RULES
FOR CALCULATING THE SWAP REFERENCE PREMIUM RATE ON THE RUSSIAN MARKET – NFEA FX SWAP RATE
1. NFEA SWAP Rate is the National Foreign Exchange Association (NFEA) reference premium for swap operations on the Russian market. The NFEA shall fix the NFEA SWAP Rate on the basis of the premium quotes for $/RUB swaps for the first part of the swap with the tenor "tomorrow" (TOM), as quoted by leading participants on the Russian financial market.
2. The NFEA Board shall approve the methodology developed by the NFEA Expert Council for Market Indices for fixing and calculating the NFEA SWAP Rate, as well as the calculation partner. The name, the calculation partner and the methodology for fixing and calculating the NFEA SWAP reference rate may be amended solely by a resolution of the NFEA Board or the NFEA General Meeting.
3. The NFEA 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 the NFEA SWAP reference premium 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 8 and no more than 18 contributors.
4. The contributors that participate in fixing the NFEA SWAP reference rate shall provide the NFEA with written guarantees that they have met the requirements and conditions stipulated by these Rules.
The NFEA, represented by the Expert Council, shall constantly monitor and control the discipline and quality of the quotes provided by the banks.
5. The quotes provided by the contributors for calculating the NFEA SWAP reference rate shall be regarded as reference information only. Their publication shall not impose any obligations on the contributors to enter into specific transactions on the interbank market, 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. The quotes provided shall reflect the level of swap premiums at which the contributors are ready to enter into transactions at the time of providing the quotes.
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 quotes submitted by the new contributor shall be taken into account in calculating the NFEA SWAP Rate not earlier than the day following the last day on which the replaced contributor provided its quote.
9. Thomson Reuters shall be the calculation partner of the NFEA in fixing the NFEA SWAP Rate. The banks shall submit their quotes for the purposes of the NFEA SWAP Rate into the Thomson Reuters information portal between 11:45 a.m. and 12:15 p.m. Moscow time. Thomson Reuters shall publish the NFEA SWAP Rate and individual quotes of the banks on dedicated web-pages at 12:30 p.m. Moscow time each business day.
10. The contributors shall provide quotes for fixing the NFEA SWAP Rate as at 11:45 a.m. Moscow time each 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. The NFEA SWAP reference rate shall be calculated on the basis of the quotes submitted by the contributors for the tenors of 1 and 2 weeks, 1, 2, 3, 6, 9, 12, 18 and 24 months, 3, 4 and 5 years. The contributors shall provide dual quotes (the bid price and the offer price); the NFEA SWAP Rate shall be calculated as the average of the bid price and the offer price. The value period for the first part of the swap shall be calculated as of "tomorrow" (TOM).
12. The NFEA SWAP Rate shall be calculated every business day at 12:30 p.m. Moscow time. The premium shall be specified in swap points where one swap point shall equal 0.01 kopecks.
If no less than 9 rates have been provided, the NFEA SWAP reference rate shall be calculated as the arithmetic average of the rates provided by the banks 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 NFEA SWAP reference rate. If, by the time when NFEA SWAP Rate is to be fixed, only 5 or less quotes have been received from the contributing banks, the NFEA SWAP Rate shall be calculated as the arithmetic average of all the rates provided.
13. The NFEA shall provide information to general public on the NFEA SWAP Rate 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 NFEA SWAP 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 NFEA SWAP Rate, the last business day of the year shall be considered as a public holiday (non-business) day.
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