15.01.2018 11:11

Moscow Exchange launches new GCC repo indicator

From 15 January 2018, Moscow Exchange will calculate and publish a new gauge of Money Market performance, the MOEXREPO GCC indicator, based on CCP-cleared repo transactions in general collateral certificates (GCC). 

The indicator measures the value of secured money as free of counterparty risk and characteristics of certain securities. It will help quickly compare rates across different segments of the liquid CCP repo market.

The indicator will be calculated twice, at 12:30 and 19:00 MSK, on every trading day. It is the weighted (by volume) average rate of CCP-cleared GCC repo transactions with maturities of one day and one week. 

GCC repo is the fastest growing segment of the MOEX Money Market: in 2017, trading volumes of GCC repo transactions increased more than 19 times to RUB 6.17 trln, while volumes of repo with the central counterparty rose by 28.8% to RUB 225.3 trln. 

Background information:

The MOEXREPO indicators are presented separately for CCP-cleared repos in bonds (MOEXREPO), equities (MOEXREPO EQ) and GCC (MOEXREPO GCC). They are calculated and published twice a day, at 12:30 (intraday index valuation) and 19:00 MSK (end-of-day index valuation). The indicators went live in December 2014. The Exchange also calculates inter-dealer repo rate indicators. 

For more details regarding the MOEX repo rate indicators, please visit the Exchange's website.

Clearing collateral certificates started trading on MOEX on 29 February 2016. Cash (EUR, USD and RUB) and any bonds accepted by CCP NCC as collateral (OFZs, corporate bonds, Eurobonds) are eligible for the pool. Participants contributing to the pool remain the legal owner of the securities, and are entitled to receive any interest on 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 on the Equity & Bond Market and in centrally cleared repos.

GCCs are eligible for anonymous and negotiated repos with terms ranging from one day to three months. Repos in CPCs, Equity & Bond Market transactions and CCP-cleared repos will be netted, while all assets in the pool will be marked to market in total. This allow participants to reduce their funding costs.

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