In accordance with the decision of SRO NFA’s Experts Council for Indicators and Rates made up on the 23 December 2022, the publication calendar for SRO NFA’s benchmarks will be as follows:
- do not calculate MOSPRIME RATE (ON) and RUREPO (ON) for December 30, 2022;
- calculate MOSPRIME RATE (1W, 2W, 1M, 2M, 3M, 6M), ROISFIX (All Terms), NFEA FX Swap Rate (All Terms) and Rurepo (1W, 2W, 1M) for December 30, 2022, according to the standard procedure;
- in case, when calculating MosPrime Rate (1W, 2W, 1M, 2M, 3M, 6M) for December 30, 2022, 3 or less two-way quotes for one of the terms are received from contributors, then in accordance with clause 2.7 of the "Principles for ensuring the continuity of the calculation of the MosPrime Rate financial indicator” publish the MosPrime Rate value of the corresponding period for December 30, 2022 as the MosPrime Rate value for the same period for December 29, 2022;
Please draw your attention to the fact that for the transfer of current agreements from MOSPRIME RATE to RUONIA, the Bank of Russia publishes historical median spread between the MOSPRIME RATE and term versions of the RUONIA for the 5-years period according to the ISDA Fallbacks procedure. Finally, the median spread between the term rates of the MOSPRIME RATE and RUONIA are published based on the values as of December 30, 2022.
http://www.cbr.ru/hd_base/mosprime-spread/
The calculation and publication of MOSPRIME RATE according to the standard conditions continues until June 30, 2023.
- in case, when calculating ROISfix for December 30, 2022, 3 or less two-way quotes for one of the terms are received from contributors, then in accordance with clause 2.7 "Principles for ensuring the continuity of the calculation of the ROISfix financial indicator", publish the corresponding term for December 30 as the ROISfix value 2022 ROISfix value for the same period for December 29, 2022;
- in case, when calculating the NFEA FX Swap Rate for December 30, 2022, 3 or less two-way quotes for one of the terms were received from contributors, then in accordance with clause 12 of the “Regulations on the formation of indicative premiums for swap transactions in the Russian market - NFEA FX SWAP RATE” not to publish the value of the NFEA FX Swap Rate of the corresponding deadline for December 30, 2022;
- in case, when calculating Rurepo (1W, 2W, 1M) for December 30, 2022, 3 or less two-way quotes for one of the terms were received from contributors, then in accordance with clause 9 of the "Regulations on the formation of an indicative rate of repo transactions at the Moscow Interbank market Rurepo» not to publish the value of Rurepo relevant period for December 30, 2022;
- Do not calculate MosPrime Rate, ROISfix, NFEA FX Swap Rate and RUREPO for all periods from December 31, 2022, to January 08, 2023 (included).