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Calculation of interbank lending rates MIACR, MIACR-IG, MIACR-B and interbank lending turnovers

Weighted average actual rates on interbank loans MIACR, MIACR-IG, MIACR-B are calculated on the basis of information about deals on interbank money market conducted by a representative sample of Moscow banks. Data on transactions are conveyed to the Bank of Russia in the daily reporting form 0409701 “The foreign exchange and money markets transactions report” in compliance with the Bank of Russia Ordinance No. 4927-U, dated October 8, 2018, “On the List, Forms and Procedure for Compiling and Presenting Credit Institutions Reporting Forms to the Central Bank of the Russian Federation”.

MIACR, MIACR-IG, MIACR-B are weighted averages of the interest rates applied to the actual interbank lending transactions and broken down by maturity.

MIACR include rates in lending transactions with resident and non-resident banks.

MIACR-IG include rates on lending operations with Russian banks with credit ratings Baa3 and higher on Moody’s or BBB- and higher on Fitch and Standard & Poor’s scales.

MIACR-B include rates on lending operations with Russian banks with credit ratings from B3 to B1 on Moody’s scale or from B- to B+ on Fitch and Standard & Poor’s scales.

Since January 2015 transactions with volume 10 times above the maximum total daily volume of the bank’s similar transactions (with regard to maturity and currency) for the latest six months are excluded from the sample for calculation of MIACR, MIACR-IG, MIACR-B.

Since August 2015 bank’s transactions with one counterparty at the same rate (with regard to maturity and currency) are considered as one transaction for calculation of MIACR, MIACR-IG, MIACR-B.

Since February 2016 transactions between banks involved in measures aimed at preventing bank bankruptcy and corresponding investor banks are excluded from the sample.

After these procedures if the sample contains less than three transactions, MIACR, MIACR-IG, MIACR-B are not computed. Otherwise, transactions with maximal rates (10% of turnover) and minimal rates (10% of turnover) are excluded from the sample for calculating MIACR, MIACR-IG, MIACR-B.

Turnover is calculated in accordance with calculation of interbank lending rates MIACR, MIACR-IG, MIACR-B.

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Last updated on: 15/03/2019