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
official 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;
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TIRRUB -
target interest rate (RUB);
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TIRCUR - target interest rate for:
- USD FEDERAL FUNDS TARGET RATE, (source: REUTERS,
<USFFTARGET=>, last),
- 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).
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FX swaps can be transacted via the Moscow Interbank Currency
Exchange (MICEX). 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 