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NBU proposes to calculate UONIA as weighted average by volume of transactions
KYIV. Oct 29 (Interfax-Ukraine) – The National Bank of Ukraine (NBU) plans to abandon the calculation of the Ukrainian Overnight Index Average (UONIA) as an arithmetic mean value and start calculating it as a weighted average by volume of transactions in order to level the excessive influence of individual banks’ transactions at rates significantly different from average in the market on the indicator.
The press service of the NBU reported that the relevant changes were made public on the regulator’s website and proposed for discussion until November 28.
The document also proposes to include in the initial sample, on the basis of which UONIA is calculated, agreements between banks in the amount of UAH 10 million to UAH 200 million, as well as 10% of banks’ transactions on the placement of overnight deposit certificates and 10% of banks’ transactions on the provision of overnight refinancing loans, which are in the middle of the volume-ranked number of relevant transactions.
In addition, it is proposed to increase the number of criteria for applying the UONIA calculation procedure under special conditions by adding to the existing criteria (the minimum number of transactions and the minimum number of counterparties) the criterion "Volume of transactions available for settlement ≤ 10% of the average daily value for the previous current month."
At the same time, the National Bank intends to determine a strategy for the transition to the calculation of UONIA without taking into account agreements between banks and the central bank, which will provide for the calculation of the number of cases when UONIA (with the exclusion of agreements with the NBU) would not have been calculated according to the main methodology in the previous twelve-month period due to low activity of market participants every six months.
