Moscow Exchange launches new GCC repo indicator

Moscow Exchange MOEX

From 15 January 2018, Moscow Exchange (MOEX) announced that it 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.

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