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                Capital benefits

                Concluding deals on the standardised derivatives market gived participants advantages.

                Example

                Model deal parameters

                Deal type RUB interest swap
                Nominal RUB 100 mln
                Contract term (fixed rate) Three years
                Percent review term (floating rate) Three months
                Instrument volatility* 5,00%
                Initial margin 7,8%

                When calculating credit and market risk which influence N1, the following ratios are used

                Bank of Russia instructiojn N 139-I from 3 December 2012

                Percantage of funds transferred
                to fulfil obligations (code 8846/8847)**
                5%
                Weighting ratio of derivative deal credit risk
                on the counterparty thatis the central counterparty
                and meets the conditions of code 8846**
                0,05
                Potential derivatives deal risk 0,005

                Bank of Russia provision 387-P от 28 September 2012

                Time interval (one-three months), weighting ratio 0,20%
                Time interval (two-three years), weighting ratio 1,75%
                Closure of weighted position between zones 1 and 2 40%

                Example of calcualtion of credit and market risk influencing N1***

                RUB interest swap Exchange
                CCP deal
                Non exchange
                with CCP *****
                Non exchange
                without CCP (Ba******)
                Credit risk on derivaties deals
                with counterparty weighting ratio 
                Not calculated RUB 275,000 RUB 5,500,000
                Curent credit risk RUB 5,000,000 RUB 5,000,000
                Potential credit risk RUB 500,000 RUB 500,000
                Credit risk on initial margin**** RUB 390,000 RUB 390,000 Not calculated
                Closed position RUB 200,000 RUB 200,000 RUB 200,000
                Open position for general interest risk (100%) RUB 1,550,000 RUB 1,550,000 RUB 1,550,000
                Closed weighted position for position
                between zones 1 and 2 (for general interest risk)
                RUB 80,000 RUB 80,000 RUB 80,000
                Market risk  RUB 1,630,000 RUB 1,630,000 RUB 1,630,000
                Discount (Dj) Not calculated Not calculated 0,929
                Ai 306,442
                RSK ******* RUB 8,929,136
                TOTAL influnece on N1 ratio RUB 2,020,000 RUB 2,295,000 RUB 16,055,138

                * Maximum revaluation of instrument cost in percentage of nominal

                ** In accordance with data published at http://www.cbr.ru/credit/cicc.asp
                    http://www.cbr.ru/pw.aspx?file=/press/if/131023_171237intern3.htm

                *** for clear accounting, the funding ratio is taken as 1

                **** Without the Guarantee Fund, i.e. an example is given of just one of many deals

                ***** The size of credit risk on derivaties deals may be reduced when concluding numerous multidirectional deals included in the netting agreement. The reduction in credit risk on derivaties deals is not calculated, as  an example is given of just one of many deals.

                Ва****** Moody's Investors Service

                ******* RSK - is the magnitude of the risk of changes in value of the credit requirements as a result of deterioration the credit quality of the counterparty

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