Bank of Russia updates RUONIA calculation procedure

Beginning on 1 December 2021, the Bank of Russia uses the updated methodology for calculating and publishing the RUONIA benchmark rate. Specifically, the regulator resumes the calculation of the RUONIA fallback value based on the concentration criterion.

This criterion was temporarily not applied from 20 May 2021 because the triggering condition occurred in May 2021 for three consecutive business days (Press release of 20 May 2021).

Having analysed the situation, the Bank of Russia revised the approach to assessing the conditions when the fallback value should be calculated. Now, the concentration condition includes an additional criterion depending on the interest rate level. The updated criterion will make it possible to preserve the representation of the RUONIA benchmark rate amid structural changes in the interbank market.

Simultaneously, the decision on the temporary non-application of the said criterion becomes invalid.

RUONIA for 30 November will be calculated and published on 1 December 2021 using the updated RUONIA calculation and publication methodology.

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