Banca Naţională a României

Starting on January 10th, 2011, the National Bank of Romania will publish on a daily basis the government securities reference rates (fixing). These indicators are calculated according to the Rules regarding the calculation of government securities reference rates drawn up by ACI Romania – Financial Markets Association.

These Rules, approved by the NBR as the regulatory authority, aim to improve the functioning of the government securities secondary market both in terms of liquidity and transparency.

The technical support of the fixing process is provided by Thomson Reuters Romania and the government securities reference rates will be published on the NBR website www.bnr.ro, where the above-mentioned rules can be found as well.

The main provisions of the Rules refer to:

• The selection of ten credit institutions from among the primary dealers as fixing participants, according to both the performance criteria for the secondary market activity and the size of their government securities portfolios
• The fixing participants’ list will be public and their quotations will be available on the ROBMKF2 – ROBMKF3 Reuters pages
• "Bid" and "offer" reference rates are calculated for the government securities that have been issued or reopened within a maximum of 3 months prior to the calculation date, for original maturities of 6 and 12 months for T-bills and 3, 5 and 10 years for benchmark bonds
• The government securities reference rates (fixing) calculation is based on the participants’ quotations displayed 15 minutes before 12:00 hours (Bucharest time)
• The reference rates calculation is automatically performed by Thomson Reuters Romania as a weighted average of "bid" and "offer" quotations for each maturity.