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NSD Valuation Center Begins Valuing Floaters

15 May 2019

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Starting 1 May 2019, the Valuation Center of National Settlement Depository (NSD) began broadcasting the fair prices of floaters on a daily basis.

Bonds payments on which are linked to the Consumer Price Index and RUONIA, including OFZ-PC and OFZ-IN, are valued based on a new methodology. The list of valued floaters will be expanded at Valuation Center clients’ requests. The calculation methodology is based on IFRS 13 and follows Bank of Russia recommendations for forecasting payment flows.

The methodology for valuing floaters has been approved by NSD Valuation Center’s Expert Council and is available at https://nsddata.ru/en/documents. The daily valuation based on the three-level methodology may be downloaded automatically via NSD Information Services website.

“The new product has been adapted for participants’ needs and allows optimizing the process for valuing bonds the coupon payments or nominal value indexation of which are linked to the Consumer Price Index and RUONIA. The new independent unified valuation of floaters recognized by experts creates the benchmark for market expectations for these indicators,” said Alexander Diakovskiy, Managing Director for Information Assets, NSD.

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