CCP NCC is changing the following risk parameters on Securities market starting from April 8, 2021.
Ticker
Tenor
IR risk (downward scenario), %
RU000A0ZYCP5
Y0/Y1W
35
12
RU000A0ZYJH7
Y0/Y2W
15
10
RU000A0ZYJJ3
Y0/Y1M
6
RU000A102EF1
Y0/Y2M
4
RU000A102EE4
Y0/Y3M
3
RU000A0JV243
Y0/Y6M
RU000A0JV250
Y0/Y9M
RU000A0JV268
Y0/Y12M