Форма обратной связи
Валютный рынок
С 06.04.2017 решением Банка НКЦ (АО) на валютном рынке изменяются минимальные значения ставок процентных рисков:
|
Валютная пара |
Срок свопа |
|||||||||
|
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% |
- |
- |
- |
- |
- |
- |
- |
- |
- |
Рынок Стандартизированных ПФИ
С 06.04.2017 решением Банка НКЦ (АО) изменяются следующие риск-параметры на рынке Стандартизированных ПФИ:
|
|
||||||||||||||||
|
Параметры сценариев движения кривых (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 |
Срок |
|
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 |