NSD delivers bond pricing and risk reporting database

Source: NSD

National Settlement Depository (NSD), Russia’s central securities depository, and Interfax Group have launched the integrated product RU Data Price, which allows institutional investors to access a full set of data to analyze market risks and generate regulatory reports, in particular, to evaluate the fair price of bonds.

The new service has been introduced under the support of Thomson Reuters.
RU Data Price was presented at the 27th International Financial Forum held in St. Petersburg (Russia).

RU Data Price is an integral part of the RU Data platform, a single unified database of all financial instruments which includes information about issuers, the event calendar, fair prices, risk level assessment, and risk management tools. In total, the system covers more than 40 thousand financial instruments (shares, bonds, depository receipts, derivatives, UITs, and mortgage certificates) and more than 20 thousand organizations (issuers, guarantors, and financial intermediaries).

Alexey Buzdalin, the author of the calculation methodology, Deputy Director, Interfax Group’s Economic Analysis Center, said: “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. 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.”

Mr. Buzdalin added: “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.”

Expanded data provided by NSD’s Valuation Center, which was the first center of this type accredited by the Bank of Russia, is the new element in the RU Data Price service. The Center supports the automated system to assess the fair prices of Russian financial instruments, including shares, bonds, and derivatives.

Alexander Diakovskiy, Managing Director for Information Assets, NSD, pointed out: “For us, it is very important to form an integrated information environment based on the independent NSD Valuation Center platform which has been verified by market participants and accredited by the Bank of Russia. The RU Data Price product is a principally new approach to handle large amounts of data used for official assessments carried out by NSD. The independent calculation of fair price, liquidity, and other key parameters raises the development and validation of professional analysis systems, as well as decision making and control activities, to the new level. It creates a transparent reference system for daily operations of different divisions of modern financial institutions.”

In addition to the data necessary for risk assessment (in accordance with regulators’ requirements), the RU Data Price service includes a full set of tools for market risk assessment (Value at Risk, Expected Short-Fall, Basis Point Value, and Stress-Testing, etc.).

Interfax, being the news agency authorized by the Bank of Russia, submits to RU Data information about issuers, in particular, material facts, reports, Russian and international ratings, and information about issues and non-market instruments.
Information about international financial instruments is provided by the global news agency Thomson Reuters.

To date, RU Data Price is the only information product on the Russian market which contains the full volume of data supplied by NSD’s Valuation Center. This allows users to develop their own methods to assess the fair price of bonds for internal accounting policy needs.

NSD’s Valuation Center determines the fair price using international financial reporting standards and meeting Basel II requirements. NSD’s Methodology for Determining Fair Prices implemented on the basis of the depository’s hardware and software systems has been developed by NSD and Interfax during the last year and a half.

Since 2015, Interfax and NSD have been developing the RU Data platform as the single source of reference data on financial instruments integrating all accessible information about Russia’s securities market (including reference data verified by the accounting system, information supplied by issuers and registrars, and data directly provided by the issuers).

The system provided unified data about securities to prevent accounting errors and optimize costs related to using conflicting data. The RU Data Price service also includes data supplied by NSD’s Valuation Center and information about international financial instruments.

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