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NBU Revises Methodology for Calculating Official UAH/USD Rate and Time of its Publication

23 July 2018

Press Release

 

NBU has revised the methodology for calculating the official UAH/USD rate, updated the data sources for its calculation and shortened the time before its publication.

 

Under the adopted decision the official UAH/USD exchange rate shall be calculated on the basis of the information on all USD purchase/sale agreements on tod, tom, and spot terms executed on the calculation date in the interbank foreign exchange market of Ukraine (hereinafter - IFEM) with other banks and with NBU, and information on which was provided to the NBU by trade information systems before 03:30 pm of the respective business day.

 

The new calculation technique provides for a two-stage system for discard of transactions, the parameters of which for various reasons deviate from the parameters of the vast majority of transactions of the respective day, and, therefore, such transactions are not representative for their inclusion in the calculation of the official UAH/USD exchange rate. First, from the current range of transactions, all transactions, the exchange rate of which deviates from the arithmetic mean for all transactions by more than 2% are discarded. Then the transactions, the rate/volume of which deviates from the arithmetic mean rate/volume by more than 2 standard deviations are discarded.

 

The calculation of the official UAH/USD exchange rate will be carried out as the weighted average of all transactions remaining after the discard.

 

The official rate will be made public on the NBU website before 4:00 p.m., i.e. 2 hours earlier than now.

 

Currently, the official hryvnia exchange rate is calculated as the average weighted value for all above interbank transactions per day based on the data from the System for Confirmation of Deals in Ukraine’s Interbank Foreign Exchange Market (also known as ValCli), i.e. without the discard of unrepresentative transactions.

 

The new principles for calculating the official UAH/USD exchange rate also provide for a backup mechanism for its calculation if the number of transactions to be taken into account for the calculation of the official hryvnia rate for any reason is less than or equal to 10% of the average daily value of the same indicator for the previous running months. Such a mechanism provides for the NBU to request banks from noon to 1:00 p.m. (through the trading systems or telephone) to submit quotations for the purchase/sale of USD 1 million and to further calculate the official rate as a general arithmetic mean of all the quotations received as a result of such request.

 

Till now, there was no backup methodology for the calculation of the official exchange rate of hryvnia to foreign currencies.

 

The technique for the calculation of the official exchange rate of hryvnia to foreign currencies remained unchanged.

 

In addition to the official UAH/USD exchange rate, the NBU will also conduct a daily calculation of a reference UAH/USD exchange rate. It will be calculated according to the same methodology as the official UAH/USD exchange rate, but its calculation will be based on data on transactions concluded at the IFEM before noon and will be published on the NBU web-site before 12:30 p.m.

 

The introduction of a new methodology for calculating the official UAH/USD exchange rate approximates it to international standards for calculating similar indicators, and will allow the official UAH/USD exchange rate to be used not only for accounting purposes, but also as a benchmark for the FX market in the conclusion of agreements by market participants with foreign currency as underlying asset.

 

These steps are supported by NBU Board Resolution No. 80 dated 19 July 2018 On Certain Issues of Establishing the Official Rate of Hryvnia to Foreign Currencies and Amendments to the Foreign Currencies and Banking Metals Classifier, which enters into force on 1 August 2018.


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Last modification   23.07.2018