BANK OF RUSSIA CONDUCTS USD/RUB SWAP (BUY/SELL overnight)
On September 26, 2002
the Bank of Russia introduced the system for refinancing the Russian credit
institutions using FX swap transactions. The objective of this measure is to
broaden the range of instruments for the regulation of the short-term liquidity
of the banks and to support the stability on the Russian money market.
The FX
swap is performed as follows:
The Bank
of Russia buys U.S. dollars against rubles for value date today (T) at the
central exchange rate (base rate) and simultaneously sells U.S. dollars for
value date on the next business day (T+1) at the base rate increased by the
swap difference, which is calculated according to the following formula:
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where
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SD - swap difference
denominated in rubles; |
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BR (base rate) - central
exchange rate, calculated and set by CJSC Bank National Clearing Centre; |
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TIRRUB - target
interest rate (RUB); |
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TIRCUR - target
interest rate for: |
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- USD FEDERAL FUNDS TARGET
RATE, (source: REUTERS, <USFFTARGET=>, last), |
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- EUR MINIMUM BID RATE AT
REFINANCING TENDER, (source: REUTERS, <ECBMRO=ECBF>, last);
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N - number of days; |
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M - settlement
convention (act/act). |
FX swaps can be transacted
via MICEX-RTS. FX swaps are also executed by the Bank of Russia with the
credit institutions that are the Bank's counterparties in domestic FX trading
operations. The minimum notional amount of a swap transaction for USD/RUB
pair is set to 3 million U.S. dollars and 1 million euro for EUR/RUB pair.
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swap buy/sell overnight 