Swap buy/sell overnight
Foreign exchange swap (FX swap) is a liquidity
providing standing facility. FX swap enables banks to borrow liquidity overnight at a fixed (pre-specified)
rate.
FX swap is performed as
follows: the Bank of Russia buys foreign currency against the ruble for value
date "today" (T) at a base swap rate, specified by the Bank of Russia, and
simultaneously sells it back for value date on the next business day (T+1) at a
base swap rate increased by the swap points, which represent the cost of
borrowing liquidity. Swap points are calculated according to the following
formula:
 , where
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SP – swap
points denominated in rubles, rounded to 4 decimal digits;
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BSR – base swap rate, which is equal
to the base swap rate fixed in the FX Market of Moscow Exchange by the CJSC
"National Clearing Centre" in accordance with the Rules for performance of
clearing operations by the joint-stock commercial bank "National Clearing
Centre" (closed joint-stock company) at the Unified Trading Session;
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IRRUB – RUB interest rate
for the purpose of FX swap transactions, set by the Board of Directors of the
Bank of Russia;
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IRCUR – foreign currency
(USD or EUR) interest rate for the purpose of FX swap transactions, set by
the Board of Directors of the Bank of Russia;
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N – number
of days;
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M – actual
number of days in a year.
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FX swaps can be
transacted in the FX Market of Moscow Exchange or in the over-the-counter
market with the credit institutions that are the Bank of Russia's
counterparties in domestic FX trading operations. Operations are performed from
10:00 to 15:00 of the trading day.
The minimum notional amount of an FX swap
transacted in the over-the-counter market is set to 3 million U.S. dollars for
USD/RUB currency pair and 1 million euros for EUR/RUB currency pair.
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swap buy/sell overnight 