Of the 13 trillion rubles. issued in the Russian paper bonds at 8 trillion are not liquid, calculated at the request of "Vedomosti" in the National Settlement Depository (NSD).
These bonds will soon have to be overstated, he said a few days ago the first deputy chairman of the Central Bank Sergey Shvetsov: over time, the regulator refuses to assess illiquid securities based on quoted market prices, because it wants to take into account their liquidity. Data about it, he is going to receive from the price points.
Expert advice center price NSD (the board includes representatives of the banks and the regulator) is now forming a new model for evaluating illiquid bonds. The market price will be calculated taking into account the assets of concentration (Herfindahl index - Hirschman Index), the number of investors, said Chairman of the Board George Uryutov. For example, if the release buys one or two members, it will be considered illiquid, said Uryutov opinion on how to consider liquidity, supported by all council members.
If the market is inactive and illiquid instrument, then the price will have to use the center of the probability of default as a basis for determining fair value. The main task of the board at the beginning of next year - to develop a method for determining the probability of default, he concluded.
Their methods of assessment have a group of "Region" and the center Cbonds assessment (both declined to comment), which, according to one of the evaluators, has submitted documents to the Central Bank for accreditation. The results will be known in January.
An employee of one of the assessment centers said that the Central Bank is interested in using the data for regulatory purposes, but wants to retain the right to use their own evaluation methodology for the crisis moments. His colleague from another center indicates that the territorial control of the Central Bank informally interested in the data banks at NSD checks.
"In the world of OTC bond market and, accordingly, are not so liquid. Evaluation [share of illiquid bonds] similar to the truth, is now taking data from trading systems, but they can accumulate and assessment centers ", - says Alexey Timofeev of NAUFOR.
Banks should be discounted fair value of the bonds at their low liquidity, I'm sure the chief Treasury Metallinvestbank Selim Argazaev. Now evaluation of activity and liquidity farmed out to market participants and the bank is interested in the recognition of the most liquid securities, it recognizes. According to the Central Bank, banks' investments in bonds as of November 1 amounted to 9.2 trillion rubles.
Probably, the Central Bank recommends that banks use these price points in the calculation of ratios, but banks can argue with that, he says, the Central Bank instructions allow banks to use their own assessment of the bonds, which the Central Bank, in turn, be able to challenge during the test, "the Central Bank may suddenly prescribe assessed additional reserves, so many banks prefer to use a conservative approach the assessment center, which is accredited by the technique of the central bank. "
In addition, the revaluation may affect the pension funds. "Now for all securities only stock quotes are taken into account. Funds, together with the trustee may apply its own methodology for assessing the illiquid assets ", - said the press service of" VTB Pension Fund. " This can have some negative impact on the assessment of certain portfolios of APF, said chief strategist "Sberbank CIB» Andrey Kuznetsov.
Under IFRS, the portfolio can be divided into "tradable" and "investment" held to maturity. Changes in valuation rules likely to affect actively traded of the portfolio, which is valued at market value, the executive director of NPF "Safmar" Evgeny Yakushev.
Since 2017 the funds are moving to IFRS, part of the bond portfolio will be in the "maturity" - they accounted for 100% of their cost to maturity. "Thus, the funds can translate bonds in this portfolio, but then exchange trade such securities it is actually prohibited," - says the analyst RAEX Pavel Mitrofanov.
Such a decision, however, can cause the APF to recognize losses from earlier pre-default bond issuers, without waiting for the facts of default. In illiquid paper pre-default state of the issuer may not be reflected in the quotes to the redemption, Kuznetsov said.
The Central Bank of the request of "Sheets" have not responded.