Peculiarities of currency and interest rate risk management in Russian commercial banks under sanctions restrictions

In 2022, the banking system of the Russian Federation was forced to contain the sanctions pressure exerted by “unfriendly” countries on the economy. This led to the manifestation of many banking risks, which led to significant losses for the Russian banking system, including due to currency revaluation and high volatility of market rates. The amount of losses of commercial banks caused by the realization of currency and interest rate risks was formed both due to the direct consequences of the weakening of the ruble and the increase in interest rates, and as a result of early termination of term transactions with non-resident clients due to the inability to use other derivative financial instruments. These circumstances led to a significant increase in currency and interest rate risks and their implementation in the form of losses for most Russian credit institutions. An analysis of the use of hedging to manage currency and interest rate risks in commercial banks revealed that to reduce these risks, banks mainly use hedging instruments such as currency swaps, interest rate swaps and currency interest rate swaps. It was revealed that the interest rate options market in the Russian Federation in 2022 felt less negative consequences than other segments of the futures market (currency and interest rate swaps, forward transactions), since interest rate options were mainly concluded between banks and non-financial resident organizations, and on other segments non-resident organizations were present in large numbers. Difficulties were noted when concluding urgent OTC transactions due to the cessation of the operation of information and trading systems in Russia (Bloomberg Finance, Reuters/Refinitiv). The main problems of hedging currency and interest risks in commercial banks of the Russian Federation are identified and measures for their improvement are proposed. Prospective directions of solving the problem of hedging in the derivatives market of the Russian Federation to minimize currency and interest rate risks in commercial banks are substantiated.