Open interest in MOEX standardised OTC derivatives up 25% to RUB 547 billion
At the end of 30 June 2020, open interest on MOEX’s Standardised OTC Derivatives Market was RUB 547 billion, up 25% YoY (30 June 2019: RUB 436 billion). The market is now comparable to MOEX’s Derivatives Market in terms of open interest (average open interest in derivatives on MOEX was RUB 583 billion as of the same date).
The increase in demand for OTC derivatives from market participants was driven by new products in MOEX’s offering and by upcoming regulatory changes. In 1Q 2020, the Exchange introduced the Bank of Russia’s key interest rate as the new underlying asset in cross-currency and interest-rate swaps. As a result, market participants can now replace the key rate with floating rates (such as LIBOR, Euribor, MosPrime, RUSFAR and RUONIA) and fixed rates in different currencies (RUB, USD, EUR and CHF). This increased the share of interest swaps in total market turnover to 40% in the first six months of 2020.
Market growth was also driven by the Bank of Russia’s decision to introduce mandatory clearing of interest derivatives via a central counterparty (CCP) from 1 January 2021. MOEX’s Standardised OTC Derivatives Market is the only marketplace in Russia that meets this requirement.
MOEX’s Standardised OTC Derivatives Market offers swaps, FX swaps, cross-currency swaps, FX forwards and options with maturities from three days to five years. All trades on the market are made via MOEX’s 100% subsidiary National Clearing Centre (NCC), which is the only qualified CCP in Russia. Market participants therefore do not need to establish counterparty risk exposure limits or execute master agreements, thereby reducing their capital costs and allowing them to benefit from common clearing procedures and unified collateral across other MOEX markets.