30.01.2023 13:27
Risk parameters on Securities market
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 |