NSD Expert Council approves methodology for assessing bond value

NSD and Interfax launch Single Disclosure Window product

The Expert Council for the prices of National Settlement Depository (NSD), Russia’s central securities depository, announced that has unanimously approved and recommended that the new methodology for calculating the value of ruble-denominated bonds be implemented. The new methodology is based on the newest concepts for assessing financial instruments with fixed income.

The methodology was developed with the involvement of Bank of Russia and Interfax Information Group representatives. It uses unique data supplied by the central securities depository related to the distribution of security issues among market participants. The new methodology allows calculating the liquidity indicators of assessed instruments more precisely; in turn, these indicators have an impact on the fair value. The methodology fully meets IFRS13 requirements.

Taking into account the decision of the Expert Council, NSD began developing a software algorithm for calculating the value of ruble-denominated bonds. In August 2017, NSD plans to complete development and conduct a full-scale test of the product. Based on the test results, the final version of the methodology and other necessary documents will be presented to the Bank of Russia to obtain official accreditation.

NSD’s Valuation Center is an automated system for assessing the fair value of financial instruments. Products of NSD’s Valuation Center are supplied via the distribution channels of Bloomberg, Cbonds, Thomson Reuters, Interfax, and the Moscow Exchange. The development and approval of methodologies for calculating fair value is carried out by the Expert Council for prices which includes representatives of key market participants, the Moscow Exchange and the Bank of Russia.

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