11.04.2019 13:08
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 | |||