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23 September 2024

CCP NCC sets the following risk parameters on Securities market starting from 23.09.2024:

  1. Interest risk ratio for floating rate REPO to be set equal to 0 for assets on Securities market except for assets below.
  2. Interest risk rates to be set as follows:
Ticker Tenor Current Interest risk rate up MMΔ, % p.a. Current Interest risk rate down SECΔ, % p.a. Interest risk rate up MMΔ from 23.09.2024, % p.a. Interest risk rate down SECΔ from 23.09.2024, % p.a. Interest risk ratio for floating rate REPO
RUSFAR Y0/Y1D 0.60 0.60 3.60 3.60 100
Y0/Y1W 0.60 0.60 3.60 3.60
Y0/Y2W 0.70 0.70 3.90 3.90
Y0/Y1M 0.80 0.80 3.90 3.90
Y0/Y2M 0.90 0.90 3.90 3.90
Y0/Y3M 1.00 1.00 4.10 4.10
Y0/Y6M 1.00 1.00 4.60 4.60
Y0/Y9M 1.00 1.00 4.60 4.60
Y0/Y12M 1.00 1.00 4.90 4.90
RUONIA Y0/Y1D 0.60 0.60 3.10 3.10 100
Y0/Y1W 0.60 0.60 3.10 3.10
Y0/Y2W 0.70 0.70 3.60 3.60
Y0/Y1M 0.80 0.80 3.60 3.60
Y0/Y2M 0.90 0.90 4.10 4.10
Y0/Y3M 1.00 1.00 4.40 4.40
Y0/Y6M 1.00 1.00 4.60 4.60
Y0/Y9M 1.00 1.00 4.60 4.60
Y0/Y12M 1.00 1.00 4.90 4.90
RUSFAR1W Y0/Y1D 0.70 0.70 7.20 7.20 100
Y0/Y1W 0.70 0.70 7.20 7.20
Y0/Y2W 1.00 1.00 2.00 2.00
Y0/Y1M 1.20 1.20 0.80 0.80
Y0/Y2M 1.50 1.50 0.50 0.50
Y0/Y3M 1.50 1.50 0.30 0.30
Y0/Y6M 2.30 2.30 0.10 0.10
Y0/Y9M 3.30 3.30 0.10 0.10
Y0/Y12M 3.30 3.30 0.10 0.10
RUSFAR2W Y0/Y1D 0.80 0.80 10.90 10.90 100
Y0/Y1W 0.80 0.80 10.90 10.90
Y0/Y2W 0.80 0.80 8.10 8.10
Y0/Y1M 1.20 1.20 1.50 1.50
Y0/Y2M 1.40 1.40 1.00 1.00
Y0/Y3M 1.40 1.40 0.70 0.70
Y0/Y6M 2.30 2.30 0.30 0.30
Y0/Y9M 3.30 3.30 0.30 0.30
Y0/Y12M 3.20 3.20 0.20 0.20
RUSFAR1M Y0/Y1D 0.80 0.80 19.10 19.10 100
Y0/Y1W 0.80 0.80 19.10 19.10
Y0/Y2W 0.80 0.80 12.70 12.70
Y0/Y1M 1.20 1.20 6.40 6.40
Y0/Y2M 1.40 1.40 2.10 2.10
Y0/Y3M 1.40 1.40 1.40 1.40
Y0/Y6M 2.30 2.30 0.60 0.60
Y0/Y9M 3.30 3.30 0.60 0.60
Y0/Y12M 3.20 3.20 0.50 0.50
RUSFAR3M Y0/Y1D 1.10 1.10 41.00 41.00 100
Y0/Y1W 1.10 1.10 41.00 41.00
Y0/Y2W 1.20 1.20 22.30 22.30
Y0/Y1M 1.30 1.30 13.00 13.00
Y0/Y2M 1.60 1.60 9.60 9.60
Y0/Y3M 1.90 1.90 9.30 9.30
Y0/Y6M 1.90 1.90 2.20 2.20
Y0/Y9M 2.90 2.90 2.20 2.20
Y0/Y12M 2.90 2.90 0.80 0.80
RREFKEYR Y0/Y1D 1.20 1.20 3.70 3.70 100
Y0/Y1W 1.50 1.50 3.70 3.70
Y0/Y2W 1.50 1.50 3.70 3.70
Y0/Y1M 1.60 1.60 3.70 3.70
Y0/Y2M 1.60 1.60 3.70 3.70
Y0/Y3M 2.10 2.10 3.90 3.90
Y0/Y6M 2.10 2.10 4.50 4.50
Y0/Y9M 2.10 2.10 5.60 5.60
Y0/Y12M 2.10 2.10 6.90 6.90
RUSFARCNY Y0/Y1D 1.90 1.90 6.50 6.50 100
Y0/Y1W 1.90 1.90 6.50 6.50
Y0/Y2W 1.90 1.90 6.50 6.50
Y0/Y1M 1.70 1.70 6.10 6.10
Y0/Y2M 1.00 1.00 5.80 5.80
Y0/Y3M 1.00 1.00 5.40 5.40
Y0/Y6M 1.00 1.00 5.10 5.10
Y0/Y9M 1.00 1.00 4.80 4.80
Y0/Y12M 1.00 1.00 4.80 4.80
RUSFARCN1W Y0/Y1D 1.90 1.90 11.90 11.90 100
Y0/Y1W 1.90 1.90 11.90 11.90
Y0/Y2W 1.90 1.90 3.40 3.40
Y0/Y1M 1.70 1.70 1.40 1.40
Y0/Y2M 1.00 1.00 0.60 0.60
Y0/Y3M 1.00 1.00 0.40 0.40
Y0/Y6M 1.00 1.00 0.20 0.20
Y0/Y9M 1.00 1.00 0.10 0.10
Y0/Y12M 1.00 1.00 0.10 0.10