Bank of Russia changes parameters of FX swaps (22.03.2024)

From 25 March, the Bank of Russia sets the following interest rates for CNY/RUB sell/buy FX swaps:

for yuan, swap points will be calculated using O/N SHIBOR (Overnight Shanghai Interbank Offered Rate) plus 3.5 pp;

for rubles, swap points will be calculated using the Bank of Russia key rate less 1 pp.

This decision was made taking into account current price trends in the FX swap segment and is aimed at minimising the impact of Bank of Russia transactions on market pricing.

However, in order to contain excess volatility in this segment, which may occur due to calendar factors, the Bank of Russia will temporarily increase the maximum daily amount of its FX swaps to CNY20 billion on the first two and last two business days of each month. On other trading days, the maximum amount of Bank of Russia transactions will remain unchanged at CNY10 billion.