The Methodology of the Statistical Data “OTC Derivatives Amounts Outstanding 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 “OTC derivatives amounts outstanding”, due to the update in the methodology of the Triennial Central Bank Survey of foreign exchange and OTC derivatives markets held by the Bank of International Settlements in which the Bank of Russia participated in 2019.

Therefore, starting from data at end-January 2020 the updated publication contains enlarged list of currencies used in calculations and information on interest rate options (including swaptions). Furthermore, amounts outstanding were aggregated in maturities breakdown segment for foreign exchange contracts as well as interest rate contracts.

Moreover, the approach to valuation of amounts outstanding in US dollar equivalents (contracts that are denominated in non-dollar currencies converted into US dollars using the end-of-period exchange rates at the reporting date, not at the settlement date of the contract) and maturity (the difference between reporting date and the due date, not the period from the date of agreement was used previously) were changed.

In addition, group of credit institutions — residents of the Russian Federation was added in the counterparties segment breakdown.

The reference to the Press Service is mandatory if you intend to use this material.

28.02.2020 00.00.00