(Russian Secured Funding Average Rate) is the Russian money market index, serving as an indicator of the fair value of secured money. It has been calculated by the Moscow Exchange since April 2019.
RUSFAR is calculated based on repo orders and transactions with the central counterparty, which are secured with clearing participation certificates. The index may be calculated in Russian Rubles and US dollars
RUB RUSFAR is calculated with maturities overnight, of one week, two weeks, one month, and a quarter. Accordingly, there are 5 types of RUB RUSFAR indices:
1) RUSFAR O/N
2) RUSFAR 1W
3) RUSFAR 2W
4) RUSFAR 1M
5) RUSFAR 3M
is generally calculated with maturity of 1 day (overnight).
According to the procedure of the Moscow Exchange, RUSFAR is calculated as follows:
R = Vol/MinVol * Rtrades + (1 – Vol/MinVol) * Rorders,
R is the RUSFAR index value;
Vol is the total volume of transactions used to calculate the index;
MinVol is the minimum required volume of transactions;
Rtrades is an average Rate for trades;
Rorders is an average Rate for orders;
About 20 market makers take part in compiling the RUSFAR index. These organizations include Sberbank of Russia, Credit Bank of Moscow, PJSCB Derzhava, Otkritie Broker, Brokercreditservice, Bank Saint Petersburg, Renaissance Broker, and other organizations.
RUSFAR index is updated every business day at 12:30 Moscow time. The index is measured in percent per annum.