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News

30 January 2023

CCP NCC sets the following risk parameters on Securities market starting from 30.01.2023:

Ticker Tenor Interest risk rate up MMΔ, % p.a. Interest risk rate down SECΔ, % p.a.
RUSFAR Y0/Y1D 0.6 0.6
Y0/Y1W 0.6 0.6
Y0/Y2W 0.7 0.7
Y0/Y1M 0.8 0.8
Y0/Y2M 0.9 0.9
Y0/Y3M 1.0 1.0
Y0/Y6M 1.0 1.0
Y0/Y9M 1.0 1.0
Y0/Y12M 1.0 1.0
RUONIA Y0/Y1D 0.6 0.6
Y0/Y1W 0.6 0.6
Y0/Y2W 0.7 0.7
Y0/Y1M 0.8 0.8
Y0/Y2M 0.9 0.9
Y0/Y3M 1.0 1.0
Y0/Y6M 1.0 1.0
Y0/Y9M 1.0 1.0
Y0/Y12M 1.0 1.0
RUSFAR1W Y0/Y1D 0.7 0.7
Y0/Y1W 0.7 0.7
Y0/Y2W 1.0 1.0
Y0/Y1M 1.2 1.2
Y0/Y2M 1.5 1.5
Y0/Y3M 1.5 1.5
Y0/Y6M 2.3 2.3
Y0/Y9M 3.3 3.3
Y0/Y12M 3.3 3.3
RUSFAR2W Y0/Y1D 0.8 0.8
Y0/Y1W 0.8 0.8
Y0/Y2W 0.8 0.8
Y0/Y1M 1.2 1.2
Y0/Y2M 1.4 1.4
Y0/Y3M 1.4 1.4
Y0/Y6M 2.3 2.3
Y0/Y9M 3.2 3.2
Y0/Y12M 3.2 3.2
RUSFAR1M Y0/Y1D 0.7 0.7
Y0/Y1W 0.7 0.7
Y0/Y2W 0.7 0.7
Y0/Y1M 1.0 1.0
Y0/Y2M 1.3 1.3
Y0/Y3M 1.3 1.3
Y0/Y6M 2.3 2.3
Y0/Y9M 3.2 3.2
Y0/Y12M 3.2 3.2
RUSFAR3M Y0/Y1D 1.1 1.1
Y0/Y1W 1.1 1.1
Y0/Y2W 1.2 1.2
Y0/Y1M 1.3 1.3
Y0/Y2M 1.6 1.6
Y0/Y3M 1.9 1.9
Y0/Y6M 1.9 1.9
Y0/Y9M 2.9 2.9
Y0/Y12M 2.9 2.9
RREFKEYR Y0/Y1D 1.2 1.2
Y0/Y1W 1.5 1.5
Y0/Y2W 1.5 1.5
Y0/Y1M 1.6 1.6
Y0/Y2M 1.6 1.6
Y0/Y3M 2.1 2.1
Y0/Y6M 2.1 2.1
Y0/Y9M 2.1 2.1
Y0/Y12M 2.1 2.1
RUSFARCNY Y0/Y1D 1.9 1.9
Y0/Y1W 1.9 1.9
Y0/Y2W 1.9 1.9
Y0/Y1M 1.7 1.7
Y0/Y2M 1.0 1.0
Y0/Y3M 1.0 1.0
Y0/Y6M 1.0 1.0
Y0/Y9M 1.0 1.0
Y0/Y12M 1.0 1.0