NSD Valuation Center is a fair value measurement service for bonds and other financial instruments, accredited by the Bank of Russia.
How to measure a fair value of a bond if it is traded in the OTC market or in the event of insufficient trade volumes? How to calculate the net asset value (NAV) or prepare a 'current fair value' report for the Bank of Russia?
NSD Valuation Center measures fair values of bonds and other financial instruments for the Russian market fully automatically and in accordance with IFRS 13. The methodologies applied by NSD Valuation Center represent open models being used to calculate fair values on a daily basis for a variety of instruments:
- RUB bonds with global ratings — 750+ issues
- Mortgage-backed bonds — senior tranches of mortgage-backed bonds and single-tranche issues
- Eurobonds of the Russian Ministry of Finance — fair value measurement based on OTC market data
- Floating rate bonds — inflation-indexed OFZ bonds (OFZ-IN), floating coupon OFZ bonds (OFZ-PK), and other bonds linked to RUONIA, CPI and sovereign yield
In 2019, NSD Valuation Center plans to put in place fair value measurement models for corporate Eurobonds and Russian bonds without global ratings. For other traded bonds and shares accepted by NSD for servicing, but not covered by the new methodologies, as well as for standardized derivatives, reference values measured using the legacy NFA-NSD methodology continue to be provided.
The products offered by NSD Valuation Center are available for testing and subscription at nsddata.ru, and are also distributed through Bloomberg, Cbonds, Prime, Thomson Reuters, and Interfax.
The Expert Board of NSD Valuation Center develops and updates fair value measurement models, taking into account the specifics of the Russian market and client experience. The Expert Board meets every quarter, with representatives of the Bank of Russia and Russian financial market professionals attending its meetings.
The Expert Board Chairperson is Georgy Uryutov, Deputy Chairman of the Executive Board, CCP NCC.
Current members of the Expert Board (appointed by the Chairperson of NSD's Executive Board on 29 July 2021) are:
- Vladislav Baibakov, DOM.RF
- Aleksey Buzdalin, Interfax - Centre for Economic Analysis
- Dmitry Kuzmenkov, Moscow Exchange
- Andrey Zhurikhin, JSC "NPF "FUTURE"
- Irina Korchagina, CCP NCC
- Vasily Rozhkov, AO «ALFA-BANK»
- Maxim Bulchunas, JSC "TRANSFINGROUP" Asset Management
- Daniil Margulis, Promsvyazbank
- Aleksey Orlov, Bank of Russia (in an advisory capacity)
- Ivan Lebedev, REGION Leasing
- Alexander Miloserdov, VTB Capital Pension reserve Ltd.
- Viktoria Pomeshkina, NSD