Russian Central Securities Depository Launches Bond Price Service

Interfax GroupThe Russian central securities depository, National Settlement Depository (NSD), together with Interfax Group, the news agency authorized by the Bank of Russia, have launched RU Data Price to help institutional investors to evaluate the fair price of bonds.

 

Introduced under the support of Thomson Reuters, the new service is an integral part of the RU Data platform, a single unified database with information about issuers, the event calendar, fair prices, risk level assessment, and risk management tools. RU Data covers over 40,000 financial instruments (shares, bonds, depository receipts, derivatives, UITs, and mortgage certificates) and more than 20,000 organizations (issuers, guarantors, and financial intermediaries).

 

“The RU Data Price service will let market participants use a reference database which includes instruments for assessing market risks and meets the highest international risk management standards”, said Alexey Buzdalin, the author of the calculation methodology and Deputy Director of Interfax Group’s Economic Analysis Center.

 

“Another new component of the RU Data Price service is liquidity ratings and ratings of the activity of bond trading calculated on the basis of Interfax’s methodology to assess the depth of the market. These ratings allow banks which calculate open positions’ market risks to automatically assess the adjustment of their values taking into account their liquidity in accordance with Bank of Russia Regulation № 511-P.”

 

Alexey Buzdalin
Alexey Buzdalin

Alexey Buzdalin continued: “RU Data Price also lets market participants assess the fair prices of financial instruments in accordance with IFRS13. This assessment is based on three methods corresponding with the three-tier hierarchy of information sources available for instruments with different trading activities. Each assessment of the instrument’s fair price includes values of acceptable price deviations, and market participants may assess the probability of the occurrence of regulatory risks when they use their own models to assess the fair prices of instruments.”

 

The RU Data Price service features data provided by NSD’s Valuation Center, which was the first center of this type accredited by the Bank of Russia and supports the automated assessment of fair prices of shares, bonds, and derivatives. The service also includes a full set of tools for market risk assessment, including Value at Risk, Expected Short-Fall, Basis Point Value, and Stress-Testing.