The Bank of Russia has announced changes to the parameters of FX swaps, effective from September 16, 2024. The new interest rates for CNY/RUB sell/buy swaps will be set as follows:
For yuan, swap points will be calculated using the Overnight Shanghai Interbank Offered Rate (O/N SHIBOR) plus 12 percentage points.
For rubles, swap points will be calculated using the Bank of Russia key rate less 1 percentage point.
According to a statement from the Bank of Russia, "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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