO may be netted with the first leg of a new REPO trade
    • Settlement in securities under 2nd leg is done either following the nearest clearing session after settlement instruction, or immediately ("urgent settlement instruction")
    • Settlement in cash is done immediately

    Key features of REPO trades settled in foreign currency:

    • REPO transactions are executed in USD;
    • All transaction parameters are computed in USD;
    • Market value and accrued coupon income of ruble-denominated securities are  converted to USD at the Bank of Russia’s official exchange rate
    • Mark-to-market margin calls in cash or securities are issued subject to changes in the USD/RUB official exchange rate and security’s market value
    • Mark-to-market margin in cash is posted in USD;
    • Volume-related fee is charged in RUB in accordance with effective rates as converted from USD at the Bank of Russia’s official exchange rate as of the REPO transaction date;
    • The REPO amount is to be decreased by a coupon or partial par value payment actually made with respect to the ruble-denominated bond as converted to USD at the Bank of Russia's official exchange rate as of the payment date

    PRICE USE PROCEDURE

    Securities with ISIN "RU..." (excl. OFZs)
    1. MarketPrice 3
    2. MIRP
    3. NSDPrice
    4. LastPrice
    OFZ
    1. MarketPrice 3
    2. MIRP
    3. LastPrice
     
    Securities other than with ISIN "RU..." (excl. Russian Eurobonds)
    1. MIRP
    2. NSDPrice
    3. MarketPrice 3
    4. LastPrice
    Russian Eurobonds
    1. MIRP
    2. MarketPrice 3
    3. LastPrice
     

    MIRP – indicative price of security provided Ьу NFA on the previous day;

    MarketPrice 3 – market price (3) on the previous trading day;

    NSDPrice – price provided bу the NSD Valuation Centre;

    LastPrice – last available settlement price.

    CONTACTS

    Money Market Department team

    Telephone: : +7 (495) 363-3232, ext. 5424, 5398, 5396, 5455

    e-mail: repo@moex.com