On 16 April 2020, the Valuation Center of National Settlement Depository (NSD) started calculating the value of bonds with a floating scheme of payments linked to the Bank of Russia’s rate, and of Russian corporate issuers’ Euro-denominated Eurobonds.
The methodological approaches used to evaluate corporate issuers’ Eurobonds are similar to techniques used to evaluate Russian government Euro-denominated Eurobonds. To calculate securities values, NSD’s Valuation Center uses a zero-coupon yield curve for Russian debt securities that are denominated in Euro.
The launch of calculations for bonds with a floating scheme of payments linked to the Bank of Russia’s rate is a final stage for evaluating large classes of floaters on the Russian market. During its creation, in addition to evaluation algorithms, the Company developed models for forecasting RUONIA and CPI rates over the long term, taking into account Russian market specifics.
“We expect that the launch of these instruments will allow most market participants to use the fair values of debt securities provided by NSD’s Valuation Center which has been officially accredited by the Bank of Russia. Now, when we need to analyze the market swiftly, this will let us reduce the expenses for purchasing data on prices from different sources and use open Russian methodologies to evaluate debt securities,” pointed out Alexander Diakovskiy, Managing Director for Information Assets, NSD.
The values of bonds that were added to the system will be automatically available to clients who signed up for the Methodology for evaluating bonds with floating payment flows and the Methodology for evaluating corporate Eurobonds starting 16 April 2020.