04.10.2023 13:52
Collateral for stress changes
CCP NCC changes the collateral for stress parameters starting from October 3rd, 2023:
- 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 October 3rd, .2023 | ||
| UP scenario | Down scenario | UP scenario | Down scenario | |
| CNY | 16% | 10% | 19% | 11% |
- Collateral for stress on the OTC market:
| Risk-factor | Current Collateral for stress | Collateral for stress from October 3rd, .2023 | ||
| UP scenario | Down scenario | UP scenario | Down scenario | |
| USD-RUB-TOM-CENTRAL | 25.5% | -23.5% | 27% | -25% |
| EUR-RUB-TOM-CENTRAL | 25.5% | -23.5% | 27% | -25% |
| СNY-RUB-TOM-CENTRAL | 24% | -18% | 27% | -19% |