The calculation of GRSS-MTS EGB Fix index is based on a hierarchical waterfall approach that incorporates three distinct data sources, reflecting the representative quality of the data:
Level 1 (L1): Transactions – executed trades on MTS Cash Domestic Bond Markets sourced within a defined time window prior to the calculation time.
Level 2 (L2): Executable Quotes – active bid and ask quotes derived from market depth on MTS Cash Domestic Bond Markets
Level 3 (L3): BV Composite Prices – indicative composite prices from the BondVision platform.
The methodology is governed by a confidence-based framework, where each data input contributes to an aggregate measure of confidence, primarily driven by traded and quoted volumes, supplemented by BV composite prices. A minimum confidence threshold must be achieved for the index to be considered representative and eligible for publication. The calculation follows a sequential logic, where data from lower-priority levels are added to the data from higher-priority levels until a pre-defined minimal confidence threshold is reached
The GRSS-MTS EGB Fix Calculation Methodology document describes in detail all steps in the process of the calculation of the index.
The GRSS-MTS EGB Fix Calculation Methodology is subject to periodic review by the Oversight Committee.