The Central Bank revealed the scheme for calculating the rates of Western currencies after the stop of exchange trading. Vedomosti drew attention to the methodology published by the regulator. The dollar and euro values are established based on data from over-the-counter transactions between banks that completed before 15:30 each day. At the same time, the Central Bank excludes “extreme” values from the sample — the lower and upper amounts of transactions with American and European currencies are not taken into account.
Such a technique should make the exchange rate more stable, notes the founder of the Multiplier financial club, Evan Golovanov: “Conventionally, we have a pool of ten banks that trade with each other. On average, let's say they concluded all transactions at a rate of 90. But some player had problems with liquidity, and for some reason he did it with a calculation of 83 rubles per dollar or euro. If you use this course, it will turn out lower. If the values are average, then — 90.
In this case, the Bank of Russia cuts off market participants who create additional noise.
Why might this happen? We have sanctioned banks and those that are not subject to restrictions. Accordingly, the former have much worse access to interbank liquidity in general, especially to foreign exchange. They can enter into transactions at rates that may be very out of line, and if they are cut off, the rate will look more stable. It is rather indicative, which investors and the public look at. Therefore, it is possible to make such sacrifices in order to obtain some less volatile values, especially if the regulator, for example, assumes that some large transactions are possible in the future, which may take place at a slightly different rate.”
The Central Bank noted that the larger the transaction between banks, the more strongly it will affect the official exchange rate. Earlier, the head of the regulator, Elvira Nabiullina, admitted that after the Moscow Exchange structures came under sanctions and the cessation of exchange trading in the dollar and euro, fluctuations during the day increased. The exchange rate on the over-the-counter market is, in principle, more volatile, explained economist Sergei Khestanov: “For the market, strong systemic deviations of the Central Bank exchange rate from the values at which transactions can actually be carried out on the over-the-counter market would be noticeable. But, at least for now, nothing is known about such phenomena, so it can be stated that the calculation methodology used by the regulator corresponds well to the reality that develops in practice.
Perhaps in the future some kind of electronic platform will emerge, which, although not formally an exchange, will work according to its rules. If this happens, then the rate that will be calculated based on the results of trading on this site will be much closer to the previously familiar exchange rate than the current system. But taking into account the fact that recently there has been a trend towards a slight decrease in the disclosure of information, it is unknown whether it will be created and how public the data on trading within its framework will be.”
Previously, the Central Bank hid data on over-the-counter currency trading. This was done to “limit the influence of sanctions,” according to the regulator’s message. It has been publishing data on the volume of trading in the dollar, euro and yuan on the over-the-counter market since April.
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