INFORMATION PRODUCTS AND SERVICES
Moscow Exchange’s information services focus primarily on providing market data containing value, quantity and cost parameters for orders and transactions made on its markets, as well as aggregated indicators used in its financial and investment activities: indices, market prices and recognized quotations.
INDICES
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.
By the end of 2021, the number of index-linked exchange-traded funds replicating Moscow Exchange’s benchmark structure reached 27 with assets under management totalling RUB 105.4 billion. In 2021, nine new Russian-law ETFs were created based on the MOEX indices.
New benchmarks
In 2021, a range of sustainability indices, calculated by the Exchange from 2019 in cooperation with the Russian Union of Industrialists and Entrepreneurs (RSPP), was developed. A new version of the Sustainable Development Vector stock index, the MOEX - RSPP Sustainable Development Vector Index of Russian Issuers, was created, which takes into account regulatory requirements for non-state pension funds, making it possible to invest pension savings in an index basket of securities or a financial product whose underlying asset is the new indicator.
Moscow Exchange also started calculating the RSBF-RSPP Sustainable Development Vector Eurobond Index, which is based on the Eurobond loans of Russian corporate issuers included in the RSPP sample. This index was the basis for the creation of the RSHB Asset Management exchange-traded fund.
As of the end of 2021, RUB 1.7 billion was invested in sustainability index funds calculated by the Exchange.
The family of major equity indices was also developed: in April 2021, the calculation of sector indices for two new sectors - indices for construction companies and information technology - was launched.
A new area of focus for Moscow Exchange is the launch of the MOEX Shariah Index to enable Muslim investors to invest in instruments created in accordance with the principles of financial and other economic activities endorsed by Shariah, a set of regulations and rules binding on Muslims.
The index is based on the selection of securities of issuers that have passed the procedure of verification for compliance with the principles of Islamic economy.
ANALYTICAL PRODUCTS
In 2021, the range of analytical products was expanded to include offerings for all categories of clients: private investors, HFTs, brokers, management companies and issuers.
As a result of the massive influx of individuals into the market, professional participants’ interest in retail brokerage market analysis increased. In addition, retail analytics became increasingly sought-after by equity, bond and mutual fund issuers. Consequently, the range of statistical indicators within the existing information products was expanded:
- a breakdown by customer segment was introduced;
- methodologies were developed to regularly assess retail client assets, their inflows and outflows.
This information is useful for evaluating the effectiveness of marketing measures, for comparing internal indicators with general market information, as well as for using in your own analytical reports for end investors.
For private investors interested in algorithmic trading, a set of intraday statistical metrics on liquidity analysis and market microstructure has been prepared to facilitate the development of automated solutions.
INFORMATION SERVICES
A new information product, Moscow Exchange FX Fixings, was introduced to users. The product is available through partner vendor channels and via subscription on Moscow Exchange’s website.
The service of providing indicative risk rates for instruments not traded on the Exchange was expanded to include new classes of instruments - currency pairs and precious metals.
A broadcasting of news from news agencies in MOEX’s trading terminals was launched as a pilot product called “News in Exchange Trading Terminals”. The project is being developed in partnership with Interfax.
The Analytical Report of the Trade Organiser for Issuers product was expanded and enriched. Additional indicators were added to it, including a position in the “people’s portfolio”. The product is actively recruiting clients.
Commercial distribution of Moscow Exchange news via Dow Jones/Factiva, a major international news provider, was launched.
Distribution via partner channels of archived (historical) information with high granularity (full orderlogs of orders and transactions) for foreign users interested in or already working on the Russian stock (equity) market was launched via the platform of aggregator company BMLL Technologies.
In 2021, NSD’s analytical products were technologically and qualitatively improved in terms of their ownership structure. A product was put into commercial operation that analyses the share of residents in OFZs by core business area.
As part of the development of Reference Data, in June 2021 a service called “My newsletters” was implemented with the functionality of sending notifications of information on securities published in the newsfeed “Corporate Center News”. Using the service significantly reduces the time required to search for and track information on securities of interest.
In 2021, as part of the development of the Pricing Centre, the methodology for calculating the fair value of ruble bonds and bonds with a floating payment structure was significantly improved. Work was carried out to develop a prototype for assessing bond liquidity parameters in order to expand the products offered within the Information Centre.
INFORMATION TECHNOLOGIES
FIFO MFIX Trade network infrastructure upgrade
The network infrastructure of the FIFO MFIX Trade service, the fastest trading protocol for equity and currency markets, launched in 2020, was upgraded in June 2021.
The upgrade significantly increased the solution’s capacity so that it can be used by all interested market players and, in response to customer requests, improved the predictability of the network infrastructure and the accuracy of timestamp recording for the TimeStamps service.
Fastest data feed for derivatives
In October 2021, a new high-speed derivatives market data feed, SIMBA, was rolled out. The service allows clients to receive market signals faster than all previously available connectivity methods.
The service speed is ensured by a newly-established software interaction between the SIMBA gateway with the central component of the trading system and a high-speed segment of the network infrastructure designed specifically for transmitting large volumes of data to multiple recipients in real time.
The new service implements the “Public Data First” principle (public market data is made available faster than private data) and eliminates the need to use multiple sources simultaneously to obtain market signals. The protocol is based on the modern Simple Binary Encoding, which significantly speeds up the process of obtaining and processing market data by clients’ trading algorithms. Similar technologies are successfully used at the largest exchanges worldwide, supporting the trend of development of high-tech client trading systems.
The new service, combined with the TWIME trading protocol, delivers an optimal IT solution for clients whose trading strategies are extremely sensitive to the speed of market data feed and order entry latency.