FOR CALCULATING THE REPO REFERENCE RATE ON THE
MOSCOW INTERBANK MARKET
– RUBLE OFFERED REPO RATE (RUREPO)
1. The National Foreign Exchange Association calculates the RuREPO reference rate on the basis of the rates offered to first class banks for rouble-denominated funds in REPO transactions with securities of the highest credit quality, as quoted by leading participants on the Russian REPO market.
RuREPO is an independent indicative rate.
2. The list of the banks to quote the rates (hereinafter – the "contributing banks") shall be compiled by the NFEA Expert Council. Banks are included in this list on the basis of their reputation, financial standing, scale of operations and experience in the Moscow REPO market. The list shall include at least 8 contributing banks. The NFEA Expert Council shall review the list of banks participating in RuREPO at least once a year. There is no restriction on recurring inclusion of a bank in the list.
If a contributing bank ceases to satisfy NFEA Expert Council requirements for any reason, the NFEA Expert Council may, at its own discretion, exclude it from the list of the contributing banks.
Each contributing bank may cease participating in the project by serving a prior notice on the NFEA Expert Council at least 3 calendar months before ceasing to quote the rates.
If a decision has been taken to change the panel of the contributors or the methodology for calculating the reference rates, the NFEA shall, at least 1 calendar month before the actual change, inform market participants to this effect through the mass media (in particular, on the relevant web-pages of Thomson-Reuters and the NFEA web sites).
If a contributing bank has been replaced, the rates quoted by the new contributing bank shall be taken into account in calculating RuREPO not earlier than the day following the last day on which the replaced contributing bank provided its rate.
3. The rates quoted by the banks shall be regarded as reference information. Publication of such rates shall not impose any obligations on the banks to enter into transactions with market participants, apart from control transactions to be concluded by the contributing banks between each other (see clause 7 of these Rules). At the same time, the provided rates shall reflect the level of rates at which the contributing banks are ready, at the time when the quotes are being provided, to conclude deals between each other.
4. The contributing banks shall provide their rates (bid/offer) without any references either to the rates of the other banks or to the rates of the Bank of Russia. The offer rates shall be provided for all the securities in the potential collateral pool specified in clause 6, without reference to a specific issue. The bid rates shall be provided for any security in the potential collateral pool specified in clause 6 available to the specific participant for the transaction, without reference to a specific issue.
The spread between the bid and offer quotes may not exceed 12.5% of the reverse REPO rate.
5. RuREPO shall be calculated on the basis of the quotes provided by the banks for placing money for the tenors of overnight, 1 and 2 weeks, and 1 month. The value period shall be calculated as of "today".
6. The list of potential collateral pool shall be limited to all issuances of federal loan bonds (OFZ) with maturity up to 5 years.
7. Control REPO transactions shall be performed to verify the quotes provided by the contributing banks. The rules for concluding control transactions shall be approved by the NFEA Expert Council for Market Indices. Any of the securities listed in clause 6 may be selected as the collateral, at the discretion of the parties to the transaction.
8. In order to perform control transactions, the maximum starting discounts shall be determined as the maximum of the minimum permissible discounts on the reverse REPO for all the contributing banks for the securities of a given duration and the transactions of the given term.
For these purposes, the contributors shall provide the National Foreign Exchange Association with the minimum discounts for all the periods of the curve in accordance with the following table:
period/maturity of the federal loan bond
|| 2 weeks
|| 1 month
| matures in less than
| matures from 1 to 3
| matures from 3 to 5
The National Foreign Exchange Association shall calculate the maximum discounts for all the participants in the quote pool and shall disclose the results to the contributing banks. The discounts shall be reviewed every three months.
For transactions longer than one day, the following daily revaluation parameters shall be used: the highest discount shall equal to the initial discount increased by 2%, and the lowest discount shall equal to the initial discount decreased by 2%.
9. RuREPO shall be calculated every business day at 12:30 p.m. Moscow time. The contributing banks shall submit their rates into the Thomson Reuters system by 12.15 p.m. Moscow time. Business day shall mean every business day considered as such in accordance with the legislation of the Russian Federation. If a transaction ends up on a non-business day, the transaction last date shall be the following business day.
If no less than 9 rates have been provided by the banks, RuREPO shall be calculated as the arithmetic average of the rates provided by the contributors after disregarding the 2 highest and the 2 lowest rates. If from 6 to 8 rates have been provided, only the highest rate and the lowest rate shall be disregarded and the arithmetic average of the remaining rates shall be taken to calculate the RuREPO reference rate. If, by the time RuREPO is to be fixed, only 5 or 4 rates have been received from the contributing banks, RuREPO shall be calculated as the arithmetic average of all the rates provided. If 3 or fewer rates have been provided, indicator is not calculated. RuREPO shall be specified in per cent per annum on the ACT/ACT basis, rounded to two decimal places.
10. Thomson Reuters shall publish RuREPO rate and the individual rates of the contributing banks every business day on its dedicated pages at 12:31 p.m. Moscow time.
11. The National Foreign Exchange Association shall provide the information on RuREPO to general public on a daily basis, including the RuREPO rate itself, the individual rates quoted by each contributing bank and any changes in the panel of the contributing banks, on NFEA web-pages, on the dedicated Thomson-Reuters page and in any mass media at its discretion (a reference to the NFEA and Thomson Reuters shall be made and copyright terms shall be observed).
12. No overnight RuREPO reference rate shall be calculated on the last business day of the year. For the financial instruments that are based on the overnight RuREPO rate, the last business day of the year shall be considered as a public holiday (non-business) day.