On 20 July 2012, the NFEA Board approved the decisions passed by the NFEA Expert Council for Market Indices, including:
- To exclude WestLB Vostok Bank from the panel banks participating in the Ruonia reference rate fixing. The reason behind this is that the Bank has become less active on the currency and money markets; its ownership structure and the management team have changed, which might result in deterioration in the credit quality required for participation in NFEA fixings.
- To change the methodology for calculating the RUONIA reference rate in order to discourage tampering with the rate.
(The monitoring over RUONIA calculation showed that it is advisable to exclude from the calculation process any erroneous transactions or transactions having signs of tampering at an early stage. However, if a bank breaks down a major transaction into several smaller transactions, these transactions will be included in RUONIA calculation if they have been concluded within the price range where the market has been active (the filter that checks sufficiency in the number of banks within the given range does not work in this case). The first stage of calculating RUONIA is, therefore, adjusted as follows: all transactions concluded between two contracting parties at the same price will be treated as a single transaction. At the second stage, such transaction is checked (in accordance with the standard procedure) to see if it deviates from the "threshold" (15% for a pair transaction and 10% for a non-pair transaction) against the daily average range for the last 3 months. A decision was also taken to increase the "exclusion threshold" from 15% to 20% for a pair transaction.