17 Mar 2022 19:24

NCC slashes USD, EUR rollover rates to pre-March 1 levels

MOSCOW. March 17 (Interfax) - National Clearing Center has slashed rollover penalty rates of 40% for USD and EUR swaps back to the levels of 4% and 2% in effect prior to March 1, the Moscow Exchange said.

The new rates will be effective from March 18.

The USD rollover penalty rate rose to 40% and, in the first half of March 3, to 200% amid FX market volatility. The rates for EUR went up to 70% and 300%. In the afternoon of March 3 they were lowered back to 40% and 70%. The EUR and USD rates were lowered to 40% on March 15.

In conditions of high volatility in the market, it is more profitable for participants to roll over a position to the next day than to fulfill their obligations to NCC on time. A higher penalty rate allows NCC fulfill its settlement obligations to market participants in full and on time.

A reduction of the rollover rate is a marker of reduced volatility. Thus, the new penalty rates that take effect from Friday are evidence that the foreign exchange market is normalizing after three weeks of high volatility.