1. Main
  2. Risk management
  3. Securities market
  4. Risk parameters
  5. Rollover rate for cash in RUB
Rollover rate for cash in RUB

According to the new methodology of CCP NCC, starting from June 28, 2021 Rollover rate for cash in RUB on Securities market is calculated as follows:

 

where:

kmoney – coefficient for RUSFARi rate, defined by decision of CCP NCC

RUSFARi – RUSFAR ON RUB on day i

MONEYRate_min – minimum MONEYRatei, defined by decision of CCP NCC

CCP NCC set the following risk parameters starting from June 28, 2021:

  • kmoney is set equal to 2;
  • MONEYRate_min is set equal to 0.