07.04.2021 20:22

Risk parameters change on Securities market

CCP NCC is changing the following risk parameters on Securities market starting from April 8, 2021.

Ticker Tenor IR risk (downward scenario), % IR risk (downward scenario), %
RU000A0ZYCP5 Y0/Y1W 35 12
RU000A0ZYJH7 Y0/Y2W 15 10
RU000A0ZYJJ3 Y0/Y1M 6 6
RU000A102EF1 Y0/Y2M 4 4
RU000A102EE4 Y0/Y3M 3 3
RU000A0JV243 Y0/Y6M 3 3
RU000A0JV250 Y0/Y9M 3 3
RU000A0JV268 Y0/Y12M 3 3
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