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MNB publishes new index to foster market of overnight indexed swaps

The National Bank of Hungary (MNB) said Wednesday it will start publishing a new index: HUFONIA (Hungarian Forint Overnight Index Average) on its website daily from September 1, the MNB said on Wednesday. The move is designed to support the development of a Hungarian market for Overnight Indexed Swaps (OIS). Official OIS rates are expected to be published daily from the end of September.

The MNB said it expects that the wider use of derivative transactions based on the future development of overnight interbank interest rates would enable market participants to manage their interest rate risk more efficiently and may help defining realistic below-one-year interbank rates.

Hufonia is the weighted average rate of unsecured forint overnight transactions on the interbank market, derived from daily reports by credit institutions. In developed markets, overnight rates of this type are reference rates for OIS, a special category of interest rate swaps. The name was chosen to make it easy to identify Hufonia with similar indices in Europe such as EONIA for the euro and SONIA for sterling.

HUFONIA will be published at 11 a.m. on working days on the Reuters HTBL screen page and on the MNB's website.

OIS rates (HUFONIA Swap Index) will be officially published daily, based on quotes by 12 Hungarian banks, from the end of September 2010, the bank said. The publication of OIS rates will be operated jointly by MNB and the Hungarian Forex Association. Quotes will range from one-week to one-year maturity and will be for a total of eight different maturities. The detailed terms and conditions of quotes for the HUFONIA Swap Index will be available on the website of the Hungarian Forex Association. (MTI-Econews)