Moscow Exchange’s information services focus primarily on providing market data containing value, quantity and cost parameters for bids and transactions made on its markets, as well as aggregated indicators used in its financial and investment activities: indices, market prices and recognized quotations.
The MOEX Russia Index and RTS Index are the key benchmarks of the Russian equity market. They are calculated based on the most liquid shares of major Russian issuers.
The MOEX index family includes the Blue-Chip Index, comprising 15 shares of the most liquid and largest issuers by market capitalization; the Mid- and Small-Cap Stock Index, consisting of liquid shares of mid- and small-cap companies; and the Broad Market Stock Index, which includes the top 100 Russian companies based on their liquidity and capitalization. The shares covered by the Broad Market Index are used to form baskets of industry indices by dividing the calculation base of the index by sector profiles.
The MOEX bond index family includes indices of corporate, government and municipal bonds segmented by duration and credit quality.
MOEX also calculates several industry-specific indices for market segments not included in the main line of index products. These include the Public Sector Index, Pension Savings Assets Index, Innovations Index, Volatility Index and the MOEX 10 Index.
In 2020, MOEX continued work on developing a service to calculate the indicative Net Asset Value (iNAV) for asset managers and participants involved in rolling out and supporting structured financial products. This service is especially relevant for exchange-based mutual investment funds (EMIFs). By the end of 2020, MOEX had calculated 44 iNAVs for 39 exchange-based funds.
In 2020, the number of index exchange-based funds having the same structure as MOEX benchmarks reached 20, with volumes of assets under management totally RUB 61.8 bln. Seven new MOEX index EMIFs were created in 2020.
The Exchange supplemented the sustainability indices with a new version of the Sustainability Vector Index calculated using the total return methodology setting out dividend reinvestment. The new index was the basis for the creation of two exchange-traded funds in which RUB 1.3 bln was invested as of the end of 2020. The sustainability indexes have been calculated by the Exchange since 2019, on the basis analysis of major Russian companies on ESG indicators carried out annually by Russian Union of Industrialists and Entrepreneurs (RSPP). The calculation base for the indices includes securities of issuers who disclose the most complete information on their sustainability and corporate social responsibility activities.
In December 2020, Moscow Exchange launched a new group of indices for corporate bonds, bonds of constituent entities of the Russian Federation and municipalities segmented by national scale credit ratings assigned to issuers by Russian rating agencies. The new indicators complemented the indices of bonds segmented by credit rating levels assigned to issuers by international rating agencies, which are already calculated by Moscow Exchange.
In November 2020, the procedure for calculating pension savings indices was modernised. The changes were mainly focused on modern pension savings management practices and were aimed at improving the liquidity and representativeness of indices and the level of transparency in one of the most capacious segments of the Russian financial sector - the pension savings market - as well as collective investments as a whole.
In November 2020, Moscow Exchange launched the calculation of a new indicator - the Growth Sector Bond Index. It tracks the performance of bonds issued by small- and medium-sized enterprises included in Moscow Exchange’s Growth Sector, which aims to carry out the public offering and launch trading in securities of small- and mid-cap companies on the secondary market.
In April 2020, MOEX began calculation a new group of CCP repo indicators of the RUSFAR family, RUSFAR REAL TIME. The new indicators are calculated based on 15-minute trading periods from 10:15 am to 12:30 pm (Moscow time). To calculate the gauges, data on orders and CCP repo transactions settled in RUB is used.
MOEX further facilitated the service offering of index calculation configured to client requirements. Customer indices are widely used around the world as part of individual client strategies. In 2020, MOEX launched five customer indices, bringing the total number of customized indices to 13.
International recognition of indicators
An annual external audit by Ernst & Young confirmed that the Index Management Division complies with the 19 principles of the International Organisation of Securities Commissions (IOSCO).
The audit covered FX fixings, equity indices, government and corporate bonds indices, pension indices and repo and swap rate indicators, as well as the zero-coupon yield curve for government bonds of Russia, which were included in the Statement of Compliance in 2020 based on the results of the audit.
The report confirms the transparency of MOEX’s index management procedures; the high quality of the Exchange’s index generation, calculation and disclosure process; and the effectiveness of MOEX’s internal controls over the development, calculation and publication of financial indices, and interaction with the users.
New IT platform
The new MOEX Index Calculation System (MICS) was put into operation, offering high performance, flexibility and a modern user interface, as well as enhanced capabilities for calculation of stock indices, including multi-currency indices and indices on mixed asset classes. The new calculation system not only increases the reliability of index support, but also reduces the time required to launch new indices and expands the product offering for MOEX clients.
MOEX continues improving and elaborating analytical products for brokerages, funds, and algorithmic and high-frequency traders.
Derivatives Market participants now have access to additional data on open interest positions. In mid-2020, an option was made available to receive intraday statistics on open positions of individuals and companies at five-minute intervals for the most liquid futures contracts: BR, Si and RI. Access to this information is available both through the Moscow Exchange website and via Web API.
An analytical report on “Analysis of Retail Investor Activity on Moscow Exchange” was further developed. Banks and brokerages regularly receive information on their competitive position on the brokerage market, i.e. their shares in each market and within individual client groups, sources of new clients, and the risk of outflow of current clients.
In 2020, MOEX provided expanded options to analyse order roundtrip times in different parts of the Moscow Exchange infrastructure (Co-location and Trading Engine). Participants can now analyse also Equity & Bonds Market data in addition to FX Market data available previously.
As part of the development of the Data Management direction, the first commercial analytical product «Share of non-residents in federal loan bonds» was formed. NSD began using machine learning to process unstructured securities messages, which is promising for automating the Group’s corporate information processing.
Development of the MOEX’s information policy
In 2020, MOEX’s information policy was streamlined to expand the methods of using data about quotations. Terms and conditions (including tariffs) of using this data in alternative trading systems (intra-broker and inter-broker) were elaborated and introduced in line with international practice and the experience of leading international trading venues.
Expanding the information services product line
In 2020, two information services were launched jointly with NSD:
- provision of aggregated anonymized data on the volume of OTC transactions by types of contracts and categories of parties (banks/brokers/others), broken down by notional value and number of transactions;
- provision of access to the information services of the depository through Moscow Exchange platform with a simplified document flow (through the acceptance of the Public Offer).
In 2020, a new information product, an analytical report by the market operator for issuers, was launched.
As part of the consolidation of reference trading and clearing information services in the Information and Statistical Server (ISS) of the Exchange, the provision of indicative risk rates for instruments traded on Moscow Exchange, as well as data on the reference book of instruments admitted to trading on Exchange’s Equity & Bond Market and broken down by trading modes, with an indication of the main parameters for each instrument in each mode, was started in standard machine-readable formats.
In 2020, MOEX began developing functionality to provide access to financial market news distributed by partner agencies via exchange trading terminals.
The NSD Information Center is becoming more popular. In 2020, its revenues increased by 35%. This business line is mainly driven by products of the NSD Price Center; sales in the products have doubled for the third year in a row. About 70% of active market participants became users of the Price Center products. About 90% of debt securities issued by companies operating primarily in the Russian Federation are evaluated by NSD Price Center on a daily basis.
In November, the Exchange began providing its clients with reference information from NSD on securities, issuers, upcoming and past corporate actions, and fair value.