29.03.2017 23:39
Risk parameters change in FX market and Standardized derivatives market
FX market
NCC Clearing Bank is changing risk parameters in FX market starting from April 6, 2017:
| Currency pair | Tenor | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| TODTOM | TOMSPOT | 1W | 2W | 1M | 2M | 3M | 6M | 9M | 1Y | |
| USD/RUB | 40% | 15% | 12% | 10% | 6% | 4% | 3% | 2.5% | 2.5% | 2.5% |
| EUR/RUB | 40% | 15% | 12% | 10% | 6% | 4% | 3% | 2.5% | 2.5% | 2.5% |
| CNY/RUB | 40% | 15% | 12% | 10% | 10% | 8% | 8% | 3% | - | - |
| GLD/RUB | 15% | 15% | 12% | - | 10% | - | - | 3% | - | - |
| SLV/RUB | 15% | 15% | 12% | - | 10% | - | - | 3% | - | - |
| GBP/RUB | 40% | - | - | - | - | - | - | - | - | - |
| HKD/RUB | 40% | - | - | - | - | - | - | - | - | - |
| BYR/RUB | 40% | - | - | - | - | - | - | - | - | - |
| CHF/RUB | 40% | - | - | - | - | - | - | - | - | - |
Standardized derivatives market
NCC Clearing Bank is changing risk parameters in Standardized derivatives market starting from April 6, 2017:
| Scenarios (Shift, Twist, Butterfly) | RUB OIS, bps | RUB Rate Basis, bps | XCCY Basis, bps | $ IRS, bps | EUR IRS, bps | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Shift | Twist | Butterfly | Shift | Twist | Butterfly | Shift | Twist | Butterfly | Shift | Twist | Butterfly | Shift | Twist | Butterfly | ||
| TOM/SPOT | 200 | -200 | -200 | 100 | -45 | -120 | ||||||||||
| 1W | 200 | -150 | -200 | 100 | -45 | -120 | ||||||||||
| 2W | 200 | -120 | -200 | 100 | -60 | 5 | ||||||||||
| 1M | 200 | -90 | -30 | 95 | -75 | 20 | ||||||||||
| 2M | 200 | -60 | 15 | 90 | -60 | 15 | ||||||||||
| 3M | 190 | -30 | 17 | 60 | -100 | 10.0 | 85 | -45.0 | 10.0 | 20 | -15.0 | 10.0 | 20 | -15.0 | 10.0 | |
| 6M | 180 | -15 | 15 | 60 | -90 | 1.4 | 80 | -25.0 | 5.0 | 20 | -10.7 | 1.4 | 20 | -10.7 | 1.4 | |
| 9M | 170 | 15 | 10 | 60 | -80 | -4.3 | 75 | -15.0 | 4.0 | 20 | -6.4 | -4.3 | 20 | -6.4 | -4.3 | |
| 1Y | 160 | 50 | 5 | 60 | -70 | -7.1 | 75 | 15.0 | 3.0 | 20 | -2.1 | -7.1 | 20 | -2.1 | -7.1 | |
| 2Y | 130 | 60 | -5 | 60 | 10 | -7.1 | 70 | 30.0 | 2.0 | 20 | 2.1 | -7.1 | 20 | 2.1 | -7.1 | |
| 3Y | 100 | 70 | -10 | 60 | 16 | -4.3 | 60 | 32.5 | 1.0 | 20 | 6.4 | -4.3 | 20 | 6.4 | -4.3 | |
| 4Y | 90 | 80 | -15 | 60 | 18 | 1.4 | 60 | 35.0 | 0.0 | 20 | 10.7 | 1.4 | 20 | 10.7 | 1.4 | |
| 5Y | 80 | 90 | -20 | 60 | 20 | 5.0 | 60 | 37.5 | -1.0 | 20 | 15.0 | 10.0 | 20 | 15.0 | 10.0 | |
| INTEREST RISK | Tenor | INITIAL MARGIN(%) | |||||
|---|---|---|---|---|---|---|---|
| RUBOIS | RUBIRS3M | RUBXCCY3L | USDIRS3L | EURIRS3L | FX SWAP | ||
| 1W | 0.06 | 0.08 | |||||
| 2W | 0.12 | 0.15 | |||||
| 1M | 0.17 | 0.24 | |||||
| 2M | 0.33 | 0.48 | |||||
| 3M | 0.46 | 0.00 | 0.07 | 0.64 | |||
| 6M | 0.86 | 1.00 | 0.07 | 0.14 | 1.17 | ||
| 9M | 1.20 | 1.39 | 0.17 | 0.20 | 1.62 | ||
| 1Y | 1.53 | 1.29 | 1.65 | 0.18 | 0.23 | 2.07 | |
| 2Y | 2.39 | 2.81 | 0.39 | 0.45 | |||
| 3Y | 3.21 | 3.53 | 0.59 | 0.68 | |||
| 4Y | 4.24 | 4.55 | 0.84 | 0.96 | |||
| 5Y | 5.27 | 5.58 | 1.25 | 0.96 | |||
| FX RISK (AFTER FIRST LEG) | - | - | - | 6.00 | - | 6.00 | |
For further information, please contact the Public Relations Department at (495) 363-3232.