05.07.2024 10:22
REPO risk parameters change for the security MSRS
As per the Securities market risk parameters methodology, on 05.07.2024, 10-22 (MSK) the lower bound of the REPO rate for tenor Y0/Y1Dt (up to -36.91 %), penalty rate and IR Risk Rate (up to -0.00449 rub) for the security MSRS were changed. New values are available here
Risk parameters |