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NBU Updates Approaches to Calculating and Publishing Official and Reference Hryvnia Exchange Rate

NBU Updates Approaches to Calculating and Publishing Official and Reference Hryvnia Exchange Rate

From 4 January 2022, the NBU will calculate the official hryvnia exchange rate and reference UAH/USD exchange rate under updated methodology, as well as publish the official hryvnia exchange rate against foreign currencies and official prices for investment metals thirty minutes earlier.

The approved amendments to the Regulation On Setting the Official Exchange Rate of the Hryvnia against Foreign Currencies and Calculating the Reference Exchange Rate of the Hryvnia against the U.S. Dollar and Accounting Prices of Investment Metals (the Regulation) provide for the following:

  • adjusting approaches to cutting off deals with extreme parameters

In particular, the regulator has taken an approach to the calculation of the official/reference hryvnia exchange rate that is based on deals with the most relevant volume for the Ukrainian interbank market, namely from USD 0.1 million to USD 5 million.  The regulator will give up the practice of cutting off deals whose amount differs by more than two standard deviations from the arithmetic mean of a series of deals.

In addition, from 4 January 2022, the deals differing by 2% from the median of the initial series of deals will be excluded from the calculation at Step 1 of the cut-off process, rather than those differing from the arithmetic mean of the initial series of deals under the current methodology.

  • shifting the timing of data collection for calculating the hryvnia official exchange rate against foreign currencies and changing the time of its publication.

Thus, the timing for data collection for calculating the hryvnia official exchange rate against foreign currencies and official prices for investment metals (both under UAH/USD deals and BFIX indicators) will be changed from 3:30 p.m. to 3:00 p.m. Kyiv time. The indicators noted above will thus be published before 3:30 p.m. Kyiv time (not before 4:00 p.m., as is the case currently)

  • determining the mechanism for calculating the reference value of the UAH/USD exchange rate under special conditions.

The procedure for calculating the reference UAH/USD exchange rate under special conditions will be established in a similar way to the existing mechanism for calculating the official UAH/USD exchange rate under special conditions, and the time of control of available deals will be set to 11:30 a.m. Kyiv time. The introduction of this procedure will preclude situations where the reference UAH/USD exchange rate on a certain date cannot be calculated due to the market’s low activity or technical problems.

It is worth mentioning that at present such a mechanism is defined only for calculating the official UAH/USD currency exchange rate.

The NBU estimates that the respective amendments will help:

  • reduce data loss when calculating the official/reference UAH/USD exchange rate at the stage of cutting off the deals with extreme parameters
  • optimize the use of the official exchange rate of the hryvnia against foreign currencies as a financial indicator (benchmark) when settling deals on the date when the rate is set
  • ensure continuity of the FX market indicators calculation necessary for compliance with IOSCO principles for financial indicators.

The mentioned amendments were approved by NBU Board Resolution No. 127 On Approval of Amendments to the Regulation On Setting the Official Exchange Rate of the Hryvnia against Foreign Currencies and Calculating the Reference Exchange Rate of the Hryvnia against the U.S. Dollar and Accounting Prices of Investment Metals dated 30 November 2021 It will take effect on 4 January 2022.

A new version of the Regulation (as amended) is available by link

For reference

The proposals, their rationale, and analytical calculations based on which the above amendments to the Regulation were made can be found here.

The respective proposals on amendments to the Regulation were brought up for public discussion, the summary of which can be found here.

 

 
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