Transformation of exchange rate formation mechanisms and the infrastructure of the Russian currency market under the influence of external restrictions (2022–2025)

Subject. The foreign exchange market under external restrictions in 2022–2025. Objectives. To quantitatively assess the scale of price anomalies manifested in heightened volatility, discrepancies between various exchange rate indicators, and changes in the cost of foreign exchange funding, as well as to identify the consequences of sanctions pressure for foreign exchange risk management practices. Methods. Statistical time‑series analysis methods were applied: calculation of standard deviation, spreads between various exchange rate indicators (the USD/RUB cross‑rate via CNY/RUB and USD/CNY, the OTC market indicator NTPro, the “perpetual” futures contract USDRUBF, and the official exchange rate of the Bank of Russia), and comparative analysis of the cost of CNY funding against the benchmark lending rate of the People’s Bank of China. Data sources included information from the Bank of Russia, the Moscow Exchange, NTPro, and others. Results. Several stages of market transformation were identified. It was shown that after the suspension of exchange trading in USD and EUR, spreads between alternative indicators reached a peak of 10% and subsequently acquired a systemic character. Periods of backwardation in currency futures on the derivatives market were recorded, indicating local liquidity shortages. Additionally, periods of sustained deviation of RUSFARCNY from the global benchmark were identified, confirming the limited capacity of the Russian segment of foreign exchange funding. Conclusions and Relevance. The multiplicity of exchange rates has become a structural feature of the Russian foreign exchange market, which necessitates an adapted approach to foreign exchange risk assessment and hedging. The study may be useful for corporate treasury professionals, bank traders, market risk assessment specialists, and the Bank of Russia.