Bank of Russia accredits Moscow Exchange’s financial benchmark

On 9 July, the Bank of Russia recognised the quality of the financial benchmark family RUSFAR (Russian Secured Funding Average Rate) and the functioning of Moscow Exchange as their administrator as satisfactory.

The regulator lays down requirements for financial benchmarks based on the IOSCO Principles for Financial Benchmarks (IOSCO is the International Organization of Securities Commissions).

The Bank of Russia accredited the following RUSFAR rate benchmarks: in rubles with maturities overnight, one week, two weeks, one month, and three months; those in US dollars — with overnight maturity.

The cost of secured funding benchmark family RUSFAR is calculated based on repo orders and transactions with the central counterparty, which are secured with clearing participation certificates for bonds accepted as collateral by Central Counterparty National Clearing Centre, from 10:00 to 12:30 MSK on a daily basis.

The ruble RUSFAR rate benchmark family has been calculated since April 2019. Since May 2019, the RUSFAR overnight contract has been traded on the Moscow Exchange futures market, with 12 contracts with monthly maturities having been traded simultaneously. Also, since May 2019, market players are welcome to make transactions under interest swap contracts (Overnight Index Swap, OIS) at the RUSFAR rate with up to one year of maturity — in the market for standardised derivatives.

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09.07.2020 00.00.00