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 |