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Moscow Exchange: Risk Parameters Change In FX Market And Standardized Derivatives Market

Date 29/03/2017

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

 

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