The Central Bank of Russia has begun publishing an implied interest rate on CNY/RUB overnight foreign exchange swaps, derived from transactions in the Russian market. The benchmark is calculated on business days as the weighted average of yuan interest rates on individual transactions actually conducted in both the on-exchange and over-the-counter segments, under covered interest rate parity. The calculation procedure is published on the Bank of Russia website in the Databases section under “Implied Interest Rate on CNY/RUB Overnight FX Swaps”.
Central Bank of Russia 2026-04-01
Central Bank of Russia starts publishing an implied interest rate benchmark for CNY/RUB overnight FX swaps
The Central Bank of Russia has begun publishing an implied interest rate on CNY/RUB overnight foreign exchange swaps, derived from actual transactions in the Russian market. The benchmark is calculated on business days as the weighted average of yuan interest rates on individual on-exchange and over-the-counter transactions under covered interest rate parity, with the calculation methodology published in the Databases section of the Bank’s website.