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                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%
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