Rules for daily fixing by the NFEA
of RUONIA-based OIS rates
(NFEA RUONIA OIS FIXING – ROISfix)
1. NFEA RUONIA OIS FIXING ("ROISfix") is a fixing provided by the National Foreign Exchange Association (NFEA). The NFEA fixes the ROISfix on the basis of the quotes provided by contributors.
2. The NFEA Board shall approve a methodology developed by the NFEA Expert Council for Market Indices for fixing and calculating ROISfix, as well as the calculation partner. The name, the calculation partner and the methodology for fixing and calculating ROISfix may be amended solely by a resolution of the NFEA Board or the NFEA General Meeting.
3. The National Foreign Exchange Association shall select the contributors to provide quotes on the basis of their reputation, scale of operations on the interbank market, the experience in interbank rouble deals and financial standing, out of Russian credit institutions and professional participants on the Russian financial market.
The list of the contributors that take part in fixing ROISfix shall be determined by the NFEA Expert Council for Market Indices and shall be approved by the NFEA Board. The list shall include at least 6 contributors.
4. The contributors that participate in fixing ROISfix shall provide the NFEA with written guarantees that they have met the requirements and conditions stipulated by these Rules.
The NFEA, represented by the Committee for Market Indices and the Expert Council, shall constantly monitor and control the discipline and quality of the quotes provided.
5. The quotes provided by the contributors for fixing ROISfix shall be considered as reference information only, apart from control transactions to be concluded by the contributors between each other. The rules for concluding control transactions shall be developed and approved by the NFEA Expert Council for Market Indices. Publication of the quotes shall not impose any obligations on the contributors to enter into specific interbank transactions. At the same time, the provided quotes shall reflect the level of prices at which the contributors are ready, at the time when the quotes are being provided, to conclude deals.
6. If a contributor ceases to satisfy the requirements of these Rules for any reason, the NFEA Expert Board for Market Indices may, at its own discretion, propose that the NFEA Board considers whether or not to exclude the contributor from the list of contributors.
7. Each contributor may, without providing any reasoning, suspend providing quotes, having notified the National Foreign Exchange Association of its decision in writing at least 1 month before suspending to provide quotes. In this case, the NFEA Board shall, within 1 month, decide on the replacement of the contributor.
8. 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 contributor has been replaced, the rates submitted by the new contributor shall be taken into account in calculating ROISfix not earlier than the day following the last day on which the replaced contributor provided its rate.
9. Thomson Reuters shall be the calculation partner of the NFEA in fixing ROISfix. The contributors shall submit their quotes for the purposes of ROISfix into the Thomson Reuters information portal between 11:45 a.m. and 12:15 p.m. Moscow time. Thomson Reuters shall publish ROISfix and individual quotes of the banks on dedicated web-pages at 12:31 p.m. Moscow time every business day.
10. The contributors shall provide quotes for fixing ROISfix as at 11:45 a.m. Moscow time every business day. Business day (banking day) shall mean a calendar day, apart from weekends and public holidays stipulated by Russian legislation and days-off shifted to business days by relevant legal acts of the Russian Federation. Contributors shall provide their quotes without any references to the quotes made by other contributors.
11. ROISfix shall be calculated on the basis of the quotes provided by the contributors for the tenors of 1 week, 1, 2, 3 and 6 months. The contributors shall provide dual quotes (the bid and offer prices); ROISfix shall be calculated as the average of the bid price and the offer price.
12. ROISfix shall be calculated every business day at 12:30 p.m. Moscow time. If no less than 9 rates have been provided, ROISfix 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 ROISfix reference rate. If, by the time when ROISfix is to be fixed, only 5 or 4 rates have been received from the contributing banks, ROISfix shall be calculated as the arithmetic average of all the rates provided. If 3 or fewer rates have been provided, indicator is not calculated.
13. The National Foreign Exchange Association shall provide information to general public on ROISfix on a daily basis, including the information on the individual quotes submitted by each contributor and on any changes in the panel of the contributors, on NFEA web-pages, the dedicated page in the Thomson-Reuters information portal and in any mass media at its discretion.
14. On the last business day of the year, no overnight ROISfix reference rate shall be calculated, unless provided otherwise by a special resolution of the NFEA Expert Council for Market Indices. For financial instruments that are based on the overnight ROISfix rate, the last business day of the year shall be considered as a public holiday (non-business) day.