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%

-

-

-

-

-

-

-

-

-

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