Money Market Indicators
The indicators of repo rates are calculated by two separate categories: on the basis of transactions executed in stocks included in the MICEX Index constituent list and in bonds included in the Bank of Russia"s Lombard list. Within each category the indicators are divided into "overnight", "1 week" and "2 weeks" depending on settlement periods of relevant repo transactions. The indicators are calculated as an average meaning of repo rates weighted by repo transaction values and number of relevant dealers.
The zero coupon yield curve is derived from trades in government bonds (GKO-OFZ) executed in the Exchange"s trading system. The yield curve is considered to be the premier barometer for risk-free borrowing cost on the Russian debt market. The yield represents continuous interest rate values depending on a term and is used to establish prices on debt instruments and manage interest rate risk. The zero coupon yield curve is calculated in real time on a continuous basis during the course of trading as trades in bonds included in the constituent list are executed.