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