Bank of Russia changes parameters of FX swaps

From 16 September 2024, the Bank of Russia sets the following interest rates for CNY/RUB sell/buy swaps:

for yuan, swap points will be calculated using O/N SHIBOR (Overnight Shanghai Interbank Offered Rate) plus 12 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.

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