Moscow Exchange to launch DOM.RF Mortgage-Backed Bond Index

Moscow Exchange has started calculating the Mortgage-Backed Bond Index, tracking bonds secured by DOM.RF. The index is the first mortgage-backed bond market benchmark in Russia that retail and institutional investors can use to assess market performance and trends.

The DOM.RF Mortgage-Backed Bond Index includes the 15 most liquid bonds with mortgage coverage and security issued by mortgage agent DOM.RF from 2016 to 2021. In total, 32 issues with a total volume of RUB 940 billion were placed during this time, representing more than 90% of mortgage-backed bonds traded on Moscow Exchange.

Gleb Shevelenkov, Director of the Bond Market Department at Moscow Exchange, said:

"Mortgage-backed bonds placed by DOM.RF are the most liquid securitised instruments on the Russian on-exchange market. This distinctive feature has helped us create a new thematic index based on these bonds. We hope that the index will become a useful tool for analyzing and forecasting the mortgage-backed bonds market."

Alexey Pudovkin, Director of Investor Relations at DOM.RF, said:

"Inclusion of the DOM.RF Mortgage-Backed Bond Index in the MOEX index family alongside OFZ, corporate and municipal bonds is a natural process reflecting the formation of a new large asset class on the Russian market. The Index makes our tool more convenient for all categories of investors and helps to increase market transparency."

Earlier this year at the St. Petersburg International Economic Forum, Moscow Exchange and DOM.RF signed a memorandum of cooperation to develop the market for mortgage-backed bonds guaranteed by DOM.RF. The official signing ceremony was attended by Moscow Exchange CEO Yury Denisov and DOM.RF General Director Vitaly Mutko.

DOM.RF and Moscow Exchange have been actively working to develop the mortgage bond market since 2019. During this period, mortgage-backed securities became available for repo with the Federal Treasury; terms of CCP-cleared repo in mortgage bonds were significantly improved; the first on-exchange pricing convention for mortgage-backed securities in the Russian market was jointly developed; a separate section on mortgage-backed securities was created on the Moscow Exchange website; and an annual forum on DOM.RF mortgage bonds was established.