The Methodology of the Statistical Data “Main Indicators of Foreign Exchange and Derivatives Market of the Russian Federation (by Methodology of the Bank for International Settlements)” Has Been Changed

The Bank of Russia has updated the methodology for the monthly report “Turnover structure of Foreign Exchange and Derivatives Market”, due to the update in the methodology of the Triennial Central Bank Survey “Turnover structure of Foreign Exchange and Derivatives Market” held by the Bank of International Settlements (BIS) in which the Bank of Russia participated in 2019.

Therefore starting from January 2020 the updated publication contains more detailed list of maturities for the foreign exchange swaps and forward contracts, turnover of interest rate swap with maturity “overnight” was separated from general interest rate swap turnover, data on option’s turnover and non-deliverable forwards was added together with change in US dollars equivalent turnover calculation.

In addition to the mentioned revisions, which were made in accordance to the BIS methodology changes, the Bank of Russia enlarged the list of currencies used in calculations, extracted the turnover of swaptions from the option’s turnover and reported them separately, as well as added information on the turnover of interest-rate derivatives in the context of various floating interest-rates.

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