VND VNIBOR will align more closely to Financial Stability Board recommendations and be administered in accordance with UK and EU benchmark regulation (BMR)
FTSE Russell, the global benchmark and index provider, has announced it is enhancing the methodology of its Vietnamese Dong interest rate benchmark, VND VNIBOR. The move will be effective from 3 November and is designed to be more closely aligned with Financial Stability Board recommendations for reforming interest rate benchmarks.
VND VINBOR is an established Vietnamese interbank interest rate with history going back more than 25 years.
Jacob Rank-Broadley, Head of LIBOR Transition at FTSE Russell, said: “These methodology changes have been developed in conjunction with the market to ensure Vietnam has an accurate and robust interbank interest rate which will support development of Vietnam’s financial markets and economy.”
Following industry consultation and the successful publication of a prototype, overnight, spot-week, two-week, one-month and three-month tenors will be calculated using a new resilient methodology that is grounded in VND deposit transactions. In addition, FTSE Russell is launching new overnight VND VNIBOR compounded average rates and an overnight index to support the use of overnight VND VNIBOR as a risk-free rate. This will further align Vietnam with other leading markets that have adopted risk-free rates such as the United States and Singapore where SOFR and SORA are used.
Administration of the overnight, spot-week, two-week, one-month and three-month tenors, compounded averages and index will transition to FTSE International Limited and will be administered in accordance with UK and EU BMR regulations.
While the methodology for the remaining 2 month, 6 month, 9 month and 12 month tenors will remain based on quote data, the calculation methodology will change to a mid-rate sampled over a longer period to align with the trade-based tenors.
For the Vietnamese market, FTSE Russell also publishes USD VNIBOR and VNDFIX Reference Rate.
Further details about VND VNIBOR are available at Vietnamese Interest Rate Benchmarks | LSEG
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