Interfax, NSD launch RU Data Price service for bond value and risk assessment using data from NSD Valuation Center and Thomson Reuters

Interfax, together with Russia‘s National Settlement Depository (NSD), has with the help of Thomson Reuters launched the integrated RU Data Price service, which will give institutional investors access to the full range of data for analysis of market risks and formation of regulatory reporting, including estimates of fair bond value.

RU Data Price was presented at the 27th International Financial Congress (IFC-2018) in St. Petersburg.

RU Data Price is a component of the RU Data platform, which represents a single, unified reference source on all financial instruments and contains information on issuers, a calendar of events, fair valuations, risk level assessment and instruments for risk management. Overall, the system covers over 40,000 financial instruments, including stocks, bonds, depositary receipts, derivatives, mutual funds, and mortgage certificates, as well as 20,000 organizations including issuers, guarantors and financial intermediaries.

"By virtue of the RU Data Price service, market participants will receive access to the reference data base, supplemented with a tool box for evaluation of market risks which is in keeping with the best international risk management standards. Bond liquidity and trading frequency ratings, calculated on the basis of a unique methodology developed by Interfax for assessing the depth of the market, are another new component of RU Data Price. Based on these ratings, when calculating market risk for each open position banks now have the opportunity in an automated manner and in keeping with Bank of Russia Regulation 511, to evaluate adjustments to its valuation based on liquidity" said Alexei Buzdalin, Deputy Director of the Interfax Center for Economic Analysis and creator of the calculation method.

"In keeping with IFRS13, RU Data Price also allows market participants to assess the fair value of financial instruments drawing on three methods in accordance with a three-level hierarchy of information source accessible for instruments with varying trading frequencies. Each assessment of fair value is accompanied by figures indicating the acceptable price deviation range, which allows market participants to assess the likelihood of the emergence of regulatory risks in the event one‘s own models are used for fair valuation of instruments," Buzdalin said.

A fundamentally new element of RU Data Price is expanded data from the NSD Valuation Center, the first to be accredited by the Central Bank. The Center supports an automated fair value assessment system for Russian financial instruments: stocks, bonds, and derivatives.

"For us, the formation of a unified information environment on the basis on the NSD Valuation Center‘s platform, verified by participants and accredited by the Central Bank, is critically important. The RU Data Price service represents fundamentally new opportunities to work with a broad range of data which underpin official NSD assessments. An independent calculation of fair value, liquidity and other key parameters takes the development and validation of professional analytical systems and the decisions-making and oversight to a whole new level, sets up a transparent frame of reference for the operations of very different subdivisions of modern financial institutions," the NSD‘s managing director for information assets Alexander Dyakovsky said.

Apart from data necessary for risk assessment consistent with regulatory requirements, RU Data Price also contains a comprehensive set of tools needed for assessment of market risks, including the Value at Risk, Expected Short-Fall, Basis Point Value, and Stress-Testing indicators, as well as others).

Interfax, as authorized agency of the Central Bank, supplies RU Data with information on issuers, including corporate events, reporting, Russian and international ratings, and information on issues and non-market instruments.

Leading international information agency Thomson Reuters will serve as a source for data on international financial instruments.

At the present time, RU Data Price is the only information product on the Russian market featuring NSD Valuation Center data in full, which allows users to configure their own methods for assessment of fair value of bonds for the needs of internal accounting policies.

The NSD Valuation Center determines fair value based on international financial reporting principles and meets Basel II requirements. The NSD methodology of fair value determination, implemented in the depositary‘s programming and software suite, was jointly developed by Interfax and NSD over the course of one and a half years.

Interfax and NSD have been developing the RU Data platform since 2015 as a universal source of Reference Data on financial instruments, unifying all information accessible on the Russia equities market, including reference data verified by books and records, information from issuers and registrars, and operational information received directly from issuers.

The system has provided for the unification of data on equities in order to prevent recording errors and optimize costs related to the use of conflicting data. RU Data Price also includes data from the NSD Valuation Center and information about international financial instruments.