Bank of Russia adjusts procedure for calculating RUONIA fallback value

The RUONIA Oversight Committee has approved the adjusted calculation of the fallback value of the RUONIA benchmark rate. Thus, it will be possible to preserve the representation of the RUONIA benchmark amid structural changes in the interbank market.

For several consecutive days in May, the Bank of Russia was calculating the fallback value of RUONIA due to temporary changes in the structure of the interbank market. The fallback calculation is made where at least one of several conditions occurs, specifically if the share of one of the RUONIA panel banks exceeds 75% of the overall value of transactions taken into account for the RUONIA calculation.

This condition occurred from 14 to 18 May 2021 as the established threshold was exceeded. The concentration of interbank transactions was up due to an increase in the amounts of one of the market participants. Nonetheless, these transactions were conducted at interest rates close to the Bank of Russia key rate. The calculated fallback value did not have a statistically significant deviation from the value calculated according to the standard procedure.

The RUONIA Oversight Committee approved a temporary cancellation of the concentration criterion. This makes it possible to factor in the observed market changes, which is in line with the IOSCO Principles for Financial Benchmarks the Bank of Russia committed to. Furthermore, the RUONIA Oversight Committee has given a task to prepare proposals on how the concentration criterion should be applied further on.

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