01.09.2023 15:28
Collateral for stress changes
CCP NCC changes the collateral for stress parameters starting from September 4th, 2023:
1. Collateral for stress on the Securities market, on the Currency market and on the Derivatives market:
| Asset | Current Collateral for stress | Collateral for stress from September 4th, .2023 | ||
|---|---|---|---|---|
| UP scenario | Down scenario | UP scenario | Down scenario | |
| CNY | 12.5% | 8.5% | 16% | 10% |
2. Collateral for stress on the OTC market:
| Risk-factor | Current Collateral for stress | Collateral for stress from September 4th, .2023 | ||
|---|---|---|---|---|
| UP scenario | Down scenario | UP scenario | Down scenario | |
| USD-RUB-TOM-CENTRAL | 24% | -22% | 25.5% | -23.5% |
| EUR-RUB-TOM-CENTRAL | 24% | -22% | 25.5% | -23.5% |
| СNY-RUB-TOM-CENTRAL | 20.5% | -16.5% | 24% | -18% |