NSD Valuation Center Adopts New Methodology on Bond Valuations

01 September 2017
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Starting 1 September 2017, National Settlement Depository (NSD) has initiated the publication of fair values of ruble-denominated bonds calculated on the basis of a new methodology incorporating the latest concepts for assessing fixed income financial instruments.

The new methodology was developed by NSD’s Expert Council for Prices with the involvement of the Interfax methodological group. The methodology uses the Central Securities Depository’s unique data on distribution of securities among market participants; it allows to more precisely assess liquidity indicators which, in turn, have an impact on fair value. The methodology fully meets the requirements of IFRS13.

NSD Valuation Center’s new product is available for testing by all users of the Center from 1 September at www.nsddata.ru. In the near future, NSD will prepare and seek Bank of Russia accreditation for the new product; after this, the new product will replace the existing one. Values calculated on the basis of the previous methodology will be available for reference to the Valuation Center’s users.

NSD Valuation Center is an automated system for assessing fair values of financial instruments. The Center’s product is distributed via Bloomberg, Cbonds, Thomson Reuters, Interfax and the Moscow Exchange. Methodologies for calculating fair values are developed by NSD Expert Council for Prices which includes representatives of key market participants, the Moscow Exchange and the Bank of Russia.

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