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What's new


11.04.19


Interest rate risk parameters change on Securities market


From the 15th of April 2019 CCP NCC sets the following risk parameters on Securities market:

-       Minimal upward and downward interest rate risk rates;

-       Ratio of Repo Rate Band to Interest Rate Assessment Range (x_IR).  

 

Ticker

Term

Current risk parameters

New risk parameters

Current X_IR

New X_IR

Upward risk rate, %

Downward risk rate, %

Upward risk rate, %

Downward risk rate, %

RU000A0JW4Z1

RU000A0JWKG5

RU000A0ZYP02

RU000A0ZYP10

Y0/Y1

11

11

8

8

1,2

1,5

Y0/Y1W

11

11

8

8

Y0/Y2W

11

11

8

8

Y0/Y1M

11

11

8

8

Y0/Y2M

11

11

8

8

Y0/Y3M

11

11

8

8

Y0/Y6M

11

11

8

8

Y0/Y12M

11

11

8

8