Starting 13 January 2020, National settlement Depository (NSD) will start publishing the fair values of more than 300 bond issues without international credit ratings. A new methodology uses issuer credit quality estimations calculated based on models developed by Interfax and AKRA Risk Management (AKRA RM).
NSD’s Valuation Center assesses the widest circle of debt instruments using new methodologies in accordance with IFRS 13. This is very important for market participants due to the introduction of new rules to calculate net asset value. Once the evaluation of bonds without international ratings is launched, NSD’s Valuation Center will be valuing approximately 1.5 thousand debt instruments per day. All methodologies used for this are open and approved by NSD’s Expert Council and are available on the website nsddata.ru.
Market participants will be invited to test ruble-denominated bonds without credit ratings for free until the end of 2019. Access to all the Valuation Center methodologies is provided via API and an interface at nsddata.ru, as well as via a network of solutions of independent vendors, including RU Data Price, a unique product of the Interfax Group that uses Valuation Center methodologies.
“A service that allows evaluating ruble-denominated bonds without ratings is a unique product that could only be created by cooperating with independent credit quality valuation centers developed by Interfax and AKRA RM. It completes the range of NSD Valuation Center’s basic methodologies; by using it, market participants can satisfy practically all their needs in evaluating ruble-denominated bonds and Eurobonds carrying Russian risks. The involvement of Bank of Russia experts and representatives of largest financial institutions in developing Valuation Center methodologies determines the quality of its products, compliance with supervisory bodies’ requirements, and its wide use as the Russian debt market’s benchmark,” pointed out Alexander Diakovskiy, Managing Director for Information Assets, NSD.
Vladimir Gerasimov, First Deputy General Director, Interfax, added: “The Interfax Group has been evaluating credit risks for a long time: jointly with Moody’s-Interfax rating agency (1999-2017), the Unified Credit Bureau, where Interfax holds a share, as well as the SPARK system that calculates a score range. Based on this experience, we have developed a service to assess the credit risk of debt securities issuers. It is based on an analysis of IFRS and RAS financial statements. The service allows market participants to assess the probability of default and to analyze corporate financial statements in detail. This is very important for determining the fair values of exchange-traded bonds and commercial papers without credit ratings by NSD’s Valuation Center. Credit scoring tools will be available via API, Excel Add-In and the RuData interface.”
“Using statistical models is a newest trend and corresponds with regulatory requirements and best global standards. Applying quantitative approaches lets us accurately evaluate expected profitability, form provisions (according to RAS and IFRS), and make objective conclusions about the investment attractiveness of debt instruments. AKRA RM plans to continue to develop its range of online services and models to quantitatively assess risks to meet market participants’ demand,” said Andrey Korolev, General Director, AKRA RM.